Andreas Schrimpf : Citation Profile


Are you Andreas Schrimpf?

Bank for International Settlements (BIS)

10

H index

11

i10 index

398

Citations

RESEARCH PRODUCTION:

22

Articles

36

Papers

RESEARCH ACTIVITY:

   11 years (2006 - 2017). See details.
   Cites by year: 36
   Journals where Andreas Schrimpf has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 13 (3.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc349
   Updated: 2017-06-10    RAS profile: 2017-04-12    
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Relations with other researchers


Works with:

Schmeling, Maik (13)

Sarno, Lucio (7)

Menkhoff, Lukas (6)

Sushko, Vladyslav (3)

Christiansen, Charlotte (2)

Posch, Olaf (2)

Kroencke, Tim (2)

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

Is cited by:

Menkhoff, Lukas (15)

MacDonald, Ronald (14)

Christiansen, Charlotte (14)

Sarno, Lucio (14)

Dick, Christian (11)

Cenedese, Gino (11)

Hassan, Tarek (10)

Valente, Giorgio (10)

Savva, Christos (8)

Nitschka, Thomas (7)

Payne, Richard (6)

Cites to:

Campbell, John (37)

Bekaert, Geert (21)

Cochrane, John (19)

French, Kenneth (15)

Burnside, Craig (14)

welch, ivo (14)

Fama, Eugene (14)

Harvey, Campbell (14)

Rebelo, Sergio (13)

Eichenbaum, Martin (13)

Hodrick, Robert (13)

Main data


Where Andreas Schrimpf has published?


Journals with more than one article published# docs
BIS Quarterly Review4
ZEW Wachstums- und Konjunkturanalysen3
European Economic Review2
Journal of Finance2

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements7
ZEW Discussion Papers / ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Andreas Schrimpf (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin . In: CREATES Research Papers. RePEc:aah:create:2017-19.

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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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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2016Carry trades and exchange rate volatility: a TVAR approach. (2016). Anzuini, Alessio ; Brusa, Francesca . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1046_15.

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2017Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio . In: BIS Working Papers. RePEc:bis:biswps:606.

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2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schlepper, Kathi ; Schrimpf, Andreas ; Riordan, Ryan ; Hofer, Heiko . In: BIS Working Papers. RePEc:bis:biswps:625.

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2017Monetary policys rising FX impact in the era of ultra-low rates. (2017). Ferrari, Massimo ; Schrimpf, Andreas ; Kearns, Jonathan . In: BIS Working Papers. RePEc:bis:biswps:626.

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2017Is monetary policy less effective when interest rates are persistently low?. (2017). Hofmann, Boris ; Borio, Claudio . In: BIS Working Papers. RePEc:bis:biswps:628.

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2016Dollarization of Deposits in the Short and Long Run: Evidence from CESE Countries. (2016). Rajkovic, Ivana ; Uroevic, Branko . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5745.

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2016The central bank as shaper and observer of events: The case of the yield spread. (2016). Florio, Anna . In: Canadian Journal of Economics. RePEc:cje:issued:v:49:y:2016:i:1:p:320-346.

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2016Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market. (2016). Mehl, Arnaud ; Lafarguette, Romain ; Eichengreen, Barry. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11053.

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2016Currency Manipulation. (2016). Hassan, Tarek ; Zhang, Tony ; Mertens, Thomas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11581.

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2016Money Illusion and Household Finance. (2016). Tyran, Jean-Robert ; Stephens, Thomas A. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11643.

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2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

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2016Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1552.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2016Momentum trading behavior in the FX market: Evidence from Japanese retail investors. (2016). Koga, Maiko . In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00435.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market. (2016). Mehl, Arnaud ; Lafarguette, Romain ; Eichengreen, Barry. In: Working Paper Series. RePEc:ecb:ecbwps:20161889.

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2017Modeling euro area bond yields using a time-varying factor model. (2017). Adam, Toma ; lo Duca, Marco . In: Working Paper Series. RePEc:ecb:ecbwps:20172012.

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2017Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies. (2017). Beirne, John ; Apostolou, Apostolos. In: Working Paper Series. RePEc:ecb:ecbwps:20172044.

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2016The skewness risk premium in currency markets. (2016). Broll, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:494-511.

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2016The effect of investors’ confidence on monetary policy transmission mechanism. (2016). Guerello, Chiara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:248-266.

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2016How do experts forecast sovereign spreads?. (2016). Poplawski-Ribeiro, Marcos ; Claeys, Peter ; Cimadomo, Jacopo. In: European Economic Review. RePEc:eee:eecrev:v:87:y:2016:i:c:p:216-235.

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2016Uncovered interest parity: The long and the short of it. (2016). Lothian, James. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:1-7.

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2016The roles of past returns and firm fundamentals in driving US stock price movements. (2016). Wu, Eliza ; Hong, Kihoon . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:62-75.

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2016How profitable are FX technical trading rules?. (2016). Coakley, Jerry ; Nankervis, John ; Marzano, Michele . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:273-282.

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2016Risk-return trade-off for European stock markets. (2016). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:84-103.

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2016Is there a credit risk anomaly in FX markets?. (2016). Heinonen, Jari-Pekka ; Grobys, Klaus . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:1-6.

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2016The effect of political risk on currency carry trades. (2016). Piljak, Vanja ; Orlov, Vitaly ; Dimic, Nebojsa . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:75-78.

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2016Time series momentum and volatility scaling. (2016). Kim, Abby Y ; Wald, John K ; Tse, Yiuman . In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:103-124.

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2016Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62.

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2016Not so disconnected: Exchange rates and the capital stock. (2016). Hassan, Tarek ; Zhang, Tony ; Mertens, Thomas M. In: Journal of International Economics. RePEc:eee:inecon:v:99:y:2016:i:s1:p:s43-s57.

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2016US term structure and international stock market volatility: The role of the expectations factor and the maturity premium. (2016). Li, Matthew C. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:1-15.

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2016Dodging the steamroller: Fundamentals versus the carry trade. (2016). Copeland, Laurence ; Lu, Wenna . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:42:y:2016:i:c:p:115-131.

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2017Institutional investors’ allocation to emerging markets: A panel approach to asset demand. (2017). Bonizzi, Bruno. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:47-64.

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2017Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?. (2017). Kunze, Frederik ; Spiwoks, Markus ; Bizer, Kilian ; Wegener, Christoph . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:192-205.

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2016Can currency-based risk factors help forecast exchange rates?. (2016). Valente, Giorgio ; Liu, Xiaoquan ; Ahmed, Shamim . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:75-97.

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2016Using time-stamped survey responses to measure expectations at a daily frequency. (2016). Mokinski, Frieder. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:271-282.

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2016Getting the most out of macroeconomic information for predicting excess stock returns. (2016). van Dijk, Dick ; Akmakli, Cem . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:650-668.

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2016Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

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2016Currency momentum, carry trade, and market illiquidity. (2016). Orlov, Vitaly . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:1-11.

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2017Dividends, earnings, and predictability. (2017). Moller, Stig V ; Sander, Magnus . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:153-163.

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2016Flexible or fragile? The growth performance of small and young businesses during the global financial crisis — Evidence from Germany. (2016). Winkler, Adalbert . In: Journal of Business Venturing. RePEc:eee:jbvent:v:31:y:2016:i:2:p:196-215.

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2016Volatility risk premia and exchange rate predictability. (2016). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:21-40.

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2017Variance risk premiums and the forward premium puzzle. (2017). Londono, Juan M ; Zhou, Hao . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:415-440.

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2016Global corporate bond issuance: What role for US quantitative easing?. (2016). Lo Duca, Marco ; Martinez, Ariadna Vidal ; Nicoletti, Giulio . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:114-150.

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2016Forecasting exchange rates under parameter and model uncertainty. (2016). Beckmann, Joscha ; Schussler, Rainer . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:267-288.

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2016Heterogeneous agents, the financial crisis and exchange rate predictability. (2016). Buncic, Daniel ; Piras, Gion Donat . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:313-359.

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2016What drives international portfolio flows?. (2016). Ulloa, Barbara ; Tsiakas, Ilias ; Sarno, Lucio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:53-72.

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2016What moves international stock and bond markets?. (2016). Mallucci, Enrico ; Cenedese, Gino. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:94-113.

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2016Cross-asset return predictability: Carry trades, stocks and commodities. (2016). Lu, Helen ; Jacobsen, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:62-87.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2017Systematic consumption risk in currency returns. (2017). Hoffmann, Mathias ; Studer-Suter, Rahel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:187-208.

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2016A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian . In: Resources Policy. RePEc:eee:jrpoli:v:47:y:2016:i:c:p:95-107.

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2016A calendar effect: Weekend overreaction (and subsequent reversal) in spot FX rates. (2016). Urquhart, Andrew ; McGroarty, Frank ; Dao, Thong M. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:158-167.

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2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Jiang, Fuwei ; Xu, Weidong ; Li, Hongyi ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

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2016Do carry trade returns show signs of long memory?. (2016). Hoffmann, Andreas ; Auer, Benjamin R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:201-208.

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2016The uncovered interest rate parity anomaly and trading activity by non-dealer financial firms. (2016). Boschen, John F ; Smith, Kimberly J. In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:333-342.

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2016Do economic variables improve bond return volatility forecasts?. (2016). Chao, Shih-Wei . In: International Review of Economics & Finance. RePEc:eee:reveco:v:46:y:2016:i:c:p:10-26.

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2017Measuring uncertainty in the stock market. (2017). Uribe Gil, Jorge ; Chuliå, Helena ; Chulia, Helena ; Guillen, Montserrat . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:18-33.

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2016Is momentum trading profitable from Shariah compliant stocks?. (2016). , Mamunurrashid ; Ee, Mong Shan ; Li, Bob ; Rashid, Mamunur . In: Review of Financial Economics. RePEc:eee:revfin:v:31:y:2016:i:c:p:56-63.

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2016Consumption, wealth, stock and housing returns: Evidence from emerging markets. (2016). Sousa, Ricardo ; Caporale, Guglielmo Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:562-578.

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2016Tick test accuracy in foreign exchange ECN markets. (2016). ben Omrane, Walid ; Welch, Robert . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:135-152.

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2016The price of freedom: Idiosyncratic currency devaluations. (2016). Stocker, Marshall L. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:312-325.

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2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

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2017The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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2016If you’re so smart: John Maynard Keynes and currency speculation in the interwar years. (2016). Accominotti, Olivier ; Chambers, David . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:64722.

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2017Horizon-dependent risk aversion and the timing and pricing of uncertainty. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne. In: Staff Reports. RePEc:fip:fednsr:703.

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2017The term structure of expectations and bond yields. (2017). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:775.

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2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoßt ; Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2016Foreign exchange investment rules and endogenous currency crashes. (2016). Raffestin, Louis. In: Working Papers. RePEc:hal:wpaper:hal-01277113.

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2016Stock Return Predictability: Evaluation based on prediction intervals. (2016). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie . In: Working Papers. RePEc:hal:wpaper:hal-01295037.

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2016Bond Liquidity at the Oslo Stock Exchange. (2016). Ødegaard, Bernt. In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2016_016.

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2016Risk and Return Spillovers among the G10 Currencies. (2016). Greenwood-Nimmo, Matthew ; Rafferty, Barry ; Nguyen, Viet Hoang . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n04.

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2016Risk and Return Spillovers among the G10 Currencies. (2016). Nguyen, Viet Hoang ; Rafferty, Barry ; Greenwood-Nimmo, Matthew . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n4.

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2016How do Experts Forecast Sovereign Spreads?. (2016). Poplawski-Ribeiro, Marcos ; Claeys, Peter ; Cimadomo, Jacopo. In: IMF Working Papers. RePEc:imf:imfwpa:16/100.

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2016Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective. (2016). Konstantinov, Gueorgui . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:30:y:2016:i:3:d:10.1007_s11408-016-0271-y.

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2016Money Illusion and Household Finance. (2016). Tyran, Jean-Robert ; Stephens, Thomas A. In: Discussion Papers. RePEc:kud:kuiedp:1614.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoßt ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2016Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market. (2016). Mehl, Arnaud ; Lafarguette, Romain ; Eichengreen, Barry. In: NBER Working Papers. RePEc:nbr:nberwo:21884.

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2016Intermediary Asset Pricing: New Evidence from Many Asset Classes. (2016). He, Zhiguo ; Manela, Asaf ; Kelly, Bryan . In: NBER Working Papers. RePEc:nbr:nberwo:21920.

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2016Currency Manipulation. (2016). Hassan, Tarek ; Zhang, Tony ; Mertens, Thomas M. In: NBER Working Papers. RePEc:nbr:nberwo:22790.

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2017FX Market Metrics: New Findings Based on CLS Bank Settlement Data. (2017). Levich, Richard M ; Hasbrouck, Joel . In: NBER Working Papers. RePEc:nbr:nberwo:23206.

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2016Stock Return Predictability: Evaluation based on Prediction Intervals. (2016). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie . In: MPRA Paper. RePEc:pra:mprapa:70143.

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2016US Dollar Carry Trades in the Era of “Cheap Money”. (2016). Moore, Michael ; Li, Youwei ; Shehadeh, Ali ; Erds, Peter . In: MPRA Paper. RePEc:pra:mprapa:70770.

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2016The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity. (2016). Moore, Michael ; Li, Youwei ; Shehadeh, Ali . In: MPRA Paper. RePEc:pra:mprapa:71709.

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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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2016Variance targeting estimation of the BEKK-X model. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75572.

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2016The Impact of Momentum Factors on Multi Asset Portfolio. (2016). Isiksal, Aliya Zhakanova ; Backhaus, Achim . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:4:p:146-169.

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2016Testing and Interpreting Uncovered Interest Parity in Russia. (2016). Vasilyev, Dmitry ; Busygin, Sergei . In: Economic Policy. RePEc:rnp:ecopol:ep1642.

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2017FORECASTING WITH GARCH MODELS UNDER STRUCTURAL BREAKS: AN APPROACH BASED ON COMBINATIONS ACROSS ESTIMATION WINDOWS. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0219.

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2017Time-series and cross-sectional momentum strategies under alternative implementation strategies. (2017). Yeung, Danny ; Gao, Xiaojun ; Bird, Ron . In: Australian Journal of Management. RePEc:sae:ausman:v:42:y:2017:i:2:p:230-251.

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2016Covariances vs. characteristics: what does explain the cross section of the German stock market returns?. (2016). Fieberg, Christian ; Poddig, Thorsten ; Varmaz, Armin . In: Business Research. RePEc:spr:busres:v:9:y:2016:i:1:d:10.1007_s40685-016-0029-4.

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2016Specification errors of asset-pricing models for a market characterized by few large capitalization firms. (2016). Virk, Nader Shahzad ; Butt, Hilal Anwar . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:1:d:10.1007_s12197-014-9297-z.

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2016Specification errors of asset-pricing models for a market characterized by few large capitalization firms. (2016). Virk, Nader ; Butt, Hilal . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:1:p:68-84.

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2016Vice versus virtue investing around the world. (2016). Walkshausl, Christian ; Lobe, Sebastian . In: Review of Managerial Science. RePEc:spr:rvmgts:v:10:y:2016:i:2:d:10.1007_s11846-014-0147-3.

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2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schlepper, Kathi ; Schrimpf, Andreas ; Hofer, Heiko ; Riordan, Ryan . In: Discussion Papers. RePEc:zbw:bubdps:062017.

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More than 100 citations found, this list is not complete...

Works by Andreas Schrimpf:


YearTitleTypeCited
2009Global Asset Pricing: Is There a Role for Long-run Consumption Risk? In: CREATES Research Papers.
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2010Dividend predictability around the world In: CREATES Research Papers.
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2014Dividend Predictability Around the World.(2014) In: Journal of Financial and Quantitative Analysis.
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2010Macro Expectations, Aggregate Uncertainty, and Expected Term Premia In: CREATES Research Papers.
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2013Macro-expectations, aggregate uncertainty, and expected term premia.(2013) In: European Economic Review.
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2010Macro expectations, aggregate uncertainty, and expected term premia.(2010) In: ZEW Discussion Papers.
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2010A Comprehensive Look at Financial Volatility Prediction by Economic Variables In: CREATES Research Papers.
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2012A Comprehensive Look at Financial Volatility Prediction by Economic Variables.(2012) In: BIS Working Papers.
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2012A comprehensive look at financial volatility prediction by economic variables.(2012) In: Journal of Applied Econometrics.
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2011International Diversification Benefits with Foreign Exchange Investment Styles In: CREATES Research Papers.
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2014International Diversification Benefits with Foreign Exchange Investment Styles.(2014) In: Review of Finance.
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2011International diversification benefits with foreign exchange investment styles.(2011) In: ZEW Discussion Papers.
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2012Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM In: CREATES Research Papers.
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2013Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM.(2013) In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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paper
2016The Response of Tail Risk Perceptions to Unconventional Monetary Policy In: American Economic Journal: Macroeconomics.
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2013The response of tail risk perceptions to unconventional monetary policy.(2013) In: BIS Working Papers.
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2011FX strategies in periods of distress In: BIS Quarterly Review.
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2013The anatomy of the global FX market through the lens of the 2013 Triennial Survey In: BIS Quarterly Review.
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2016Hanging up the phone - electronic trading in fixed income markets and its implications In: BIS Quarterly Review.
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2016Downsized FX markets: causes and implications In: BIS Quarterly Review.
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2011Currency Momentum Strategies In: BIS Working Papers.
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2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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2012Currency Momentum Strategies.(2012) In: Working Paper Series.
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2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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2015Global Asset Allocation Shifts In: BIS Working Papers.
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2016When the walk is not random: commodity prices and exchange rates In: BIS Working Papers.
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2016Has the pricing of stocks become more global? In: BIS Working Papers.
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paper1
2016Has the Pricing of Stocks Become More Global?.(2016) In: Swiss Finance Institute Research Paper Series.
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2015Has the Pricing of Stocks Become More Global?.(2015) In: CEPR Discussion Papers.
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2007Cross-sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market In: European Financial Management.
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2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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2015Size and Momentum Profitability in International Stock Markets In: Swiss Finance Institute Research Paper Series.
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2015Size and Momentum Profitability in International Stock Markets.(2015) In: CEPR Discussion Papers.
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2016Intermediation Markups and Monetary Policy Passthrough In: Swiss Finance Institute Research Paper Series.
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2016Currency Value In: CEPR Discussion Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates In: CEPR Discussion Papers.
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2011Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? In: European Economic Review.
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article19
2008Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?.(2008) In: SFB 649 Discussion Papers.
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paper
2013What do professional forecasters stock market expectations tell us about herding, information extraction and beauty contests? In: Journal of Empirical Finance.
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article1
2010A reappraisal of the leading indicator properties of the yield curve under structural instability In: International Journal of Forecasting.
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article18
2010International stock return predictability under model uncertainty In: Journal of International Money and Finance.
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article8
2008International Stock Return Predictability Under Model Uncertainty.(2008) In: ZEW Discussion Papers.
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2009Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns In: Review of Financial Economics.
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2009Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns.(2009) In: CFR Working Papers.
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paper
2007Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns.(2007) In: ZEW Discussion Papers.
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paper
2011On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications In: CER-ETH Economics working paper series.
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paper11
2009Carry Trades and Global FX Volatility In: MPRA Paper.
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paper3
2009Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance.
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2009Long-horizon consumption risk and the cross-section of returns: New tests and international evidence.(2009) In: CFR Working Papers.
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2009Higher-order beliefs among professional stock market forecasters: some first empirical tests In: ZEW Discussion Papers.
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paper2
2006Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns In: ZEW Discussion Papers.
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2006Evaluating conditional asset pricing models for the German stock market In: ZEW Discussion Papers.
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paper3
2006Methoden mittelfristiger gesamtwirtschaftlicher Projektionen In: ZEW Wachstums- und Konjunkturanalysen.
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2007Zinsstruktur als Konjunkturindikator: Wie variabel ist die Prognosekraft? In: ZEW Wachstums- und Konjunkturanalysen.
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article0
2009Rendite und Risiko von Carry Trade Strategien auf DevisenmÀrkten In: ZEW Wachstums- und Konjunkturanalysen.
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