Thomas Nitschka : Citation Profile


Are you Thomas Nitschka?

Schweizerische Nationalbank (SNB)

6

H index

4

i10 index

165

Citations

RESEARCH PRODUCTION:

27

Articles

31

Papers

RESEARCH ACTIVITY:

   16 years (2005 - 2021). See details.
   Cites by year: 10
   Journals where Thomas Nitschka has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 27 (14.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni214
   Updated: 2022-05-21    RAS profile: 2021-11-07    
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Relations with other researchers


Works with:

Nellen, Thomas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Nitschka.

Is cited by:

Sakemoto, Ryuta (11)

Byrne, Joseph (9)

Demirer, Riza (6)

GUPTA, RANGAN (6)

Yesin, Pinar (5)

Tille, Cédric (4)

Bénétrix, Agustín (4)

Wohar, Mark (3)

Vickery, James (3)

Bouri, Elie (3)

Shahzad, Syed Jawad Hussain (3)

Cites to:

Campbell, John (96)

Lustig, Hanno (27)

Verdelhan, Adrien (25)

Shiller, Robert (23)

Cochrane, John (23)

Hoffmann, Mathias (23)

Lettau, Martin (21)

West, Kenneth (17)

French, Kenneth (17)

Fama, Eugene (17)

Harvey, Campbell (15)

Main data


Where Thomas Nitschka has published?


Journals with more than one article published# docs
Journal of International Money and Finance3
German Economic Review2
International Finance2
The North American Journal of Economics and Finance2
German Economic Review2

Working Papers Series with more than one paper published# docs
Working Papers / Swiss National Bank17
Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen2

Recent works citing Thomas Nitschka (2021 and 2020)


YearTitle of citing document
2021Expectations and financial markets: Lessons from Brexit. (2021). Hibbert, Ann Marie ; Gu, Chen. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:279-299.

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2021The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Chinas liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach. (2020). Li, Min ; Zhong, Rui ; Wang, Hao ; Ji, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:187-204.

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2020Predicting stock market crises using daily stock market valuation and investor sentiment indicators. (2020). Wu, Xiang ; Liu, Yufang ; Zhou, Qingling ; Fu, Junhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304108.

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

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2021Stock returns and carry trades. (2021). Qian, Zongxin ; Gang, Jianhua ; Chen, Zilin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001261.

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2021How puzzling is the forward premium puzzle? A meta-analysis. (2021). Zigraiova, Diana ; Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas. In: European Economic Review. RePEc:eee:eecrev:v:134:y:2021:i:c:s0014292121000672.

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2020Searching for safe-haven assets during the COVID-19 pandemic. (2020). Zhang, Dayong ; Ji, Qiang ; Zhao, Yuqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301708.

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2021Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?. (2021). Hassan, Kabir M ; Hasan, Md Bokhtiar ; Alhenawi, Yasser ; Rashid, Md Mamunur. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000661.

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2021The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x.

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2021How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?. (2021). Sakurai, Yuji. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000706.

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2021Downside risk and the cross-section of cryptocurrency returns. (2021). Wang, Pengfei ; Xiong, Xiong ; Li, YI ; Zhang, Wei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002053.

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2022Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model. (2022). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s026156062100190x.

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2021Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Adediran, Idris ; Lakhani, Kanwal Hammad ; Yinusa, Olalekan D. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624.

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2020Cryptocurrencies as hedges and safe-havens for US equity sectors. (2020). Hussain, Syed Jawad ; Bouri, Elie ; Roubaud, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:294-307.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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2021Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Slim, Skander ; Boughrara, Adel ; Dahmene, Meriam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:676-699.

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2020The effect of global and regional stock market shocks on safe haven assets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Wohar, Mark E. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:54:y:2020:i:c:p:297-308.

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2022Mortgage-Backed Securities. (2022). Vickery, James ; Lucca, David ; Fuster, Andreas. In: Staff Reports. RePEc:fip:fednsr:93695.

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2020Do Capital Flows Matter for Monetary Policy Setting in Inflation Targeting Economies?. (2020). Morley, Bruce ; Arimurti, Trinil. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:139-:d:378627.

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2020Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets. (2020). Laputkova, Adriana ; Beneova, Irena ; Kotyza, Pavel ; Wielechowski, Micha ; Czech, Katarzyna. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6282-:d:394421.

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2020Is Downside Risk Priced In Cryptocurrency Market?. (2020). Dobrynskaya, Victoria. In: HSE Working papers. RePEc:hig:wpaper:79/fe/2020.

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2020The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate. (2020). Shimizu, Makoto. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:5:d:10.1007_s11079-020-09582-7.

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2020Globalization – Reflective Outlook. (2020). Cirella, Giuseppe T ; Kumar, Polsitty R. In: Journal of Applied Management and Investments. RePEc:ods:journl:v:9:y:2020:i:1:p:42-50.

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2022Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis. (2022). Pedini, Luca ; Severini, Sabrina. In: MPRA Paper. RePEc:pra:mprapa:112339.

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2020The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497.

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2022Can Equity be Safe-haven for Investment?. (2022). Balasubramanian, G ; Kayal, Parthajit ; Sri, Janani. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:21:y:2022:i:1:p:32-63.

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2020The impact of SNB monetary policy on the Swiss franc and longer-term interest rates. (2020). Zehnder, Tanja ; Maag, Thomas ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-01.

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2020Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc. (2020). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-21.

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2021The dynamics of bank rates in a negative-rate environment - the Swiss case. (2021). Tenhofen, Jörn ; Gerlach-Kristen, Petra ; Fuhrer, Lucas ; Baeriswyl, Romain. In: Working Papers. RePEc:snb:snbwpa:2021-05.

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2021Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment. (2021). Towbin, Pascal ; Schelling, Tan ; Fuster, Andreas. In: Working Papers. RePEc:snb:snbwpa:2021-10.

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2021Market news co-moments and currency returns. (2021). Mallik, Girijasankar ; Baghdadabad, Mohammadreza Tavakoli ; Mohammad Reza Tavakoli Baghdadabad, . In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:4:d:10.1007_s00181-020-01951-y.

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2021Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. (2021). Umar, Zaghum ; Aharon, David Y ; Vo, Xuan Vinh. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00274-w.

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2021Flexibility and Resilience in Corporate Decision Making: A New Sustainability-Based Risk Management System in Uncertain Times. (2021). Garcia-Muia, Fernando E ; Medina-Salgado, Sonia ; Gonzalez-Sanchez, Rocio ; Settembre-Blundo, Davide. In: Global Journal of Flexible Systems Management. RePEc:spr:gjofsm:v:22:y:2021:i:2:d:10.1007_s40171-021-00277-7.

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2021The term structure of sovereign credit default swap and the cross?section of exchange rate predictability. (2021). Zeng, Ming ; Calice, Giovanni. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:445-458.

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2020The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles. (2020). GUPTA, RANGAN ; Demirer, Riza ; Sun, Xiaojin ; Bouri, Elie. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:957-965.

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2021Intermediary asset pricing in currency carry trade returns. (2021). Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1241-1267.

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2022The Term Structure of Currency Futures Risk Premia. (2022). Bernoth, Kerstin ; de Vries, Casper ; von Hagen, Jurgen ; Vonhagen, Jurgen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:5-38.

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Works by Thomas Nitschka:


YearTitleTypeCited
2010International Evidence for Return Predictability and the Implications for Long?Run Covariation of the G7 Stock Markets In: German Economic Review.
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2010International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets.(2010) In: German Economic Review.
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2007International evidence for return predictability and the implications for long-run covariation of the G7 stock markets.(2007) In: IEW - Working Papers.
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2016Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland In: German Economic Review.
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article1
2016Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland.(2016) In: German Economic Review.
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This paper has another version. Agregated cites: 1
article
2016Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks? In: International Finance.
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2015Is there a too-big-to-fail discount in excess returns on German banks stocks?.(2015) In: Working Papers.
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2021Covered bonds, loan growth and bank funding: The Swiss experience since 1932 In: International Finance.
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article1
2020Carry trade and forward premium puzzle from the perspective of a safe?haven currency In: Review of International Economics.
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article1
2018Carry trade and forward premium puzzle from the perspective of a safe-haven currency.(2018) In: Working Papers.
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2009Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series.
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2008Securitization of Mortgage Debt, Asset Prices and International Risk Sharing.(2008) In: IEW - Working Papers.
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2012Securitization of mortgage debt, domestic lending, and international risk sharing In: Canadian Journal of Economics.
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2012Securitization of mortgage debt, domestic lending, and international risk sharing.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has another version. Agregated cites: 5
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2015Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis.
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2011Foreign currency returns and systematic risks.(2011) In: Working Papers.
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2011About the soundness of the US-cay indicator for predicting international banking crises In: The North American Journal of Economics and Finance.
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article1
2017Firm size, economic risks, and the cross-section of international stock returns In: The North American Journal of Economics and Finance.
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2010Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters.
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2015On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance.
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2013On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers.
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2014Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance.
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2010Cashflow news, the value premium and an asset pricing view on European stock market integration In: Journal of International Money and Finance.
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2007Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers.
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2014Currency excess returns and global downside market risk In: Journal of International Money and Finance.
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2013Currency excess returns and global downside market risk.(2013) In: Working Papers.
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2018Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy In: Journal of International Money and Finance.
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2013The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization In: Review of Financial Economics.
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2013The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization.(2013) In: Review of Financial Economics.
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This paper has another version. Agregated cites: 4
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2010Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management.
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2016Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review.
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2014Exchange rate returns and external adjustment: evidence from Switzerland.(2014) In: Working Papers.
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2005The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2006The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability.(2006) In: Technical Reports.
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2014What News Drive Variation in Swiss and US Bond and Stock Excess Returns? In: Swiss Journal of Economics and Statistics (SJES).
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2010Momentum in stock market returns: Implications for risk premia on foreign currencies In: Working Papers.
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2013Momentum in stock market returns: implications for risk premia on foreign currencies.(2013) In: Applied Financial Economics.
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2012Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe In: Working Papers.
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2011Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe.(2011) In: VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis.
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2012Global and country-specific business cycle risk in time-varying excess returns on asset markets In: Working Papers.
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2013Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012 In: Working Papers.
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2014The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns? In: Working Papers.
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2014Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market In: Working Papers.
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2016Securitisation, loan growth and bank funding: the Swiss experience since 1932 In: Working Papers.
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2017Predicting returns on asset markets of a small, open economy and the influence of global risks In: Working Papers.
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2018Did Chinas anti-corruption campaign affect the risk premium on stocks of global luxury goods firms? In: Working Papers.
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2020Stock market evidence on the international transmission channels of US monetary policy surprises In: Working Papers.
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2021Habits die hard: implications for bond and stock markets internationally In: Working Papers.
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2019What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets In: Swiss Journal of Economics and Statistics.
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2021Central bank reserves and bank lending spreads In: Applied Economics Letters.
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2013The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns In: Tinbergen Institute Discussion Papers.
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2016Risk premia on Swiss government bonds and sectoral stock indexes during international crises: In: Aussenwirtschaft.
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2006Does sensitivity to cashflow news explain the value premium on European stock markets? In: Technical Reports.
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2007The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective In: IEW - Working Papers.
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2007Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies In: IEW - Working Papers.
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2008The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate In: IEW - Working Papers.
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2009Momentum in stock market returns, risk premia on foreign currencies and international financial integration In: IEW - Working Papers.
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