Christian Wagner : Citation Profile


Are you Christian Wagner?

7

H index

6

i10 index

328

Citations

RESEARCH PRODUCTION:

6

Articles

7

Papers

RESEARCH ACTIVITY:

   8 years (2008 - 2016). See details.
   Cites by year: 41
   Journals where Christian Wagner has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 3 (0.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa220
   Updated: 2022-10-01    RAS profile: 2021-01-05    
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Relations with other researchers


Works with:

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

Is cited by:

Martin, Ian (17)

Schrimpf, Andreas (11)

Sarno, Lucio (9)

Schmeling, Maik (8)

Verdelhan, Adrien (5)

Menkhoff, Lukas (5)

Chernov, Mikhail (4)

Vithessonthi, Chaiporn (4)

Kremens, Lukas (4)

Pagano, Marco (4)

Comunale, Mariarosaria (4)

Cites to:

Hodrick, Robert (25)

Sarno, Lucio (23)

Bekaert, Geert (20)

Campbell, John (17)

Verdelhan, Adrien (17)

Engel, Charles (16)

Rebelo, Sergio (13)

Burnside, Craig (13)

Eichenbaum, Martin (13)

Valente, Giorgio (10)

Farhi, Emmanuel (9)

Main data


Where Christian Wagner has published?


Journals with more than one article published# docs
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Christian Wagner (2022 and 2021)


YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Implied Dividend Volatility and Expected Growth. (2021). Martin, Ian ; Gormsen, Niels J. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:111:y:2021:p:361-65.

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2021New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting. (2021). Hansen, Peter G. In: Papers. RePEc:arx:papers:2101.12306.

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2022A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach. (2021). Medeiros, Marcelo C ; Ferreira, Iuri H. In: Papers. RePEc:arx:papers:2112.15108.

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2021The impact of heterogeneous unconventional monetary policies on the expectations of market crashes. (2021). Alonso Alvarez, Irma ; Vaello-Sebastia, Antoni ; Serrano, Pedro. In: Working Papers. RePEc:bde:wpaper:2127.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Passive funds affect prices: evidence from the most ETF-dominated asset classes. (2021). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:952.

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2021Is the ex?ante equity risk premium always positive? Evidence from a new conditional expectations model. (2021). faff, robert ; Hoang, Khoa. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:95-124.

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2021Using abnormal analyst coverage to unlock new evidence on stock price crash risk. (2021). faff, robert ; Hoang, Khoa ; Chowdhury, Hasibul. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1557-1588.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2022Does the Federal Open Market Committee cycle affect credit risk?. (2022). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Huang, Difang. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:143-167.

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2021Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. (2021). Martin, Ian ; Gao, Can. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3211-3254.

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2022Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

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2021Supplementary Paper Series for the Assessment (1): The Effects of the Bank of Japans ETF Purchases on Risk Premia in the Stock Markets. (2021). Adachi, KO ; Kitamura, Tomiyuki ; Hiraki, Kazuhiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e03.

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2021The role of the leverage effect in the price discovery process of credit markets. (2021). Zimmermann, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

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2022What is the expected return on Bitcoin? Extracting the term structure of returns from options prices. (2022). Svec, Jiri ; Malloch, Hamish ; Li, Simeng ; Foley, Sean. In: Economics Letters. RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004493.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2021Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies. (2021). Wang, Qingwei ; Mazouz, Khelifa ; Ding, Wenjie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:42-56.

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2021Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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2021A state-preference volatility index for the natural gas market. (2021). Ding, Ashley. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004862.

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2021Terrorist attacks and oil prices: Hypothesis and empirical evidence. (2021). Gong, Qiang ; Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000120.

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2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies. (2021). Li, Youwei ; Wang, Yizhi ; Almaharmeh, Mohammad I ; Vigne, Samuel A ; Shehadeh, Ali A. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002003.

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2022Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process. (2022). Simaan, Yusif ; Khashanah, Khaldoun. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000412.

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2021Curve momentum in currency markets. (2021). Lei, Jian. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317177.

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2022The risk aversion and uncertainty channels between finance and macroeconomics. (2022). Rubio, Gonzalo ; Nieto, Belen. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002609.

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2022Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883.

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2022Credit ratings, financial ratios, and equity risk: A decomposition analysis based on Moody’s, Standard & Poor’s and Fitch’s ratings. (2022). Jiang, Yixiao. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004815.

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2022Learning about the persistence of recessions under ambiguity aversion. (2022). Liu, Liu. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s154461232100489x.

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2022Disaster risk matters in the bond market. (2022). Zhu, Xiaoneng ; Ying, Chengwei ; Su, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322000800.

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2022Default risk premium and asset prices. (2022). Fusai, Gianluca ; Corvino, Raffaele. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000390.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2021An efficient method for pricing foreign currency options. (2021). Zhang, Shuonan ; Jin, Chenglu ; Yu, Lean ; Zhou, Hanxian ; Chen, Rongda. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000147.

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2021Bond return predictability: Evidence from 25 OECD countries. (2021). Sharma, Susan Sunila ; Narayan, Paresh Kumar ; Devpura, Neluka. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000202.

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2022Terrorism and international stock returns. (2022). Bach, Dinh Hoang ; Narayan, Seema. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001736.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2021Asset pricing and FOMC press conferences. (2021). Eriksen, Jonas ; Gronborg, Niels S ; Bodilsen, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621001229.

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2021Unemployment and aggregate stock returns. (2021). Atanasov, Victoria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001187.

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2021Aggregate Distress Risk and Equity Returns. (2021). Jiang, Xiaowen ; Guo, Hui. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002478.

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2022Stocks versus corporate bonds: A cross-sectional puzzle. (2022). Driessen, Joost ; van Zundert, Jeroen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000474.

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2022Credit derivatives and corporate default prediction. (2022). Zhao, Ran ; Yu, Fan ; Ye, Xiaoxia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000188.

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2022Chasing the ESG factor. (2022). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:139:y:2022:i:c:s0378426622000929.

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2021Long-run equilibrium in international assets and goods markets: Why is the law of one price required?. (2021). le Van, Cuong ; Fontaine, Patrice ; Bosi, Stefano. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:190:y:2021:i:c:p:891-904.

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2022New formulations of ambiguous volatility with an application to optimal dynamic contracting. (2022). Hansen, Peter G. In: Journal of Economic Theory. RePEc:eee:jetheo:v:199:y:2022:i:c:s0022053121000223.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2021Asset pricing with heterogeneous agents and long-run risk. (2021). Schmedders, Karl ; Wilms, Ole ; Pohl, Walter . In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:941-964.

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2021Long-term discount rates do not vary across firms. (2021). Nyberg, Peter ; Linnainmaa, Juhani T ; Keloharju, Matti. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:946-967.

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2021Engineering lemons. (2021). Vokata, Petra. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:737-755.

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2021Common shocks in stocks and bonds. (2021). Pang, Hao ; Cieslak, Anna. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:880-904.

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2022Stocks for the long run? Evidence from a broad sample of developed markets. (2022). Odoherty, Michael S ; Cederburg, Scott ; Anarkulova, Aizhan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:409-433.

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2022Pricing of index options in incomplete markets. (2022). Freire, Gustavo ; Almeida, Caio. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:174-205.

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2022Validity, tightness, and forecasting power of risk premium bounds. (2022). Kazempour, Seyed Mohammad ; Crotty, Kevin ; Back, Kerry. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:3:p:732-760.

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2021Herding by corporates in the US and the Eurozone through different market conditions. (2021). Vioto, Davide ; Tunaru, Radu ; Duygun, Meryem. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302679.

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2021Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve. (2021). Niu, Linlin ; Lin, Mucai. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302503.

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2021The relative pricing of sovereign credit risk after the Eurozone crisis. (2021). Ruggiero, Francesco ; Corvino, Raffaele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s026156062030293x.

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2021Aggregate expected investment growth and stock market returns. (2021). Yu, Jianfeng ; Wang, Huijun ; Li, Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:618-638.

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2021The FOMC Risk Shift. (2021). Schrimpf, Andreas ; Schmeling, Maik ; Kroencke, Tim A. In: Journal of Monetary Economics. RePEc:eee:moneco:v:120:y:2021:i:c:p:21-39.

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2022Dynamics of bond and stock returns. (2022). Kozak, Serhiy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:126:y:2022:i:c:p:188-209.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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2021Credit risk and equity returns in China. (2021). Lin, Hui. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:588-613.

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2022Is oil risk important for commodity-related currency returns?. (2022). Lu, Man ; Su, Zhi ; Yin, Libo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002257.

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2021Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108598.

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2021Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: EIEF Working Papers Series. RePEc:eie:wpaper:2008.

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2021International Yield Spillovers. (2021). Ochoa, Juan ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-01.

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2022A Stock Return Decomposition Using Observables. (2022). Vissing-Jorgensen, Annette ; Knox, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-14.

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2021The Global Determinants of International Equity Risk Premiums. (2021). Londono, Juan M. ; Xu, Nancy R. In: International Finance Discussion Papers. RePEc:fip:fedgif:1318.

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2022Uncertainty Shocks, Capital Flows, and International Risk Spillovers. (2022). Akinci, Ozge ; Queralto, Albert ; Kalemli-Ozcan, Sebnem. In: Staff Reports. RePEc:fip:fednsr:94163.

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2022Uncertainty Shocks, Capital Flows, and International Risk Spillovers. (2022). Akinci, Ozge ; Queralto, Albert ; Kalemli-Ozcan, Sebnem. In: Staff Reports. RePEc:fip:fednsr:94242.

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2021Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?. (2021). Fontaine, Patrice ; Bosi, Stefano ; le Van, Cuong. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03330856.

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2021Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?. (2021). Fontaine, Patrice ; Bosi, Stefano ; le Van, Cuong. In: Post-Print. RePEc:hal:journl:hal-03330856.

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2021Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?. (2021). Fontaine, Patrice ; Bosi, Stefano ; le Van, Cuong. In: PSE-Ecole d'économie de Paris (Postprint). RePEc:hal:pseptp:hal-03330856.

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2021Information Content of Aggregate Implied Volatility Spread. (2021). Li, Gang ; Han, Bing. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1249-1269.

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2021Design and regulation of balancing power auctions: an integrated market model approach. (2021). Ocker, Fabian ; Ehrhart, Karl-Martin. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:60:y:2021:i:1:d:10.1007_s11149-021-09430-7.

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2021A model-free approach to multivariate option pricing. (2021). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2.

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2021CAPM-Based Company (Mis)valuations. (2021). Goldstein, Itay ; Thesmar, David ; Otto, Clemens A ; Olivier, Jacques ; Dessaint, Olivier. In: Review of Financial Studies. RePEc:oup:rfinst:v:34:y:2021:i:1:p:1-66..

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2021Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns. (2021). Thipwiwatpotjana, Phantipa ; Chaiyakan, Songkomkrit. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00392-x.

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2021Essays on macro-finance and market anomalies. (2021). Tancheva, Z. In: Other publications TiSEM. RePEc:tiu:tiutis:3cdb4eb6-0313-4a7a-81c4-21b97ce91a7b.

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2021One hundred years of rare disaster concerns and commodity prices. (2021). Zhang, Qunzi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1891-1915.

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2022Recovering subjective probability distributions. (2022). Yamazaki, Akira. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1234-1263.

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2021Disaster resilience and asset prices. (2021). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: CFS Working Paper Series. RePEc:zbw:cfswop:673.

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2021The FOMC risk shift. (2021). Schmeling, Maik ; Kroencke, Tim-Alexander ; Schrimpf, Andreas. In: SAFE Working Paper Series. RePEc:zbw:safewp:302.

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2021Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: SAFE Working Paper Series. RePEc:zbw:safewp:312.

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Works by Christian Wagner:


YearTitleTypeCited
2014The Cross-Section of Credit Risk Premia and Equity Returns In: Journal of Finance.
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article50
2016What is the Expected Return on a Stock? In: CEPR Discussion Papers.
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paper111
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
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paper77
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 77
article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 77
paper
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
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article24
2009Reforming minute reserve policy in Germany: A step towards efficient markets? In: Energy Policy.
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article9
2010Trading the forward bias: Are there limits to speculation? In: Journal of International Money and Finance.
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article29
2012Risk-premia, carry-trade dynamics, and economic value of currency speculation In: Journal of International Money and Finance.
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article4
2009Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2008Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets In: Working Papers.
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paper4
2010Properties of Foreign Exchange Risk Premia In: MPRA Paper.
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paper5
2016Low risk anomalies? In: CFS Working Paper Series.
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paper15

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