Andreas Schrimpf : Citation Profile


Are you Andreas Schrimpf?

Bank for International Settlements (BIS)

16

H index

20

i10 index

817

Citations

RESEARCH PRODUCTION:

30

Articles

53

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2006 - 2020). See details.
   Cites by year: 58
   Journals where Andreas Schrimpf has often published
   Relations with other researchers
   Recent citing documents: 204.    Total self citations: 28 (3.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc349
   Updated: 2020-05-16    RAS profile: 2020-04-26    
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Relations with other researchers


Works with:

Sushko, Vladyslav (7)

Schmeling, Maik (6)

Menkhoff, Lukas (3)

Kearns, Jonathan (3)

Kroencke, Tim (3)

Rime, Dagfinn (3)

Sarno, Lucio (3)

Hofer, Heiko (2)

Avalos, Fernando (2)

Kohlscheen, Emanuel (2)

Minesso Ferrari, Massimo (2)

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

Is cited by:

Sarno, Lucio (22)

Menkhoff, Lukas (18)

Kose, Ayhan (18)

Claessens, Stijn (15)

Christiansen, Charlotte (14)

Ranaldo, Angelo (13)

MacDonald, Ronald (13)

Cenedese, Gino (13)

Sakemoto, Ryuta (12)

Hassan, Tarek (11)

Dick, Christian (10)

Cites to:

Campbell, John (39)

Bekaert, Geert (22)

Fama, Eugene (19)

Cochrane, John (19)

French, Kenneth (18)

Rime, Dagfinn (17)

Swanson, Eric (17)

Sarno, Lucio (15)

Harvey, Campbell (15)

Rebelo, Sergio (14)

Hodrick, Robert (14)

Main data


Where Andreas Schrimpf has published?


Journals with more than one article published# docs
BIS Quarterly Review7
ZEW Wachstums- und Konjunkturanalysen3
Journal of Finance2
Journal of Financial and Quantitative Analysis2
European Economic Review2

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements13
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute5
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Andreas Schrimpf (2020 and 2019)


YearTitle of citing document
2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2020The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets. (2020). Takayasu, Misako ; Christensen, Kim ; Sueshige, Takumi ; Ciacci, Alberto. In: Papers. RePEc:arx:papers:2002.02583.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2019Risky bank guarantees. (2019). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Mikinen, Taneli . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1232_19.

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2019Unconventional monetary policy tools: a cross-country analysis. (2019). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:63.

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2019OTC derivatives: euro exposures rise and central clearing advances. (2019). Huang, Wenqian ; Aramonte, Sirio. In: BIS Quarterly Review. RePEc:bis:bisqtr:1912j.

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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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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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2019Bond risk premia and the exchange rate. (2019). SHIM, ILHYOCK ; Shin, Hyun Song ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:775.

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2019Dominant currency debt. (2019). Malamud, Semyon ; Eren, Egemen. In: BIS Working Papers. RePEc:bis:biswps:783.

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2019A loan-level analysis of bank lending in Mexico. (2019). Lopez-Gallo, Fabrizio ; Lobato, Roberto ; Cantu, Carlos. In: BIS Working Papers. RePEc:bis:biswps:802.

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2020Central bank swaps then and now: swaps and dollar liquidity in the 1960s. (2020). Schenk, Catherine R ; McCauley, Robert N. In: BIS Working Papers. RePEc:bis:biswps:851.

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2019Monetary Policy Surprises in Russia. (2019). Tishin, Alexander. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:78:y:2019:i:4:p:48-70.

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2018STOCK†BOND CO†MOVEMENTS AND FLIGHT†TO†QUALITY IN G7 COUNTRIES: A TIME†FREQUENCY ANALYSIS. (2018). demiralay, sercan ; Gencer, Hatice Gaye ; Bayraci, Selcuk. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:e29-e49.

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2017COMMUNICATION ABOUT FUTURE POLICY RATES IN THEORY AND PRACTICE: A SURVEY. (2017). Moessner, Richhild ; Jansen, David-Jan ; de Haan, Jakob. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:3:p:678-711.

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2019Narrative monetary policy surprises and the media. (2019). Thorsrud, Leif ; Larsen, Vegard H ; Ellen, Saskia Ter. In: Working Papers. RePEc:bny:wpaper:0078.

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2019Currency mispricing and dealer balance sheets. (2019). Cenedese, Gino ; Wang, Tianyu ; Della Corte, Pasquale. In: Bank of England working papers. RePEc:boe:boeewp:0779.

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2019Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities. (2019). Moessner, Richhild ; Mehrotra, Aaron ; Shu, Chang. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_020.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Wang, Yudong ; Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2020The Short-Run Impact of Interest Rates on Exchange Rates: Results for the Swiss franc Against the Euro and US Dollar from Daily Data 2001-2011. (2020). Kugler, Peter. In: Working papers. RePEc:bsl:wpaper:2020/01.

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2019The Irish Government Bond Market and Quantitative Easing. (2019). Furlong, Sean ; Anderson, PJ ; Larkin, John . In: Quarterly Bulletin Articles. RePEc:cbi:qtbart:y:2019:m:04:p:78-100.

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2019Market-based monetary policy uncertainty. (2019). Lakdawala, Aeimit ; Bauer, Michael ; Mueller, Philippe. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7621.

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2019Measuring Euro Area Monetary Policy. (2019). Gürkaynak, Refet ; Brugnolini, Luca ; Altavilla, Carlo ; Ragusa, Giuseppe ; Motto, Roberto ; Gurkaynak, Refet S ; Carlo Altavilla , . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7699.

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2020Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143.

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2018Predictibilidad del Mercado Accionario Colombiano. (2018). LOPEZ, JOSE. In: Documentos CEDE. RePEc:col:000089:016086.

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2019Determinants of real exchange rate movements in 15 emerging market economies. (2019). Goda, Thomas ; Priewe, Jan. In: Documentos de Trabajo CIEF. RePEc:col:000122:017468.

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2019Risky Bank Guarantees. (2019). Sarno, Lucio ; Zinna, Gabriele ; Makinen, Taneli. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13709.

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2019Measuring Euro Area Monetary Policy. (2019). Gürkaynak, Refet ; Brugnolini, Luca ; Altavilla, Carlo ; Ragusa, Giuseppe ; Motto, Roberto . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13759.

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2019Forward-Looking Policy Rules and Currency Premia. (2019). Taylor, Mark P ; Filippou, Ilias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13835.

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2019Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14015.

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2020Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. (2020). Mehl, Arnaud ; Grab, Johannes ; Georgiadis, Georgios ; Dedola, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14324.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Ha, Jongrim ; Kose, Ayhan ; Otrok, Christopher ; Prasad, Eswar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14404.

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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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2019Central bank tone and the dispersion of views within monetary policy committees. (2019). Labondance, Fabien ; Hubert, Paul. In: Working Papers. RePEc:crb:wpaper:2019-08.

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2017Interest Rate Future Quality Options and Negative Interest Rates. (2017). de la Corte, Alejandro Balbas ; Herrero, Ricardo Laborda . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24859.

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2018Global Positioning Risk and FX Trading Strategies. (2018). Menkhoff, Lukas ; Huang, Huichou. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_020.

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2019Geographic spread of currency trading: The renminbi and other EM currencies. (2019). McCauley, Robert ; Cheung, Yin-Wong ; Shu, Chang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_011.

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2020Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004.

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2019Effects of QE on sovereign bond spreads through the safe asset channel. (2019). End, Jan Willem ; van den End, Jan Willem. In: DNB Working Papers. RePEc:dnb:dnbwpp:647.

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2019Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2019). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:660.

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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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2017Modeling euro area bond yields using a time-varying factor model. (2017). Adam, Tomas ; 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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2019Measuring euro area monetary policy. (2019). Gürkaynak, Refet ; Brugnolini, Luca ; Altavilla, Carlo ; Ragusa, Giuseppe ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20192281.

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2019Tracing the impact of the ECB’s asset purchase programme on the yield curve. (2019). Lemke, Wolfgang ; Eser, Fabian ; Vladu, Andreea Liliana ; Radde, Soren ; Nyholm, Ken. In: Working Paper Series. RePEc:ecb:ecbwps:20192293.

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2019A tale of two decades: the ECB’s monetary policy at 20. (2019). Rostagno, Massimo ; Altavilla, Carlo ; Yiangou, Jonathan ; Guilhem, Arthur Saint ; Motto, Roberto ; Lemke, Wolfgang ; Carboni, Giacomo. In: Working Paper Series. RePEc:ecb:ecbwps:20192346.

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2020Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387.

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2019Predicting firm level stock returns: Implications for asset pricing and economic links. (2019). McMillan, David G. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:333-351.

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2020The global financial crisis and the capital structure of firms: Was the impact more severe among SMEs and non-listed firms?. (2020). Tressel, Thierry ; Demirguc-Kunt, Asli ; Martinez, Maria Soledad ; Demirgu-Kunt, Asli. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918308393.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2019Volatility spillovers of unconventional monetary policy to emerging market economies. (2019). Beirne, John ; Apostolou, Apostolos . In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:118-129.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Pan, Zhiyuan ; Liu, LI. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

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2019Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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2019Expected currency returns and volatility risk premia. (2019). Haas, Jose Renato. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:206-234.

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2019Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries. (2019). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306296.

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2019Cryptocurrencies and momentum. (2019). Sapkota, Niranjan ; Grobys, Klaus. In: Economics Letters. RePEc:eee:ecolet:v:180:y:2019:i:c:p:6-10.

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2019Intentions rather than money illusion – Why nominal changes induce real effects. (2019). Lambsdorff, Johann Graf ; Graflambsdorff, Johann ; Giamattei, Marcus ; Grundmann, Susanna. In: European Economic Review. RePEc:eee:eecrev:v:119:y:2019:i:c:p:166-178.

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2020ECB Spillovers and domestic monetary policy effectiveness in small open economies. (2020). Midthjell, Nina Larsson ; Jansen, Edvard ; Ellen, Saskia Ter. In: European Economic Review. RePEc:eee:eecrev:v:121:y:2020:i:c:s0014292119301989.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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2019Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Yin, Libo ; Feng, Jiabao ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

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2017The effect of quantitative easing on the variance and covariance of the UK and US equity markets. (2017). Steeley, James ; Shogbuyi, Abiodun . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:281-291.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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2018Do precious and industrial metals act as hedges and safe havens for currency portfolios?. (2018). Sakemoto, Ryuta. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:256-262.

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2018Control-ownership disparity and stock market Predictability: Evidence from Korean chaebols. (2018). Joe, Denis Yongmin ; Park, Cheolbeom ; Oh, Frederick Dongchuhl. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:6-11.

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2019Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2019). Baumohl, Eduard. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:363-372.

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2019Is there still a weather anomaly? An investigation of stock and foreign exchange markets. (2019). Zheng, Min ; Wang, Changyu ; Andrikopoulos, Athanasios. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:51-59.

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2019Who trades on momentum?. (2019). Smajlbegovic, Esad ; Jank, Stephan ; Baltzer, Markus. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:56-74.

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2019Unexploited currency carry trade profit opportunity. (2019). Suh, Sangwon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:236-254.

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2019Carry trades and endogenous regime switches in exchange rate volatility. (2019). Cho, Dooyeon ; Lee, Na Kyeong ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2019Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis. (2019). Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:241-263.

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2019Avoiding momentum crashes: Dynamic momentum and contrarian trading. (2019). Dobrynskaya, Victoria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118303093.

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2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting. (2019). Walther, Thomas ; Bouri, Elie ; Klein, Tony. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302446.

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2019A comprehensive appraisal of style-integration methods. (2019). Fuertes, Ana-Maria ; Fernandez-Perez, Adrian ; Miffre, Joelle. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:134-150.

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2019Federal reserve private information and the stock market. (2019). Lakdawala, Aeimit ; Schaffer, Matthew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:34-49.

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2019What drives interbank loans? Evidence from Canada. (2019). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:427-444.

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2020Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme. (2020). Lemke, Wolfgang ; Werner, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302560.

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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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2020The yield spreads ability to forecast economic activity: What have we learned after 30 years of studies?. (2020). Papadamou, Stephanos ; Siriopoulos, Costas ; Evgenidis, Anastasios. In: Journal of Business Research. RePEc:eee:jbrese:v:106:y:2020:i:c:p:221-232.

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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

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2017Disagreement in expectations about public debt, monetary policy credibility and inflation risk premium. (2017). Montes, Gabriel ; Curi, Alexandre. In: Journal of Economics and Business. RePEc:eee:jebusi:v:93:y:2017:i:c:p:46-61.

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2018Four centuries of return predictability. (2018). Golez, Benjamin ; Koudijs, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:248-263.

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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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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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2019In search of preference shock risks: Evidence from longevity risks and momentum profits. (2019). Yang, Bowen ; Chen, Zhanhui . In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:225-249.

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2019Expectation and duration at the effective lower bound. (2019). King, Thomas B. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:736-760.

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

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2009Global Asset Pricing: Is There a Role for Long-run Consumption Risk? In: CREATES Research Papers.
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2010Macro Expectations, Aggregate Uncertainty, and Expected Term Premia In: CREATES Research Papers.
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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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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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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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2020Leverage and margin spirals in fixed income markets during the Covid-19 crisis In: BIS Bulletins.
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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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2019Beyond LIBOR: a primer on the new benchmark rates In: BIS Quarterly Review.
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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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2016Has the pricing of stocks become more global? In: BIS Working Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates In: BIS Working Papers.
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2018Explaining Monetary Spillovers: The Matrix Reloaded In: BIS Working Papers.
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2018Non-Monetary News in Central Bank Communication.(2018) In: NBER Working 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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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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2018Intermediation markups and monetary policy pass-through.(2018) In: CEPR Discussion Papers.
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2017Intermediation Markups and Monetary Policy Passthrough.(2017) In: 2017 Meeting Papers.
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2020Policy Announcement Design In: Swiss Finance Institute Research Paper Series.
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2016Currency Value In: CEPR Discussion Papers.
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2017Currency Value.(2017) In: Review of Financial Studies.
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2019Covered Interest Parity Arbitrage In: CEPR Discussion Papers.
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2019The FOMC Risk Shift In: CEPR Discussion Papers.
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2020The Market Microstructure of Central Bank Bond Purchases In: Journal of Financial and Quantitative Analysis.
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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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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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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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2010A reappraisal of the leading indicator properties of the yield curve under structural instability In: International Journal of Forecasting.
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2010International stock return predictability under model uncertainty In: Journal of International Money and Finance.
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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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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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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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2009Carry Trades and Global FX Volatility In: MPRA Paper.
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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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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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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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2009Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten In: ZEW Wachstums- und Konjunkturanalysen.
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