Christian Wagner : Citation Profile


Are you Christian Wagner?

7

H index

5

i10 index

222

Citations

RESEARCH PRODUCTION:

6

Articles

7

Papers

RESEARCH ACTIVITY:

   8 years (2008 - 2016). See details.
   Cites by year: 27
   Journals where Christian Wagner has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 3 (1.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa220
   Updated: 2020-09-26    RAS profile: 2016-11-29    
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Relations with other researchers


Works with:

Schneider, Paul (2)

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 (11)

Sarno, Lucio (9)

Schrimpf, Andreas (8)

Vithessonthi, Chaiporn (6)

Menkhoff, Lukas (5)

Verdelhan, Adrien (5)

Schmeling, Maik (5)

Pettenuzzo, Davide (4)

Chernov, Mikhail (4)

Kremens, Lukas (4)

Comunale, Mariarosaria (4)

Cites to:

Sarno, Lucio (21)

Hodrick, Robert (21)

Bekaert, Geert (16)

Engel, Charles (16)

Campbell, John (15)

Verdelhan, Adrien (13)

Valente, Giorgio (9)

Rebelo, Sergio (8)

Bilson, John (8)

Gabaix, Xavier (8)

Burnside, Craig (8)

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

Recent works citing Christian Wagner (2020 and 2019)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2019Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44.

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2019Predictability in sovereign bond returns using technical trading rule: do developed and emerging markets differ?. (2019). Wu, Gabriel ; Fong, Tom. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-20.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2019Bidding into balancing markets in a hydro-dominated electricity system. (2019). Weigt, Hannes ; Schillinger, Moritz. In: Working papers. RePEc:bsl:wpaper:2019/13.

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2019Balancing Market Design and Opportunity Cost - The Swiss Case. (2019). Schillinger, Moritz. In: Working papers. RePEc:bsl:wpaper:2019/14.

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2019Sentiment and Speculation in a Market with Heterogeneous Beliefs. (2019). Martin, Ian ; Papadimitriou, Dimitris. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13857.

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2019How the Wealth Was Won: Factor Shares as Market Fundamentals. (2019). Ludvigson, Sydney ; Lettau, Martin ; Greenwald, Daniel L. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14200.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Inflated credit ratings, regulatory arbitrage and capital requirements: Do investors strategically allocate bond portfolios?. (2020). van der Kroft, Bram ; Boermans, Martijn . In: DNB Working Papers. RePEc:dnb:dnbwpp:673.

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2019Reexamining time-varying bond risk premia in the post-financial crisis era. (2019). Zhang, Wei ; Guo, Bin ; Fan, Xiaoyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301745.

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2019Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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2020Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932.

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2019Long horizon predictability: An asset allocation perspective. (2019). Poncet, Patrice ; Lioui, Abraham. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:961-975.

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2019Isolating the disaster risk premium with equity options. (2019). Horvath, Jaroslav. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:138-148.

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2019Compensating balancing demand by spatial load migration – The case of geographically distributed data centers. (2019). Keller, Robert ; Fridgen, Gilbert ; Thimmel, Markus ; Roevekamp, Patrick. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:1130-1142.

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2019Operating leases, operating leverage, operational inflexibility and sticky costs. (2019). Moussawi, Rabih ; Kieschnick, Robert ; Cook, Douglas O. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s154461231830597x.

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2019Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

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2019Short interest, stock returns and credit ratings. (2019). Wu, Chunchi ; Guo, XU. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s037842661930192x.

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2020Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis. (2020). McGroarty, Frank ; McGee, Richard J ; Goodell, John W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302584.

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2020Measuring banks’ liquidity risk: An option-pricing approach. (2020). Zhang, Jinqing ; Bian, Yun ; He, Liang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302778.

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2019The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.

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2019Bear beta. (2019). Murray, Scott ; Lu, Zhongjin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:736-760.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2019An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350.

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2019Generalized recovery. (2019). Pedersen, Lasse Heje ; Lando, David ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:154-174.

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2019Notes on the yield curve. (2019). Martin, Ian ; Ross, Stephen A ; Ian, . In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:689-702.

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2020Betting against correlation: Testing theories of the low-risk effect. (2020). Pedersen, Lasse Heje ; Gormsen, Niels Joachim ; Frazzini, Andrea ; Asness, Cliff. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:629-652.

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2019The world predictive power of U.S. equity market skewness risk. (2019). Jiang, Fuwei ; Chen, Jian ; Yao, Jiaquan ; Xue, Shuyu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:210-227.

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2019An enhanced decision support approach for learning and tracking derivative index. (2019). Wu, Desheng Dash. In: Omega. RePEc:eee:jomega:v:88:y:2019:i:c:p:63-76.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2019The quanto theory of exchange rates. (2019). Martin, Ian ; Kremens, Lukas. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:89839.

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

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2019Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2019). Watugala, Sumudu W ; Tran, Brigitte Roth ; Kruttli, Mathias S. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-54.

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2020Credit Spreads, Business Conditions, and Expected Corporate Bond Returns. (2020). Wu, Chunchi ; Wang, Junbo ; Tao, Xinyuan ; Lin, Hai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:20-:d:311789.

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2020Volatility-Adjusted 60/40 versus 100—New Risk Investing Paradigm. (2020). Ajakh, Ahmad ; Liew, Jim Kyung-Soo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:190-:d:401634.

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2019The Effect of Systematic Default Risk on Credit Risk Premiums. (2019). Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:21:p:6039-:d:281911.

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2019Do Corporate Social Responsibility Activities Reduce Credit Risk? Short and Long-Term Perspectives. (2019). Kim, Jungmu ; Thu, Thuy Thi. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:24:p:6962-:d:294875.

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2019A critique of momentum anomalies. (2019). de Oliveira, Thiago. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2019_005.

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2019Pricing Risks Across Currency Denominations. (2019). Maurer, Thomas ; Tran, Ngoc-Khanh ; To, Thuy-Duong . In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:11:p:5308-5336.

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2019Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2019). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:2:p:508-540.

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2020Distressed Stocks in Distressed Times. (2020). Misirli, Efdal Ulas ; Eisdorfer, Assaf. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2452-2473.

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2020Dynamic Prudential Regulation. (2020). Yang, Baozhong ; Subramanian, Ajay . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:7:p:3183-3210.

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2020The Effect of Reporting Streaks on Ex Ante Uncertainty. (2020). Riedl, Edward J ; Papadakis, George ; Neururer, Thaddeus. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3771-3787.

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2019Firm Value and the Impact of Operational Management. (2019). Karathanasopoulos, Andreas ; Mitra, Sovan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:1:d:10.1007_s10690-018-9258-1.

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2020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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2020Financial econometrics, mathematics, statistics, and financial technology: an overall view. (2020). Lee, Cheng Few. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-020-00883-z.

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2019The Time Variation in Risk Appetite and Uncertainty. (2019). Bekaert, Geert ; Xu, Nancy R ; Engstrom, Eric C. In: NBER Working Papers. RePEc:nbr:nberwo:25673.

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2019How the Wealth Was Won: Factors Shares as Market Fundamentals. (2019). Ludvigson, Sydney ; Lettau, Martin ; Greenwald, Daniel L. In: NBER Working Papers. RePEc:nbr:nberwo:25769.

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2019Premium for Heightened Uncertainty: Solving the FOMC Puzzle. (2019). Zhu, Haoxiang ; Wang, Jiang ; Pan, Jun. In: NBER Working Papers. RePEc:nbr:nberwo:25817.

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2020Recovering Investor Expectations from Demand for Index Funds. (2020). Yang, Hanbin ; MacKay, Alexander ; Egan, Mark L. In: NBER Working Papers. RePEc:nbr:nberwo:26608.

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2020The Economics of the Fed Put. (2020). Vissing-Jorgensen, Annette ; Cieslak, Anna. In: NBER Working Papers. RePEc:nbr:nberwo:26894.

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2020The Variance Risk Premium in Equilibrium Models. (2020). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: NBER Working Papers. RePEc:nbr:nberwo:27108.

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2020A Liberalization Spillover: From Equities to Loans. (2020). Wei, Shang-Jin ; Zhou, Yifan ; Liu, Xin. In: NBER Working Papers. RePEc:nbr:nberwo:27305.

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2020What Explains the COVID-19 Stock Market?. (2020). Ludvigson, Sydney ; Greenwald, Daniel ; Cox, Josue. In: NBER Working Papers. RePEc:nbr:nberwo:27784.

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2019Global Price of Risk and Stabilization Policies. (2019). Adrian, Tobias ; Vogt, Erik ; Stackman, Daniel. In: IMF Economic Review. RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00075-3.

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2019Interactions between Credit and Market Risk, Diversification vs Compounding effects. (2019). Szybisz, Martin Andres. In: MPRA Paper. RePEc:pra:mprapa:93173.

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2019Exchange Rate and Interest Rate Disconnect: The Role of Capital Flows, Currency Risk and Default Risk. (2019). Varela, Liliana ; Kalemli-Ozcan, Sebnem. In: 2019 Meeting Papers. RePEc:red:sed019:351.

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2019FLIGHTS TO SAFETY. (2019). Wei, Min ; Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/968.

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: CSEF Working Papers. RePEc:sef:csefwp:563.

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2020Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil. (2020). Caldeira, Joo F. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01629-0.

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2019Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02.

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2019Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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2020Earnings announcement timing, uncertainty, and volatility risk premiums. (2020). Neururer, Thaddeus ; Adams, Tom. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1603-1630.

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2020Volatility term structures in commodity markets. (2020). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:527-555.

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2019Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. (2019). Liu, Rui. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400019.

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2020Diverging roads: Theory-based vs. machine learning-implied stock risk premia. (2020). Sönksen, Jantje ; Grammig, Joachim ; Sonksen, Jantje ; Schlag, Christian ; Hanenberg, Constantin. In: University of Tübingen Working Papers in Business and Economics. RePEc:zbw:tuewef:130.

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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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article30
2016What is the Expected Return on a Stock? In: CEPR Discussion Papers.
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paper56
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
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paper64
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 64
article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
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article18
2009Reforming minute reserve policy in Germany: A step towards efficient markets? In: Energy Policy.
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article7
2010Trading the forward bias: Are there limits to speculation? In: Journal of International Money and Finance.
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article26
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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paper8

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