Andreas Schrimpf : Citation Profile


Are you Andreas Schrimpf?

Bank for International Settlements (BIS)

14

H index

19

i10 index

704

Citations

RESEARCH PRODUCTION:

25

Articles

50

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2006 - 2019). See details.
   Cites by year: 54
   Journals where Andreas Schrimpf has often published
   Relations with other researchers
   Recent citing documents: 198.    Total self citations: 23 (3.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc349
   Updated: 2019-10-15    RAS profile: 2019-06-03    
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Relations with other researchers


Works with:

Schmeling, Maik (6)

Rime, Dagfinn (4)

Sushko, Vladyslav (4)

Kearns, Jonathan (3)

Menkhoff, Lukas (3)

Sarno, Lucio (3)

Hofer, Heiko (2)

Kohlscheen, Emanuel (2)

Kroencke, Tim (2)

Avalos, Fernando (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:

Kose, Ayhan (15)

Claessens, Stijn (15)

Menkhoff, Lukas (15)

Sarno, Lucio (15)

Christiansen, Charlotte (14)

MacDonald, Ronald (13)

Cenedese, Gino (13)

Ranaldo, Angelo (13)

Hassan, Tarek (11)

Valente, Giorgio (10)

Dick, Christian (10)

Cites to:

Campbell, John (39)

Bekaert, Geert (22)

French, Kenneth (19)

Fama, Eugene (19)

Cochrane, John (19)

Sarno, Lucio (15)

Harvey, Campbell (15)

Swanson, Eric (14)

Eichenbaum, Martin (14)

Burnside, Craig (14)

Rime, Dagfinn (14)

Main data


Where Andreas Schrimpf has published?


Journals with more than one article published# docs
BIS Quarterly Review5
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 Settlements13
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Andreas Schrimpf (2019 and 2018)


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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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801.

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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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2018ECB monetary policy and the euro exchange rate. (2018). Cecioni, Martina. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1172_18.

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2018An Auction-Based Test of Private Information in an Interdealer FX Market. (2018). Villamizar-Villegas, mauricio ; Bonaldi, Pietro. In: Borradores de Economia. RePEc:bdr:borrec:1049.

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2018Breakdown of covered interest parity: mystery or myth?. (2018). Wong, Alfred ; Zhang, Jiayue. In: BIS Papers chapters. RePEc:bis:bisbpc:96-08.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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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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2018Effectiveness of unconventional monetary policies in a low interest rate environment. (2018). Filardo, Andrew ; Nakajima, Jouchi. In: BIS Working Papers. RePEc:bis:biswps:691.

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2018A key currency view of global imbalances. (2018). McCauley, Robertn ; Ito, Hiro. In: BIS Working Papers. RePEc:bis:biswps:762.

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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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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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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2018Aggregate demand deficiency, labor unions, and long‐run stagnation. (2018). Murota, Ryuichiro . In: Metroeconomica. RePEc:bla:metroe:v:69:y:2018:i:4:p:868-888.

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2018Unconventional monetary policy and the portfolio choice of international mutual funds. (2018). Cenedese, Gino ; Elard, Ilaf. In: Bank of England working papers. RePEc:boe:boeewp:0705.

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2018Central Bank Swap Lines. (2018). Bahaj, Saleem ; Reis, Ricardo. In: Bank of England working papers. RePEc:boe:boeewp:0741.

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2018The deeds of speed: an agent-based model of market liquidity and flash episodes. (2018). Karvik, Geir-Are ; Beale, Daniel ; Worlidge, Jack ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0743.

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

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

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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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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2018). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt1778z416.

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2018Central Bank Swap Lines. (2018). Bahaj, Saleem ; Reis, Ricardo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7124.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2018Global Investors, the Dollar, and U.S. Credit Conditions. (2018). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7288.

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

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2018Central Bank Swap Lines. (2018). Reis, Ricardo ; Bahaj, Saleem. In: Discussion Papers. RePEc:cfm:wpaper:1816.

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

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2018Central Bank Swap Lines. (2018). Bahaj, Saleem ; Reis, Ricardo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13003.

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2018Global Investors, the Dollar, and U.S. Credit Conditions. (2018). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13237.

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

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2017Liquidity in FX spot and forward markets. (2001). Sushko, Vladyslav ; Krohn, Ingomar . In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_019.

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2018Global Positioning Risk and FX Trading Strategies. (2002). 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. (2001). McCauley, Robert ; Shu, Chang ; Cheung, Yin-Wong. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_011.

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2018Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries. (2018). Salisu, Afees ; Emmanuel, Zachariah ; Alimi, Wasiu A ; Adekunle, Wasiu. In: Working Papers. RePEc:cui:wpaper:0055.

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2018Quantitative easing and preferred habitat investors in the euro area bond market. (2018). Vermeulen, Robert ; Boermans, Martijn. In: DNB Working Papers. RePEc:dnb:dnbwpp:586.

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2018The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration. (2018). Boermans, Martijn ; Keshkov, Viacheslav. In: DNB Working Papers. RePEc:dnb:dnbwpp:590.

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

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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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2018Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries. (2018). Araki, Michael E ; Antonio, ; Klotzle, Marcelo Cabus. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00310.

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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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2018From carry trades to curvy trades. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: Working Paper Series. RePEc:ecb:ecbwps:20182149.

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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). Eser, Fabian ; Vladu, Andreea Liliana ; Radde, Soren ; Nyholm, Ken ; Lemke, Wolfgang. In: Working Paper Series. RePEc:ecb:ecbwps:20192293.

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2018In search of beta. (2018). Tharyan, Rajesh ; Hua, Shan ; Gregory, Alan. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:425-441.

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2018The distribution of cross sectional momentum returns. (2018). Oh Kang Kwon, ; Satchell, Stephen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:225-241.

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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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2018The predictive power of the yield spread for future economic expansions: Evidence from a new approach. (2018). Wohar, Mark ; Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:181-195.

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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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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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2018Momentum and crash sensitivity. (2018). Ruenzi, Stefan ; Weigert, Florian. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:77-81.

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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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2018Global macro risks in currency excess returns. (2018). Berg, Kimberly ; Mark, Nelson C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:300-315.

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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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2018Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80.

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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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2018Return dispersion risk in FX and global equity markets: Does it explain currency momentum?. (2018). Grobys, Klaus ; Kolari, James ; Heinonen, Jari-Pekka . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:264-280.

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2018Does derivatives use reduce the cost of equity?. (2018). Ahmed, Shamim ; Mahmud, Syed Ehsan ; Judge, Amrit. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:1-16.

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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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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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2018Intraday patterns in foreign exchange returns and realized volatility. (2018). Zhang, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:99-104.

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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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2018Financial stress and its non-linear impact on CEE exchange rates. (2018). Adam, Toma ; Matj, Jakub ; Benecka, Soa. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:346-360.

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2019Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

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2018Common information in carry trade risk factors. (2018). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47.

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2018A market-based measure for currency risk in managed exchange rate regimes. (2018). Eichler, Stefan ; Roevekamp, Ingmar . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:141-159.

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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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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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2018On the transactions costs of UK quantitative easing. (2018). Breedon, Francis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:347-356.

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2018Asset market responses to conventional and unconventional monetary policy shocks in the United States. (2018). Krippner, Leo ; Claus, Edda. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:270-282.

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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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2018Voluntary disclosure in bilateral transactions. (2018). OPP, CHRISTIAN ; Zhang, Xingtan ; Glode, Vincent. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:652-688.

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2018Carry. (2018). , Ralph ; Vrugt, Evert B ; Pedersen, Lasse Heje ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:197-225.

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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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2018Quantitative easing auctions of Treasury bonds. (2018). Song, Zhaogang ; Zhu, Haoxiang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:103-124.

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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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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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2018Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19.

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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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This paper has another version. Agregated cites: 19
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2010Macro Expectations, Aggregate Uncertainty, and Expected Term Premia In: CREATES Research Papers.
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paper18
2013Macro-expectations, aggregate uncertainty, and expected term premia.(2013) In: European Economic Review.
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This paper has another version. Agregated cites: 18
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2010Macro expectations, aggregate uncertainty, and expected term premia.(2010) In: ZEW Discussion Papers.
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This paper has another version. Agregated cites: 18
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2010A Comprehensive Look at Financial Volatility Prediction by Economic Variables In: CREATES Research Papers.
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paper58
2012A Comprehensive Look at Financial Volatility Prediction by Economic Variables.(2012) In: BIS Working Papers.
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This paper has another version. Agregated cites: 58
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2012A comprehensive look at financial volatility prediction by economic variables.(2012) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 58
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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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This paper has another version. Agregated cites: 10
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2011International diversification benefits with foreign exchange investment styles.(2011) In: ZEW Discussion Papers.
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This paper has another version. Agregated cites: 10
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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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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 18
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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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2019Beyond LIBOR: a primer on the new benchmark rates 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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This paper has another version. Agregated cites: 82
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2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 82
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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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This paper has another version. Agregated cites: 27
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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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2017When the Walk Is Not Random: Commodity Prices and Exchange Rates.(2017) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 16
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2016Has the pricing of stocks become more global? In: BIS Working Papers.
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2016Has the Pricing of Stocks Become More Global?.(2016) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 1
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2015Has the Pricing of Stocks Become More Global?.(2015) In: CEPR Discussion Papers.
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2017Scarcity effects of QE: A transaction-level analysis in the Bund market In: BIS Working Papers.
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2017Scarcity effects of QE: A transaction-level analysis in the Bund market.(2017) In: Discussion Papers.
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This paper has another version. Agregated cites: 14
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2017Monetary policys rising FX impact in the era of ultra-low rates In: BIS Working Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates.(2017) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 8
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2017Segmented money markets and covered interest parity arbitrage In: BIS Working Papers.
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2017Segmented money markets and covered interest parity arbitrage.(2017) In: Working Paper.
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This paper has another version. Agregated cites: 15
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2018An intermediation-based model of exchange rates In: BIS Working Papers.
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2018An Intermediation-Based Model of Exchange Rates.(2018) In: Swiss Finance Institute Research Paper Series.
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2018An Intermediation-Based Model of Exchange Rates.(2018) In: CEPR Discussion 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 In: BIS Working Papers.
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2018Non-Monetary News in Central Bank Communication.(2018) In: NBER Chapters.
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This paper has another version. Agregated cites: 10
chapter
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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article27
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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article227
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 227
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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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This paper has another version. Agregated cites: 2
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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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2016Currency Value In: CEPR Discussion Papers.
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2017Currency Value.(2017) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 6
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2019Covered Interest Parity Arbitrage 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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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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This paper has another version. Agregated cites: 13
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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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This paper has another version. Agregated cites: 0
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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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This paper has another version. Agregated cites: 1
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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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