Christian Schlag : Citation Profile


Are you Christian Schlag?

Goethe Universität Frankfurt am Main

7

H index

5

i10 index

226

Citations

RESEARCH PRODUCTION:

18

Articles

16

Papers

RESEARCH ACTIVITY:

   23 years (1996 - 2019). See details.
   Cites by year: 9
   Journals where Christian Schlag has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 0 (0 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc783
   Updated: 2020-10-17    RAS profile: 2017-11-15    
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Relations with other researchers


Works with:

Donadelli, Michael (2)

Jüppner, Marcus (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:

Frijns, Bart (6)

Karolyi, G. (5)

Mitchell, Olivia (5)

Meinerding, Christoph (4)

Pascual-Fuster, Bartolomé (4)

Fernandes, Marcelo (4)

Dimpfl, Thomas (4)

Jüppner, Marcus (3)

Tourani-Rad, Alireza (3)

PASCUAL, ROBERTO (3)

Reed, W. (3)

Cites to:

Cao, Charles (7)

Chen, Zhiwu (7)

Epstein, Larry (6)

Shiller, Robert (4)

Uhlig, Harald (4)

Campbell, John (4)

Hercowitz, Zvi (3)

Valkanov, Rossen (3)

French, Kenneth (3)

Ritter, Jay (3)

Bansal, Ravi (3)

Main data


Where Christian Schlag has published?


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

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE5
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 (2020 and 2019)


YearTitle of citing document
2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Asset Diversification versus Climate Action. (2020). van der Ploeg, Frederick (Rick) ; VAN DERPLOEG, RICK ; Kraft, Holger ; Hambel, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8476.

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2020Re-examining the Expiration Effects of Index Futures: Evidence from India. (2020). Shaik, Muneer ; Singh, Gurmeet. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-3.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2020Market transparency and closing price behavior on month-end days: Evidence from Taiwan. (2020). Lin, Sheng-Min ; Huang, Yu Chuan ; Yu Chuan Huang, ; Chan, Shu Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301116.

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2020Disagreements with noisy signals and asset pricing. (2020). Cheng, Fengchao ; Ma, Chaoqun ; Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424.

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2020Tornado activity, house prices, and stock returns. (2020). Jüppner, Marcus ; Ghisletti, M ; Paradiso, A ; Juppner, M ; Donadelli, M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300590.

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2019The potential impacts of climate change on capital in the 21st century. (2019). Tsigaris, Panagiotis ; Wood, Joel. In: Ecological Economics. RePEc:eee:ecolec:v:162:y:2019:i:c:p:74-86.

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2020Weather shocks. (2020). Vermandel, Gauthier ; Gallic, Ewen. In: European Economic Review. RePEc:eee:eecrev:v:124:y:2020:i:c:s0014292120300416.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

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2019Stock-ADR Arbitrage: Microstructure Risk. (2019). Clark, Ephraim ; McGroarty, Frank ; Raju, V L ; Mitra, Sovan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118304694.

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2020Value and patience: The value premium in a dividend-growth model with hyperbolic discounting. (2020). Schindler, Nilufer ; Hens, Thorsten. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:172:y:2020:i:c:p:161-179.

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2020Why do option returns change sign from day to night?. (2020). Ni, Xuechuan ; Muravyev, Dmitriy . In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:219-238.

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2019Group transfer entropy with an application to cryptocurrencies. (2019). Dimpfl, Thomas ; Peter, Franziska J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:543-551.

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2020What if people value nature? Climate change and welfare costs. (2020). Batu, Michael ; Arbex, Marcelo. In: Resource and Energy Economics. RePEc:eee:resene:v:61:y:2020:i:c:s0928765519301642.

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2019Volatility information trading in the index options market: An intraday analysis. (2019). Ryu, Doojin ; Kutan, Ali M ; Yang, Heejin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:412-426.

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2019Non-macro-based Google searches, uncertainty, and real economic activity. (2019). Gerotto, Luca ; Donadelli, Michael. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:111-142.

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2019Climate Impacts on Capital Accumulation in the Small Island State of Barbados. (2019). Drakes, Crystal ; Laing, Timothy ; Lamontagne, Jonathan ; Kemp-Benedict, Eric. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3192-:d:237989.

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2019An Empirical Analysis of Bitcoin Price Jump Risk. (2019). Kang, Naeyoung ; Kim, Jungmu . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2012-:d:220004.

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2019Macroeconomic Outcomes in Disaster-Prone Countries. (2019). Cantelmo, Alessandro ; Papageorgiou, Chris ; Melina, Giovanni. In: IMF Working Papers. RePEc:imf:imfwpa:19/217.

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2020The Greenium matters: evidence on the pricing of climate risk. (2019). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: Working Papers. RePEc:jrs:wpaper:201912.

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2019Dynamic portfolio strategies under a fully correlated jump-diffusion process. (2019). Moreno-Franco, Harold A ; Escobar-Anel, Marcos. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3.

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2019Can Variations in Temperature Explain the Systemic Risk of European Firms?. (2019). Sagitova, Roza ; Chatziantoniou, Ioannis ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Environmental & Resource Economics. RePEc:kap:enreec:v:74:y:2019:i:4:d:10.1007_s10640-019-00385-0.

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2019Understanding Macro and Asset Price Dynamics During the Climate Transition. (2019). Hitzemann, Steffen ; Gruning, Patrick ; Donadelli, Michael. In: Bank of Lithuania Discussion Paper Series. RePEc:lie:dpaper:18.

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2020The Greenium matters: evidence on the pricing of climate risk. (2019). Roberto, Panzica ; Elisa, Ossola ; Lucia, Alessi. In: Working Papers. RePEc:mib:wpaper:418.

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2020Asset Pricing and Decarbonization: Diversification versus Climate Action. (2020). van der Ploeg, Frederick (Rick) ; Kraft, Holger ; Hambel, Christoph ; VAN DERPLOEG, RICK . In: Economics Series Working Papers. RePEc:oxf:wpaper:901.

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2019News Shocks and Asset Prices. (2019). Malkhozov, Aytek ; Tamoni, Andrea ; Bretscher, Lorenzo. In: 2019 Meeting Papers. RePEc:red:sed019:100.

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2020Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange. (2020). Suliga, Milena ; Gurgul, Henryk. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:28:y:2020:i:3:d:10.1007_s10100-018-00606-9.

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2019Price discovery on Bitcoin markets. (2019). Dimpfl, Thomas ; Pagnottoni, Paolo. In: Digital Finance. RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00006-x.

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2019Which sentiments do US investors follow when trading ADRs?. (2019). Alhaj-Yaseen, Yaseen S ; Ladd, Dana. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:3:d:10.1007_s12197-018-9452-z.

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2019Temperature Volatility Risk. (2019). Jüppner, Marcus ; Schlag, Christian ; Paradiso, Antonio ; Juppner, Marcus ; Donadelli, Michael. In: Working Papers. RePEc:ven:wpaper:2019:05.

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2019Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?. (2019). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:109-127.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2019Settlement procedures and stock market efficiency. (2019). Chen, Carl R ; Lin, Emily. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:164-185.

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2019Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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2020The impact of net buying pressure on VIX option prices. (2020). Tsai, Weiche ; Chuang, Yiwei ; Wu, Minghung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:209-227.

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2020MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120.

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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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1996Expiration day effects of stock index derivatives in Germany In: European Financial Management.
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article12
2008Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? In: Journal of Financial and Quantitative Analysis.
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article6
2011Pricing Two Heterogeneous Trees In: Journal of Financial and Quantitative Analysis.
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article5
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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article18
2017Temperature shocks and welfare costs.(2017) In: SAFE Working Paper Series.
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2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance.
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article87
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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article26
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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article23
2004Why is the Index Smile So Steep? In: Review of Finance.
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article7
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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2019The Leading Premium In: NBER Working Papers.
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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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paper4
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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article6
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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paper3
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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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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2019Equilibrium asset pricing in directed networks In: SAFE Working Paper Series.
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