Christian Schlag : Citation Profile


Are you Christian Schlag?

Goethe Universität Frankfurt am Main

6

H index

3

i10 index

163

Citations

RESEARCH PRODUCTION:

18

Articles

15

Papers

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 7
   Journals where Christian Schlag has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 0 (0 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc783
   Updated: 2018-07-14    RAS profile: 2017-11-15    
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Relations with other researchers


Works with:

Donadelli, Michael (2)

Grüning, Patrick (2)

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

Is cited by:

Karolyi, G. (5)

Mitchell, Olivia (5)

Pascual-Fuster, Bartolomé (4)

Frijns, Bart (4)

Fernandes, Marcelo (4)

Phylaktis, Kate (3)

Climent, Francisco (3)

PASCUAL, ROBERTO (3)

Chen, Haiqiang (3)

Tourani-Rad, Alireza (3)

Reed, W. (3)

Cites to:

Chen, Zhiwu (7)

Cao, Charles (7)

Uhlig, Harald (4)

Granger, Clive (3)

Ritter, Jay (3)

LIU, JUN (3)

Scholes, Myron (3)

Ljungqvist, Alexander (3)

pan, jun (3)

merton, robert (2)

Kogan, Leonid (2)

Main data


Where Christian Schlag has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt5
CFS Working Paper Series / Center for Financial Studies (CFS)3
Money Macro and Finance (MMF) Research Group Conference 2003 / Money Macro and Finance Research Group2

Recent works citing Christian Schlag (2018 and 2017)


YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange. (2017). Suliga, Milena. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:201-225.

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2017Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish. (2017). Massari, Filippo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:190-205.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2017Does options trading convey information on futures prices?. (2017). Qiao, Shuai ; Tsai, Shih-Chuan ; Zheng, Zhenlong ; Lin, William T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:182-196.

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2018How money illusions and heterogeneous beliefs affect asset prices. (2018). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:167-192.

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2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

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2017Price disagreements and adjustments in index derivatives markets. (2017). Ryu, Doojin ; Yang, Heejin. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:104-106.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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2018Optimal investment under VaR-Regulation and Minimum Insurance. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:194-209.

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2017Index portfolio and welfare analysis under heterogeneous beliefs. (2017). Shi, Lei ; He, Xuezhong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:64-79.

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2017Portfolio choice and asset prices when preferences are interdependent. (2017). Curatola, Giuliano. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:197-223.

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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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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2018Retrieving aggregate information from option volume. (2018). Lin, William T ; Qiao, Shuai ; Zheng, Zhenlong ; Tsai, Shih-Chuan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:220-232.

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2018Do foreign institutional traders have private information for the market index? The aspect of market microstructure. (2018). Weng, Pei-Shih ; Tsai, Wei-Che. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:308-323.

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2017Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet . In: Textos para discussão. RePEc:fgv:eesptd:444.

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2018Temperature and Growth: A Panel Analysis of the United States. (2018). Phan, Toan ; Hoffman, Bridget ; Colacito, Riccardo. In: Working Paper. RePEc:fip:fedrwp:18-09.

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2017Equity Market Response to Form 20-F Disclosures for ADR Firms. (2017). Senteney, Michael H ; Bazaz, Mohammad S. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:3:p:233-255.

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2018Tax Evasion and Inequality. (2018). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

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2017Costs of capital under credit risk. (2017). Zbandut, Anastasiia ; Reichling, Peter . In: FEMM Working Papers. RePEc:mag:wpaper:170003.

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2017Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns. (2017). Lina, Jun-Biao ; Su, Ping-Yeh . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:1:f:7_1_2.

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2017Weather and Climate Change in a Real Business Cycle Model. (2017). Batu, Michael ; Arbex, Marcelo. In: Working Papers. RePEc:wis:wpaper:1707.

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2017Global temperature, R&D expenditure, and growth. (2017). Grüning, Patrick ; Donadelli, Michael ; Kizys, Renatas ; Juppner, Marcus ; Gruning, Patrick. In: SAFE Working Paper Series. RePEc:zbw:safewp:188.

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Works by Christian Schlag:


YearTitleTypeCited
Price Discovery in International Equity Trading In: Working Papers.
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paper9
2001Price discovery in international equity trading.(2001) In: CORE Discussion Papers.
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paper
1996Expiration day effects of stock index derivatives in Germany In: European Financial Management.
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article7
2008Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? In: Journal of Financial and Quantitative Analysis.
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article3
2011Pricing Two Heterogeneous Trees In: Journal of Financial and Quantitative Analysis.
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article4
2015‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors In: Journal of Economic Dynamics and Control.
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article4
2015Nobody is perfect: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors.(2015) In: SAFE Working Paper Series.
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2017Temperature shocks and welfare costs In: Journal of Economic Dynamics and Control.
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article3
2017Temperature shocks and welfare costs.(2017) In: SAFE Working Paper Series.
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paper
2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance.
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article72
2004Attainability of European path-independent claims in incomplete markets In: Finance Research Letters.
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article1
2005Price impacts of options volume In: Journal of Financial Markets.
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article20
1999An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany In: Global Finance Journal.
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article0
2008Optimal portfolios when volatility can jump In: Journal of Banking & Finance.
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article18
2004Why is the Index Smile So Steep? In: Review of Finance.
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article5
2004Why is the index smile so steep?.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2003.
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2004Why is the Index Smile So Steep?.(2004) In: Review of Finance.
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2007MacKenzie, D.: An Engine, Not a Camera. How Financial Models Shape Markets In: Journal of Economics.
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article0
2007Measuring Financial Integration via Idiosyncratic Risk: What Effects Are We Really Picking Up? In: Journal of Money, Credit and Banking.
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article1
2004Is volatility risk priced? Properties of tests based on option hedging errors In: Money Macro and Finance (MMF) Research Group Conference 2003.
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paper1
2017Asset Collateralizability and the Cross-Section of Expected Returns In: 2017 Meeting Papers.
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2008Discussion of Bounded Rationality, Rights Offerings, and Optimal Subscription Prices In: Schmalenbach Business Review (sbr).
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2006Discrete-Time Implementation of Continuous-Time Portfolio Strategies In: Computing in Economics and Finance 2006.
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2010Discrete-time implementation of continuous-time portfolio strategies.(2010) In: The European Journal of Finance.
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2012Hedging under model misspecification: All risk factors are equal, but some are more equal than others … In: Journal of Futures Markets.
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article0
2007OPTION BETAS: RISK MEASURES FOR OPTIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2
2000Has there always been underpricing and long-run underperformance? IPOs in Germany before World War I In: CFS Working Paper Series.
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2002Money-back guarantees in individual pension accounts: Evidence from the German pension reform In: CFS Working Paper Series.
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2003Over-allotment options in IPOs on Germanys Neuer Markt: An empirical investigation In: CFS Working Paper Series.
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paper3
2014What does US money market mutual fund reform portend for the European Union? In: SAFE White Paper Series.
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2016Commodities, financialization, and heterogeneous agents In: SAFE Working Paper Series.
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2016Commodities, financialization, and heterogeneous agents.(2016) In: SAFE Working Paper Series.
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2014Equilibrium asset pricing in networks with mutually exciting jumps In: SAFE Working Paper Series.
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