Thomas Nitschka : Citation Profile


Are you Thomas Nitschka?

Schweizerische Nationalbank (SNB)

5

H index

2

i10 index

60

Citations

RESEARCH PRODUCTION:

17

Articles

26

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 5
   Journals where Thomas Nitschka has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 22 (26.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni214
   Updated: 2017-09-16    RAS profile: 2017-04-28    
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Relations with other researchers


Works with:

Grisse, Christian (4)

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

Is cited by:

Bénétrix, Agustín (4)

Sakemoto, Ryuta (4)

Yesin, Pinar (4)

Byrne, Joseph (4)

de Carvalho Filho, Irineu (2)

Issler, João (2)

Smyth, Russell (2)

Köhler, Ekkehard (2)

Joebges, Heike (2)

Feld, Lars (2)

Marquez-Velazquez, Alejandro (2)

Cites to:

Campbell, John (59)

Hoffmann, Mathias (24)

Lustig, Hanno (23)

Fama, Eugene (18)

Verdelhan, Adrien (17)

Lettau, Martin (17)

French, Kenneth (17)

Cochrane, John (15)

Hamao, Yasushi (13)

Shiller, Robert (13)

Shanken, Jay (12)

Main data


Where Thomas Nitschka has published?


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

Working Papers Series with more than one paper published# docs
Working Papers / Swiss National Bank12
Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen2

Recent works citing Thomas Nitschka (2017 and 2016)


YearTitle of citing document
2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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2017Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey. (2017). Verstraete, Matthieu ; Suchanek, Lena . In: Staff Working Papers. RePEc:bca:bocawp:17-24.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2016Flexibility versus stability. A difficult trade-off in the Eurozone. (2016). De Grauwe, Paul ; DeGrauwe, Paul ; Ji, Yuemei . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11372.

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2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199.

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2016Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor. (2016). Streit, Daniel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:289-312.

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2016Intra-safe haven currency behavior during the global financial crisis. (2016). Yamamoto, Yohei ; Fatum, Rasmus . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:66:y:2016:i:c:p:49-64.

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2017Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Shi, Huai-Long ; Zhou, Wei-Xing . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:309-318.

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2016Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors. (2016). Wohar, Mark ; Sousa, Ricardo ; Vivian, Andrew . In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:122-143.

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2016Conditional interest rate risk and the cross-section of excess stock returns. (2016). Atanasov, Victoria . In: Review of Financial Economics. RePEc:eee:revfin:v:30:y:2016:i:c:p:23-32.

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2016Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries. (2016). Issler, João ; de Castro, Andressa Monteiro . In: Revista Brasileira de Economia - RBE. RePEc:fgv:epgrbe:v:70:y:2016:i:4:a:59551.

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2016On Modelling and Forecasting Predictable Components in European Stock Markets. (2016). Kiani, Khurshid. In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9510-y.

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2016Common Information in Carry Trade Risk Factors. (2016). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher . In: MPRA Paper. RePEc:pra:mprapa:75367.

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2017The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher . In: MPRA Paper. RePEc:pra:mprapa:80788.

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2017Carry Trades and Commodity Risk Factors. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher . In: MPRA Paper. RePEc:pra:mprapa:80789.

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2016Exchange Rate Predictability and State-of-the-Art Models. (2016). Yesin, Pinar. In: Working Papers. RePEc:snb:snbwpa:2016-02.

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2016How reliable are cointegration-based estimates for wealth effects on consumption? Evidence from Switzerland. (2016). Galli, Alain. In: Working Papers. RePEc:snb:snbwpa:2016-03.

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2016Capital Flows and the Swiss Franc. (2016). Yesin, Pinar. In: Working Papers. RePEc:snb:snbwpa:2016-08.

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2016Macroeconomic surprises, market environment and safe-haven currencies. (2016). Zanetti, Attilio ; Schlegel, Martin ; Jaggi, Adrian . In: Working Papers. RePEc:snb:snbwpa:2016-15.

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2016Cross-country exposures to the Swiss franc. (2016). Bénétrix, Agustín ; Benetrix, Agustin S ; Lane, Philip R. In: ESRB Working Paper Series. RePEc:srk:srkwps:201606.

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2016Exchange Rate Predictability and State-of-the-Art Models. (2016). Yesin, Pinar. In: Working Papers. RePEc:szg:worpap:1603.

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2016Capital Flows and the Swiss Franc. (2016). Yesin, Pinar. In: Working Papers. RePEc:szg:worpap:1604.

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2017The Swiss francs honeymoon. (2017). Studer-Suter, Rahel ; Janssen, Alexandra . In: ECON - Working Papers. RePEc:zur:econwp:170.

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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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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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article0
2009Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series.
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paper5
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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article2
2015Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis.
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article5
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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article0
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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article0
2010Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters.
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article1
2015On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance.
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article17
2013On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers.
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paper
2014Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance.
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article2
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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article2
2007Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers.
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This paper has another version. Agregated cites: 2
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2014Currency excess returns and global downside market risk In: Journal of International Money and Finance.
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article6
2013Currency excess returns and global downside market risk.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 6
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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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article1
2010Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management.
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article0
2008Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence.(2008) In: IEW - Working Papers.
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This paper has another version. Agregated cites: 0
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2016Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review.
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article2
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: 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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2015Is there a too-big-to-fail discount in excess returns on German banks stocks? 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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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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