Charles Phipps Thomas : Citation Profile


Are you Charles Phipps Thomas?

Federal Reserve Board (Board of Governors of the Federal Reserve System)

9

H index

9

i10 index

393

Citations

RESEARCH PRODUCTION:

12

Articles

25

Papers

6

Chapters

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 13
   Journals where Charles Phipps Thomas has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 12 (2.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pth302
   Updated: 2020-08-01    RAS profile: 2018-01-25    
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Relations with other researchers


Works with:

Warnock, Francis (6)

Beltran, Daniel (3)

Wongswan, Jon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Charles Phipps Thomas.

Is cited by:

Warnock, Francis (21)

Milesi-Ferretti, Gian Maria (12)

Lane, Philip (11)

Campa, Jose (8)

Ülkü, Numan (6)

Dvorak, Tomas (6)

Tyers, Rodney (6)

Fratzscher, Marcel (5)

Claessens, Stijn (5)

Kose, Ayhan (5)

Forbes, Kristin (5)

Cites to:

Warnock, Francis (49)

Lane, Philip (30)

Milesi-Ferretti, Gian Maria (23)

Dvorak, Tomas (18)

Harvey, Campbell (13)

Ferson, Wayne (11)

Rey, Helene (10)

Tille, Cédric (9)

Bekaert, Geert (9)

Hau, Harald (9)

Chinn, Menzie (8)

Main data


Where Charles Phipps Thomas has published?


Journals with more than one article published# docs
Journal of International Money and Finance3
Federal Reserve Bulletin2

Working Papers Series with more than one paper published# docs
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)19

Recent works citing Charles Phipps Thomas (2018 and 2017)


YearTitle of citing document
2020Analyzing the robustness of ARIMA and neural networks as a predictive model of crude oil prices. (2020). Yadav, Miklesh ; Sharma, Sudhi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:289-300.

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2018Asset Pricing with Random Volatility. (2018). Liu, Xin. In: Papers. RePEc:arx:papers:1610.01450.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2019A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps. (2019). Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang ; Jiang, Liyuan. In: Papers. RePEc:arx:papers:1808.05289.

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2020Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878.

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2018Looking through cross-border positions in investment funds: evidence from Italy. (2018). FELETTIGH, ALBERTO ; Della Corte, Valerio ; Federico, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_439_18.

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2018Banks holdings of and trading in government bonds. (2018). Manna, Michele ; Nobili, Stefano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1166_18.

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2020Effects of foreign participation in the colombian local public debt market on domestic financial conditions. (2020). Vargas-Herrera, Hernando ; Romero, Jose ; Murcia, Andrés ; Cardozo, Pamela. In: Borradores de Economia. RePEc:bdr:borrec:1115.

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2018Les déséquilibres mondiaux persistent malgré le rééquilibrage d’après-crise : focus sur leur financement. (2018). Pappadà, Francesco ; Bussiere, Matthieu ; Berthou, Antoine ; Schmidt, Julia ; Pappada, Francesco ; Haincourt, Sophie ; Ferrara, Laurent. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2018:220:06.

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2018Global imbalances: build-up, unwinding and financial aspects. (2018). Schmidt, Julia ; Haincourt, Sophie ; Bussiere, Matthieu ; Berthou, Antoine ; Pappada, Francesco ; Ferrara, Laurent. In: Quarterly selection of articles - Bulletin de la Banque de France. RePEc:bfr:quarte:2018:220:06.

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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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2018Tracking the international footprints of global firms. (2018). Everett, Mary ; Avdjiev, Stefan ; Shin, Hyun Song ; Lane, Philip R. In: BIS Quarterly Review. RePEc:bis:bisqtr:1803f.

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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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2020Debt De-risking. (2020). Schrimpf, Andreas ; Cutura, Jannic ; Parise, Gianpaolo. In: BIS Working Papers. RePEc:bis:biswps:868.

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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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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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2017Equity Market Globalization and Portfolio Rebalancing. (2017). Lee, Dongwon ; Kim, Kyungkeun. In: Working Papers. RePEc:bok:wpaper:1717.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Documentos de Trabajo CIEF. RePEc:col:000122:015923.

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

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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2019Sovereign bond markets when auctions take place: Evidence from Italy. (2019). Cafiso, Gianluca. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:406-430.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2017Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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2019Option prices and implied volatility in the crude oil market. (2019). Lorentzen, Sindre ; Soini, Vesa. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:515-539.

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2018The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54.

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2018Foreign capital flows, credit spreads, and the business cycle. (2018). Du, Ding ; Rousse, Wade . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:59-79.

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2020Equity market integration and portfolio rebalancing. (2020). Lee, Dongwon ; Kim, Kyungkeun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300431.

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2018Option-implied objective measures of market risk. (2018). Leiss, Matthias ; Nax, Heinrich H. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:241-249.

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2020An exorbitant privilege in the first age of international financial integration?. (2020). van Hombeeck, Carlos Eduardo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:101:y:2020:i:c:s0261560619302153.

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2017The impact of exchange rate deviations from relative PPP equilibrium on the U.S. demand for foreign equities. (2017). Grossmann, Axel ; Simpson, Marc W ; Paul, Chris. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:57-76.

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2018The portfolio of euro area fund investors and ECB monetary policy announcements. (2018). Bubeck, Johannes ; Manganelli, Simone ; Habib, Maurizio Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:103-126.

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2019The impact of real exchange rate shocks on manufacturing workers: An autopsy from the MORG. (2019). Campbell, Douglas L ; Lusher, Lester. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:12-28.

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2019Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:5.

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2019Financing the capital-constrained supply chain with loss aversion: Supplier finance vs. supplier investment. (2019). Liu, YE ; He, Xiuli ; Yan, Nina. In: Omega. RePEc:eee:jomega:v:88:y:2019:i:c:p:162-178.

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2018State-controlled companies and political risk: Evidence from the 2014 Brazilian election. (2018). guimaraes, bernardo ; Carvalho, Augusto. In: Journal of Public Economics. RePEc:eee:pubeco:v:159:y:2018:i:c:p:66-78.

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2017Diversification of risk exposure through country mutual funds under alternative investment opportunities. (2017). Naka, Atsuyuki ; Noman, Abdullah . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:215-227.

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2019Testing the alternative two-state options pricing models: An empirical analysis on TXO. (2019). Su, EnDer ; Wong, Kai Wen . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:101-116.

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2020Securitization of revolving debt and its determinants. (2020). Hunter, William ; Nourzad, Farrokh ; Szczesniak, Katherine . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:240-246.

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2018Examining the uncovered equity parity in the emerging financial markets. (2018). Aftab, Muhammad ; Ismail, Izlin ; Ahmad, Rubi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:233-242.

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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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2017State-controlled companies and political risk: evidence from the 2014 Brazilian election. (2017). guimaraes, bernardo ; Carvalho, Augusto. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86172.

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2017The Impact of Institutional Quality on Bank Lending Activity: Evidence from Bayesian Model Averaging. (2017). Kapounek, Svatopluk. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:5:p:372-395.

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2019Imperfect Information Transmission from Banks to Investors: Macroeconomic Implications. (2018). Leukhina, Oksana ; Figueroa, Nicolas ; Ramirez, Carlos. In: Working Papers. RePEc:fip:fedlwp:2018-018.

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2018International capital flow pressures. (2018). Krogstrup, Signe ; Goldberg, Linda. In: Staff Reports. RePEc:fip:fednsr:834.

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2018An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-Jie ; Chung, Cheng-Huang ; Lei, Mujun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688.

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2018International Capital Flow Pressures. (2018). Krogstrup, Signe ; Goldberg, Linda S. In: IMF Working Papers. RePEc:imf:imfwpa:18/30.

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2018The Stabilizing Role of Net Foreign Asset Returns. (2018). Garcia-Macia, Daniel ; Adler, Gustavo. In: IMF Working Papers. RePEc:imf:imfwpa:18/79.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Tomar, Nutan Kumar ; Kumar, Sumit ; Kundu, Arindam. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

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2018International Investment Patterns: the Case of German Sectors. (2018). Velic, Adnan ; Galstyan, Vahagn. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9483-2.

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2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

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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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2018A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. (2018). Li, Yuyi ; Jawadi, Fredj ; Bu, Ruijun. In: Working Papers. RePEc:liv:livedp:20183.

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2017Dampak Kepemilikan Asing terhadap Pasar Surat Berharga Negara (SBN) Indonesia. (2017). Mansur, Alfan ; al Arif, Munafsin. In: MPRA Paper. RePEc:pra:mprapa:93944.

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2017Slow Moving Capital: Evidence from Global Equity Portfolios. (2017). Bacchetta, Philippe. In: 2017 Meeting Papers. RePEc:red:sed017:1166.

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2020Effects of foreign participation in the colombian local public debt market on domestic financial conditions. (2020). Vargas-Herrera, Hernando ; Romero, Jose ; Murcia, Andrés ; Cardozo, Pamela. In: Working papers. RePEc:rie:riecdt:44.

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2017Portfolio rebalancing in times of stress. (2017). Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael . In: Working Papers. RePEc:snb:snbwpa:2017-11.

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2017Penny wise and pound foolish? On the income from Germany’s foreign investments. (2017). Nagengast, Arne ; Knetsch, Thomas A. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:153:y:2017:i:4:d:10.1007_s10290-017-0283-3.

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2019Effect of foreign equity flows on stock market volatility in Kenya Empirical evidence at Nairobi securities exchange. (2019). Ochienga, Isaac L ; Ochere, Gordon O ; Oluoch, Oluoch J ; Olweny, Tobias O. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:8:y:2019:i:3:f:8_3_5.

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2017Exact and inexact decompositions of international price indices. (2017). Boug, PL. In: Discussion Papers. RePEc:ssb:dispap:868.

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2018Do Swiss foreign assets hedge the business cycle?. (2018). Tille, Cédric ; Stoffels, Nicolas. In: Aussenwirtschaft. RePEc:usg:auswrt:2018:69:01:1-40.

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2017Asset prices and macroeconomic outcomes : a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:8259.

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2020Official Demand for U.S. Debt: Implications for U.S. Real Rates. (2020). Zinna, Gabriele ; Kaminska, Iryna. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:2-3:p:323-364.

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2017SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION. (2017). Härdle, Wolfgang ; Krymova, Ekaterina ; Hardle, Wolfgang Karl ; Belomestny, Denis. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500418.

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2017EXCHANGE RATE AND US MACROECONOMY: EVIDENCE FROM THE FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE MODEL. (2017). An, Lian ; Xu, Jing ; Li, Huimin ; Ren, Xiaomei . In: The Singapore Economic Review (SER). RePEc:wsi:serxxx:v:62:y:2017:i:02:n:s0217590815500691.

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2019FINDING THE DRIVER: A CASE STUDY OF INDONESIAN GOVERNMENT BOND MARKET. (2019). Sulistiono, Arif ; Ishida, Miki. In: The Singapore Economic Review (SER). RePEc:wsi:serxxx:v:64:y:2019:i:03:n:s0217590816500193.

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2018Mittelfristige Projektion der Vermögenseinkommen aus grenzüberschreitenden Kapitalanlagen. (2018). Potjagailo, Galina ; Jannsen, Nils. In: IfW-Box. RePEc:zbw:ifwbox:201814.

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2018Direktinvestitionen im Ausland - Effekte auf die deutsche Leistungsbilanz und Spillovers in den Empfängerländern. (2018). Potjagailo, Galina ; Jannsen, Nils ; Marchal, Lea ; Kooths, Stefan ; Hornok, Cecilia ; Gorg, Holger ; Fiedler, Salomon. In: Kieler Beiträge zur Wirtschaftspolitik. RePEc:zbw:ifwkbw:16.

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2018Deutsche Konjunktur im Herbst 2018 - Deutsche Wirtschaft: Aufschwungskräfte tragen noch. (2018). Boysen-Hogrefe, Jens ; Potjagailo, Galina ; Kooths, Stefan ; Jannsen, Nils ; Groll, Dominik ; Fiedler, Salomon ; Ademmer, Martin. In: Kieler Konjunkturberichte. RePEc:zbw:ifwkkb:47.

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2017Determinants of the Public Budget Balance: The Role of Official Capital Flows. (2017). Steiner, Andreas. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168184.

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Works by Charles Phipps Thomas:


YearTitleTypeCited
2011US International Equity Investment and Past and Prospective Returns In: American Economic Review.
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article46
2011U.S. International Equity Investment and Past and Prospective Returns.(2011) In: NBER Working Papers.
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2015Cross-border portfolios: assets, liabilities, and non-flow adjustments In: BIS Papers chapters.
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chapter0
2013Weighted Average Relative Price (WARP) In: IFC Bulletins chapters.
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2017Residency and Nationality: A view from 10,000 feet In: IFC Bulletins chapters.
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chapter0
2009MEASURES OF INTERNATIONAL RELATIVE PRICES FOR CHINA AND THE USA In: Pacific Economic Review.
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article6
1997Recovering an Assets Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis In: Journal of Financial and Quantitative Analysis.
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article126
2017Asymmetric information and the death of ABS CDOs In: Journal of Banking & Finance.
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article6
2016Asymmetric Information and the Death of ABS CDOs.(2016) In: International Finance Discussion Papers.
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2013Foreign holdings of U.S. Treasuries and U.S. Treasury yields In: Journal of International Money and Finance.
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2012Foreign holdings of U.S. Treasuries and U.S. Treasury yields.(2012) In: International Finance Discussion Papers.
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2013On returns differentials In: Journal of International Money and Finance.
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article34
2013On returns differentials.(2013) In: International Finance Discussion Papers.
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2013On Returns Differentials.(2013) In: NBER Working Papers.
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2014Uncovered Equity Parity and rebalancing in international portfolios In: Journal of International Money and Finance.
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article15
2014Uncovered Equity Parity and Rebalancing in International Portfolios.(2014) In: International Finance Discussion Papers.
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2014Uncovered Equity Parity and Rebalancing in International Portfolios.(2014) In: NBER Working Papers.
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2010Could asymmetric information alone have caused the collapse of private-label securitization? In: International Finance Discussion Papers.
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2011U.S. international equity investment and past prospective returns In: International Finance Discussion Papers.
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2012International relative price levels: a look under the hood In: International Finance Discussion Papers.
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2012The return on U.S. direct investment at home and abroad In: International Finance Discussion Papers.
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2014The Return on U.S. Direct Investment at Home and Abroad.(2014) In: NBER Chapters.
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1991Using external sustainability to forecast the dollar In: International Finance Discussion Papers.
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1992War and peace: recovering the markets probability distribution of crude oil futures prices during the Gulf crisis In: International Finance Discussion Papers.
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1993The role of fiscal policy in an incomplete markets framework In: International Finance Discussion Papers.
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1995The Role of Fiscal Policy in an Incomplete Markets Framework.(1995) In: Review of Economic Studies.
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1996Using options prices to infer PDFS for asset prices: an application to oil prices during the Gulf crisis In: International Finance Discussion Papers.
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1996The sovereignty option: the Quebec referendum and market views on the Canadian dollar In: International Finance Discussion Papers.
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2004The Performance of International Equity Portfolios In: International Finance Discussion Papers.
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2006The Performance of International Equity Portfolios.(2006) In: The Institute for International Integration Studies Discussion Paper Series.
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2006The Performance of International Equity Portfolios.(2006) In: NBER Working Papers.
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2006Measurement matters for modeling U.S. import prices In: International Finance Discussion Papers.
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2008Measuring U.S. international relative prices: a WARP view of the world In: International Finance Discussion Papers.
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2008How long can the unsustainable U.S. current account deficit be sustained? In: International Finance Discussion Papers.
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2008Foreign exposure to asset-backed securities of U.S. origin In: International Finance Discussion Papers.
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2008Current account sustainability and relative reliability In: International Finance Discussion Papers.
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paper12
2009Current Account Sustainability and Relative Reliability.(2009) In: NBER Chapters.
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2008Current Account Sustainability and Relative Reliability.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 12
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