Paul Schneider : Citation Profile

Are you Paul Schneider?

University of Warwick

8

H index

7

i10 index

252

Citations

RESEARCH PRODUCTION:

14

Articles

12

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 18
   Journals where Paul Schneider has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 9 (3.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc156
   Updated: 2020-09-22    RAS profile: 2019-05-13    
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Relations with other researchers

Works with:

Wagner, Christian (2)

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 (9)

Santucci de Magistris, Paolo (7)

Alexander, Carol (5)

Schmeling, Maik (5)

Verdelhan, Adrien (5)

Violante, Francesco (5)

Menkhoff, Lukas (5)

Schrimpf, Andreas (5)

Comunale, Mariarosaria (4)

Vithessonthi, Chaiporn (4)

Chernov, Mikhail (4)

Cites to:

Campbell, John (15)

Hodrick, Robert (12)

Verdelhan, Adrien (10)

Singleton, Kenneth (10)

Bekaert, Geert (10)

Sarno, Lucio (9)

Engel, Charles (9)

West, Kenneth (8)

Duffie, Darrell (7)

Martin, Ian (7)

Brunnermeier, Markus (6)

Main data

Where Paul Schneider has published?

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

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 (2020 and 2019)

YearTitle of citing document
2020Predicting bond return predictability. (2020). Eriksen, Jonas N ; Borup, Daniel ; Thyrsgaard, Martin ; Kjar, Mads M. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2019Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2019Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. (2019). Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed ; Barczy, Matyas. In: Papers. RePEc:arx:papers:1711.02140.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2019Option Pricing with Orthogonal Polynomial Expansions. (2019). Filipovic, Damir ; Ackerer, Damien. In: Papers. RePEc:arx:papers:1711.09193.

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2020Limits 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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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2019Predictability in sovereign bond returns using technical trading rule: do developed and emerging markets differ?. (2019). Wu, Gabriel ; Fong, Tom. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-20.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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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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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2019Reexamining time-varying bond risk premia in the post-financial crisis era. (2019). Zhang, Wei ; Guo, Bin ; Fan, Xiaoyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301745.

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2019Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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2020Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932.

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2019A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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2019Simulated likelihood estimators for discretely observed jump–diffusions. (2019). Schwenkler, G ; Giesecke, K. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:297-320.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2019Skewness risk premium: Theory and empirical evidence. (2019). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:174-185.

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2019The information content of forward moments. (2019). Taamouti, Abderrahim ; Kagkadis, Anastasios ; Andreou, Panayiotis C ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:527-541.

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2019Skewness preference and the popularity of technical analysis. (2019). Hilpert, Christian ; Ebert, Sebastian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302493.

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2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2019The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.

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2020Betting against correlation: Testing theories of the low-risk effect. (2020). Pedersen, Lasse Heje ; Gormsen, Niels Joachim ; Frazzini, Andrea ; Asness, Cliff. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:629-652.

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2019The world predictive power of U.S. equity market skewness risk. (2019). Jiang, Fuwei ; Chen, Jian ; Yao, Jiaquan ; Xue, Shuyu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:210-227.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

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2020The fair value of a token: How do markets price cryptocurrencies?. (2020). Guo, Yike ; Nadler, Philip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300601.

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2019Estimating functions for jump–diffusions. (2019). Sørensen, Michael ; Sorensen, Michael ; Jakobsen, Nina Munkholt . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3282-3318.

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2019The quanto theory of exchange rates. (2019). Martin, Ian ; Kremens, Lukas. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:89839.

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2019Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions. (2019). Aman, Asia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:158-:d:272145.

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2020Credit Spreads, Business Conditions, and Expected Corporate Bond Returns. (2020). Wu, Chunchi ; Wang, Junbo ; Tao, Xinyuan ; Lin, Hai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:20-:d:311789.

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2020Jacobi Stochastic Volatility factor for the Libor Market Model. (2020). Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-02468583.

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2019On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review. (2019). Venegas-Martínez, Francisco ; Carbajal-De, Carolina ; Venegas-Martinez, Francisco. In: Panorama Económico. RePEc:ipn:panora:v:15:y:2019:i:29:p:7-38.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2019Option-implied Value-at-Risk and the cross-section of stock returns. (2019). Feser, Alexander ; Ammann, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-019-09154-z.

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2020.

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2019Exchange Rate and Interest Rate Disconnect: The Role of Capital Flows, Currency Risk and Default Risk. (2019). Varela, Liliana ; Kalemli-Ozcan, Sebnem. In: 2019 Meeting Papers. RePEc:red:sed019:351.

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2019Asymptotic properties of the realized skewness and related statistics. (2019). Liu, Zhi ; Koike, Yuta. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:4:d:10.1007_s10463-018-0659-8.

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2020Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil. (2020). Caldeira, Joo F. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01629-0.

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2020Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z.

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2019Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02.

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2019Variance and skew risk premiums for the volatility market: The VIX evidence. (2019). Xu, Yahua ; da Fonseca, Jose. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:302-321.

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2019Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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2019Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. (2019). Liu, Rui. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400019.

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2019Optimists and pessimists in (in)complete markets. (2019). Schlag, Christian ; Konermann, Patrick ; Branger, Nicole. In: SAFE Working Paper Series. RePEc:zbw:safewp:252.

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Works by Paul Schneider:

YearTitleTypeCited
2009Empirical asset pricing with nonlinear risk premia In: Papers.
[Full Text][Citation analysis]		paper2
2014Empirical Asset Pricing with Nonlinear Risk Premia.(2014) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 2		article
2011Density Approximations for Multivariate Affine Jump-Diffusion Processes In: Papers.
[Full Text][Citation analysis]		paper41
2011Density Approximations For Multivariate Affine Jump-Diffusion Processes.(2011) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2013Density approximations for multivariate affine jump-diffusion processes.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		article
2010The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market In: European Financial Management.
[Full Text][Citation analysis]		article2
2019(Almost) Model‐Free Recovery In: Journal of Finance.
[Full Text][Citation analysis]		article0
2014Generalized Risk Premia In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper10
2015Generalized risk premia.(2015) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 10		article
2015Divergence and the Price of Uncertainty In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
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]		paper1
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper64
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		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]		article25
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article17
2019An anatomy of the market return In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2007Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework In: Multinational Finance Journal.
[Full Text][Citation analysis]		article1
2010Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions In: 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]		article53
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]		article0
2008Pricing options with Greens functions when volatility, interest rate and barriers depend on time In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2005Modelling International Bond Markets with Affine Term Structure Models In: Finance.
[Full Text][Citation analysis]		paper5
2016Low risk anomalies? In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper8

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