Andreas Schrimpf : Citation Profile


Are you Andreas Schrimpf?

Bank for International Settlements (BIS)

12

H index

13

i10 index

531

Citations

RESEARCH PRODUCTION:

24

Articles

43

Papers

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 44
   Journals where Andreas Schrimpf has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 18 (3.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc349
   Updated: 2018-06-16    RAS profile: 2018-05-23    
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Relations with other researchers


Works with:

Schmeling, Maik (8)

Sarno, Lucio (4)

Menkhoff, Lukas (3)

Sushko, Vladyslav (3)

Rime, Dagfinn (3)

Kroencke, Tim (2)

Kearns, Jonathan (2)

Avalos, Fernando (2)

Kohlscheen, Emanuel (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)

Menkhoff, Lukas (15)

Claessens, Stijn (15)

Christiansen, Charlotte (14)

Sarno, Lucio (14)

MacDonald, Ronald (13)

Cenedese, Gino (11)

Hassan, Tarek (11)

Valente, Giorgio (10)

Dick, Christian (10)

Savva, Christos (8)

Cites to:

Campbell, John (37)

Cochrane, John (19)

Bekaert, Geert (19)

French, Kenneth (15)

Sarno, Lucio (15)

Harvey, Campbell (14)

Fama, Eugene (14)

welch, ivo (14)

Burnside, Craig (14)

Rime, Dagfinn (14)

Eichenbaum, Martin (13)

Main data


Where Andreas Schrimpf has published?


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

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements10
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 (2018 and 2017)


YearTitle of citing document
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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2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben G ; 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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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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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

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

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

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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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2017Output gaps and stabilisation policies in Latin America: The effect of commodity and capital flow cycles. (2017). Lombardi, Marco ; Gondo Mori, Rocio ; Alberola, Enrique ; Urbina, Diego . In: Ensayos sobre PolĂ­tica EconĂłmica. RePEc:bdr:ensayo:v:35:y:2017:i:82:p:40-52.

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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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2017Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: BIS Working Papers. RePEc:bis:biswps:619.

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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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2017Assessing fiscal policy through the lens of the financial and the commodity price cycles. (2017). Sousa, Ricardo ; Alberola, Enrique ; Alberola-Ila, Enrique . In: BIS Working Papers. RePEc:bis:biswps:638.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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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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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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2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

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2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

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2017Dealer Trading at the Fix. (2017). Osler, Carol ; Turnbull, Alasdair . In: Working Papers. RePEc:brd:wpaper:101r.

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

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2017The Portfolio Rebalancing Effects of the ECBs Asset Purchase Programme. (2017). Dunne, Peter ; Bua, Giovanna. In: Research Technical Papers. RePEc:cbi:wpaper:07/rt/17.

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

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2017Output gaps and stabilisation policies in Latin America: The effect of commodity and capital flow cycles. (2017). Lombardi, Marco ; Gondo Mori, Rocio ; Alberola, Enrique ; Urbina, Diego . In: ENSAYOS SOBRE POLÍTICA ECONÓMICA. RePEc:col:000107:015473.

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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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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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

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2017Carry trade returns with Support Vector Machines. (2017). Colombo, Emilio ; Rossignoli, Roberto ; Forte, Gianfranco. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1705.

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2017Central bank swap lines and CIP deviations. (2017). Moessner, Richhild ; Galati, Gabriele ; Nelson, William ; Allen, William . In: DNB Working Papers. RePEc:dnb:dnbwpp:566.

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

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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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2017Dissecting long-term Bund yields in the run-up to the ECBs Public Sector Purchase Programme. (2017). Lemke, Wolfgang ; Werner, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20172106.

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2017The portfolio of euro area fund investors and ECB monetary policy announcements. (2017). Manganelli, Simone ; Habib, Maurizio Michael ; Bubeck, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20172116.

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

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2017Dissecting models forecasting performance. (2017). Siliverstovs, Boriss. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:294-299.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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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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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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2017Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. (2017). Yılmaz, Erdal ; Ozmen, Utku ; Yilmaz, Erdal. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:173-188.

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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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2017Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Feng, Jiabao ; Yin, Libo ; 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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2017Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises. (2017). Orbach, Sven ; Abourachid, Halim ; Kubo, Alexander. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:147-151.

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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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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). Wegener, Christoph ; Spiwoks, Markus ; Bizer, Kilian ; Kunze, Frederik. 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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2018Common information in carry trade risk factors. (2018). Byrne, Joseph ; Sakemoto, Ryuta ; 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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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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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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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2017Unemployment fluctuations and the predictability of currency returns. (2017). Nucera, Federico. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:88-106.

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2017Disagreement in expectations about public debt, monetary policy credibility and inflation risk premium. (2017). Montes, Gabriel Caldas ; 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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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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2017Intermediary asset pricing: New evidence from many asset classes. (2017). He, Zhiguo ; Manela, Asaf ; Kelly, Bryan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:1:p:1-35.

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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 Y ; 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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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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2017Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies. (2017). Chen, Shu-Hsiu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:1-20.

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2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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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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2017Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Luo, JI ; Li, Baibing ; Tee, Kai-Hong . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:309-318.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:397-407.

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2018Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted. (2018). Ni, Yensen ; Day, Min-Yuh ; Huang, Paoyu ; Cheng, Yirung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:188-204.

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2017The asymmetry in carry trade and the U.S. dollar. (2017). Wu, Chih-Chiang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:304-313.

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2017Measuring uncertainty in the stock market. (2017). Uribe, 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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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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2017Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CAMA Working Papers. RePEc:een:camaaa:2017-76.

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2018.

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2017A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices. (2017). D'Amico, Stefania ; Anene, Dominic. In: Working Paper Series. RePEc:fip:fedhwp:wp-2017-26.

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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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2017Modeling Real Exchange Rate Persistence in Chile. (2017). Salazar, Leonardo . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:29-:d:103932.

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

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2017Dynamic Momentum and Contrarian Trading. (2017). Dobrynskaya, Victoria. In: HSE Working papers. RePEc:hig:wpaper:61/fe/2017.

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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: IREA Working Papers. RePEc:ira:wpaper:201801.

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2018Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?. (2018). Gruener, Andreas ; Finke, Christian . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:9:y:2018:i:1:p:8-30.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1718.

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2018Forecasting Exchange Rates with Commodity Prices - A Global Country Analysis. (2018). Klose, Jens ; BaumgÀrtner, Martin. In: MAGKS Papers on Economics. RePEc:mar:magkse:201812.

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2018US Inflation and Inflation Uncertainty Over 200 Years. (2018). Fountas, Stilianos ; Bredin, Don. In: Discussion Paper Series. RePEc:mcd:mcddps:2018_04.

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

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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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2017Funding Value Adjustments. (2017). Duffie, Darrell ; Song, Yang ; Andersen, Leif. In: NBER Working Papers. RePEc:nbr:nberwo:23680.

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2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates. (2017). Lustig, Hanno ; Richmond, Robert J. In: NBER Working Papers. RePEc:nbr:nberwo:23773.

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2017The Effect of Financial Ratios on the Stock Price Development. (2017). Stavarek, Daniel ; Praak, Toma . In: Working Papers. RePEc:opa:wpaper:0043.

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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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article
2010Macro expectations, aggregate uncertainty, and expected term premia.(2010) In: ZEW Discussion Papers.
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paper
2010A Comprehensive Look at Financial Volatility Prediction by Economic Variables In: CREATES Research Papers.
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paper45
2012A Comprehensive Look at Financial Volatility Prediction by Economic Variables.(2012) In: BIS Working Papers.
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paper
2012A comprehensive look at financial volatility prediction by economic variables.(2012) In: Journal of Applied Econometrics.
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article
2011International Diversification Benefits with Foreign Exchange Investment Styles In: CREATES Research Papers.
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paper7
2014International Diversification Benefits with Foreign Exchange Investment Styles.(2014) In: Review of Finance.
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article
2011International diversification benefits with foreign exchange investment styles.(2011) In: ZEW Discussion Papers.
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paper
2012Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM In: CREATES Research Papers.
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paper3
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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paper
2011FX strategies in periods of distress In: BIS Quarterly Review.
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article8
2013The anatomy of the global FX market through the lens of the 2013 Triennial Survey In: BIS Quarterly Review.
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article17
2016Hanging up the phone - electronic trading in fixed income markets and its implications In: BIS Quarterly Review.
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article1
2016Downsized FX markets: causes and implications In: BIS Quarterly Review.
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article2
2011Currency Momentum Strategies In: BIS Working Papers.
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paper65
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
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paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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paper18
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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article
2015Global Asset Allocation Shifts In: BIS Working Papers.
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paper4
2016When the walk is not random: commodity prices and exchange rates In: BIS Working Papers.
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paper9
2017When the Walk Is Not Random: Commodity Prices and Exchange Rates.(2017) In: International Journal of Central Banking.
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article
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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This paper has another version. Agregated cites: 1
paper
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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2017Monetary policys rising FX impact in the era of ultra-low rates In: BIS Working Papers.
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paper2
2017Monetary policys rising FX impact in the era of ultra-low rates.(2017) In: CEPR Discussion Papers.
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2017Segmented money markets and covered interest parity arbitrage In: BIS Working Papers.
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paper3
2017Segmented money markets and covered interest parity arbitrage.(2017) In: Working Paper.
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This paper has another version. Agregated cites: 3
paper
2007Cross-sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market In: European Financial Management.
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article19
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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article191
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 191
paper
2015Size and Momentum Profitability in International Stock Markets In: Swiss Finance Institute Research Paper Series.
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paper1
2015Size and Momentum Profitability in International Stock Markets.(2015) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
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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paper
2017Intermediation Markups and Monetary Policy Passthrough.(2017) In: 2017 Meeting Papers.
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paper
2016Currency Value In: CEPR Discussion Papers.
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paper6
2017Currency Value.(2017) In: Review of Financial Studies.
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article
2011Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? In: European Economic Review.
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article23
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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article19
2010International stock return predictability under model uncertainty In: Journal of International Money and Finance.
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article11
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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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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paper16
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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article1
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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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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article0
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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article0

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