Paul Schneider : Citation Profile

Are you Paul Schneider?

University of Warwick

8

H index

8

i10 index

381

Citations

RESEARCH PRODUCTION:

14

Articles

12

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 27
   Journals where Paul Schneider has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 10 (2.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc156
   Updated: 2024-01-16    RAS profile: 2019-05-13    
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Relations with other researchers

Works with:

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

Is cited by:

Sarno, Lucio (11)

Santucci de Magistris, Paolo (9)

Violante, Francesco (7)

Schmeling, Maik (7)

Alexander, Carol (6)

Chernov, Mikhail (6)

Schrimpf, Andreas (5)

Menkhoff, Lukas (5)

Verdelhan, Adrien (5)

Feunou, Bruno (4)

Comunale, Mariarosaria (4)

Cites to:

Campbell, John (17)

Hodrick, Robert (15)

Verdelhan, Adrien (13)

Singleton, Kenneth (13)

Bekaert, Geert (12)

Sarno, Lucio (10)

Engel, Charles (9)

West, Kenneth (9)

Duffie, Darrell (8)

Ait-Sahalia, Yacine (7)

Duffee, Greg (7)

Main data

Where Paul Schneider has published?

Journals with more than one article published# docs
Journal of Financial Economics3
The Journal of Financial Econometrics2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute5
Papers / arXiv.org2

Recent works citing Paul Schneider (2024 and 2023)

YearTitle of citing document
2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2023Closed-form approximations of moments and densities of continuous-time Markov models. (2023). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Papers. RePEc:arx:papers:2308.09009.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023.

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2023.

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2023The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229.

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

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2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246.

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2023Forecasting the U.S. Dollar in the 21st Century. (2023). Engel, Charles ; Yeung, Steve Pak. In: Journal of International Economics. RePEc:eee:inecon:v:141:y:2023:i:c:s0022199623000016.

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2023Does asset encumbrance affect bank risk? Evidence from covered bonds. (2023). Nocera, Giacomo ; Gatti, Stefano ; Garcia-Appendini, Emilia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002850.

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2023The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023Can Real Options Explain the Skewness of Stock Returns?. (2023). Xu, Fangming ; Li, Yang ; Kim, Kirak ; Ho, Tuan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003314.

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2023Debt dynamics and credit risk. (2023). Schaefer, Stephen ; Feldhutter, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:497-535.

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2023Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211.

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2023The beta anomaly in the Australian stock market and the lottery demand. (2023). Veron, Jose Francisco ; Bradrania, Reza. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22001986.

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2023Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444.

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2023Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730.

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2023The predictability of skewness risk premium on stock returns: Evidence from Chinese market. (2023). Wang, Linyu ; Ni, Zhongxin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:576-594.

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2023Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

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2023Global Disaster Risk Matters. (2023). Zhu, Xiaoneng ; Zhang, Qunzi ; Yao, Jiaquan ; Chen, Jian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:576-597.

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2023Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks. (2023). Vilkov, Grigory ; Dim, Chukwuma ; Chabi-Yo, Fousseni. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:2:p:922-939.

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2023Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium. (2023). Wang, Tong. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:325-367..

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2023Commodity tail risks. (2023). Prokopczuk, Marcel ; Wursig, Christoph Matthias ; Moerke, Mathis ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:168-197.

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2023Predictive power of the implied volatility term structure in the fixed?income market. (2023). Li, Xiaowei ; Huang, Jeffrey ; Hsieh, Peilin ; Chen, Renraw. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:349-383.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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2023Money Illusion and TIPS Demand. (2023). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:1:p:171-214.

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2023How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J. In: CFR Working Papers. RePEc:zbw:cfrwps:279557.

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Works by Paul Schneider:

YearTitleTypeCited
2009Empirical asset pricing with nonlinear risk premia In: Papers.
[Full Text][Citation analysis]		paper3
2014Empirical Asset Pricing with Nonlinear Risk Premia.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2011Density Approximations for Multivariate Affine Jump-Diffusion Processes In: Papers.
[Full Text][Citation analysis]		paper57
2011Density Approximations For Multivariate Affine Jump-Diffusion Processes.(2011) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2013Density approximations for multivariate affine jump-diffusion processes.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		article
2010The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market In: European Financial Management.
[Full Text][Citation analysis]		article4
2019(Almost) Model?Free Recovery In: Journal of Finance.
[Full Text][Citation analysis]		article6
2014Generalized Risk Premia In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper15
2015Generalized risk premia.(2015) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2015Divergence and the Price of Uncertainty In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2015An Anatomy of the Equity Premium In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2018Does it Pay to Be an Optimist? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper85
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		paper
2010The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article27
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article30
2019An anatomy of the market return In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
2007Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework In: Multinational Finance Journal.
[Full Text][Citation analysis]		article2
2010Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
2013The Skew Risk Premium in the Equity Index Market In: Review of Financial Studies.
[Full Text][Citation analysis]		article90
2010Properties of Foreign Exchange Risk Premia In: MPRA Paper.
[Full Text][Citation analysis]		paper5
2011Flexing the default barrier In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2008Pricing options with Greens functions when volatility, interest rate and barriers depend on time In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2005Modelling International Bond Markets with Affine Term Structure Models In: Finance.
[Full Text][Citation analysis]		paper6
2016Low risk anomalies? In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper20

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