Christian Wolff : Citation Profile


Are you Christian Wolff?

Université du Luxembourg

14

H index

20

i10 index

802

Citations

RESEARCH PRODUCTION:

43

Articles

41

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   33 years (1986 - 2019). See details.
   Cites by year: 24
   Journals where Christian Wolff has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 31 (3.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwo136
   Updated: 2020-01-25    RAS profile: 2020-01-14    
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Relations with other researchers


Works with:

Papanikolaou, Nikolaos (3)

Lehnert, Thorsten (2)

Pisa, Magdalena (2)

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

Is cited by:

Verschoor, Willem (29)

Beckmann, Joscha (21)

Menkhoff, Lukas (18)

MacDonald, Ronald (16)

Stillwagon, Josh (14)

Lehnert, Thorsten (13)

Bacchetta, Philippe (12)

Pancotto, Francesca (12)

van Wincoop, Eric (12)

Czudaj, Robert (11)

Dick, Christian (11)

Cites to:

Frankel, Jeffrey (46)

Verschoor, Willem (36)

Froot, Kenneth (29)

Hodrick, Robert (27)

Campbell, John (21)

Engel, Charles (19)

MacDonald, Ronald (17)

Bekaert, Geert (16)

Taylor, Mark (15)

Hansen, Lars (12)

Bollerslev, Tim (12)

Main data


Where Christian Wolff has published?


Journals with more than one article published# docs
Journal of International Money and Finance7
Economics Letters5
Journal of Empirical Finance5
Journal of Business & Economic Statistics2
Journal of International Financial Markets, Institutions and Money2
International Journal of Forecasting2
International Review of Financial Analysis2
Applied Financial Economics2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
LSF Research Working Paper Series / Luxembourg School of Finance, University of Luxembourg11

Recent works citing Christian Wolff (2019 and 2018)


YearTitle of citing document
2018The effect of credit default swap premiums on developing markets’ economies: The case of exchange rates. (2018). Bayat, Tayfur ; Kayhan, Selim ; Aci, Yunus. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(617):y:2018:i:4(617):p:235-252.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1802.03735.

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2019Systemic Risk and Collateral Adequacy. (2019). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:19-23.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2018The G-20 regulatory agenda and bank risk. (2018). Nieto, Maria J ; Dwyer, Gerald P ; Cabrera, Matias. In: Working Papers. RePEc:bde:wpaper:1829.

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2018Contagion in the CoCos market? A case study of two stress events. (2018). miglietta, arianna ; Bologna, Pierluigi ; Segura, Anatoli. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1201_18.

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2019Contingent capital with repeated interconversion between debt‐ and equity‐like instruments. (2019). Zhao, Zhiming ; Yang, Zhaojun ; Cai, Yanping. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:358-379.

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2017The Role for Long-run Target Values of the Exchange Rate in the Bank of Japans Policy Reaction Function. (2017). Kühl, Michael ; Beckmann, Joscha ; Kuhl, Michael. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1836-1865.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2019Shareholder risk-taking incentives in the presence of contingent capital. (2019). McMunn, Ayowande ; Fatouh, Mahmoud. In: Bank of England working papers. RePEc:boe:boeewp:0775.

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2019On the preferences of CoCo bond buyers and sellers: a logistic regression analysis. (2019). Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7551.

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2018The Agency of CoCos: Why Contingent Convertible Bonds Arent for Everyone. (2018). Goncharenko, Roman ; Rauf, Asad ; Ongena, Steven. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13344.

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2019Mind the Conversion Risk: a Theoretical Assessment of Contingent Convertible Bonds. (2019). Le Quang, Gaëtan. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-5.

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2019On the consistency of central banks´ interest rate forecasts. (2019). Jung, Jin-Kyu ; Rlke, Jan-Christoph ; Frenkel, Michael. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00828.

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2019An explorative analysis of Italy banking financial stability. (2019). Angelini, Eliana ; Foglia, Matteo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00071.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2019Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices. (2019). Lin, Hai ; Premachandra, IM ; Kuruppuarachchi, Duminda. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:92-112.

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2018The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market. (2018). della Chang, Jui-Chuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:15-28.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2018Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets. (2018). Tang, Xiaobo ; Yao, Xingyuan. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:64-76.

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2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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2019Agreeing on disagreement: Heterogeneity or uncertainty?. (2019). , Willem ; Ellen, Saskia Ter. In: Journal of Financial Markets. RePEc:eee:finmar:v:44:y:2019:i:c:p:17-30.

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2018To be bailed out or to be left to fail? A dynamic competing risks hazard analysis. (2018). Papanikolaou, Nikolaos. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:61-85.

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2018Corporate bond clawbacks as contingent capital for banks. (2018). Ramirez, Gabriel ; Liu, Liuling ; Diaz, Fernando. In: Journal of Financial Stability. RePEc:eee:finsta:v:37:y:2018:i:c:p:11-24.

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2018Optimal capital, regulatory requirements and bank performance in times of crisis: Evidence from France. (2018). de Bandt, Olivier ; Pessarossi, Pierre ; Maitre, Alexis ; Camara, Boubacar. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:175-186.

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2018Prudential filters, portfolio composition at fair value and capital ratios in European banks. (2018). Argimon, Isabel ; Estrada, Angel ; Dietsch, Michel. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:187-208.

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2018The G-20′s regulatory agenda and banks’ risk. (2018). Cabrera, Matias ; Nieto, Maria J ; Dwyer, Gerald P. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:66-78.

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2017Rationality and forecasting accuracy of exchange rate expectations: Evidence from survey-based forecasts. (2017). Ince, Onur ; Molodtsova, Tanya . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:131-151.

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2018Nonconsolidated affiliates, bank capitalization, and risk taking. (2018). Gong, DI ; Laeven, Luc ; Huizinga, Harry. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:109-129.

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2019Integration and risk contagion in financial crises: Evidence from international stock markets. (2019). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Gkillas, Konstantinos. In: Journal of Business Research. RePEc:eee:jbrese:v:104:y:2019:i:c:p:350-365.

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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2019An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

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2018Convertible bonds and bank risk-taking. (2018). Martynova, Natalya ; Perotti, Enrico. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pb:p:61-80.

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2017The impact of uncertainty on professional exchange rate forecasts. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:296-316.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:283-300.

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2018Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:93-105.

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2019Evolutionary support vector machine for RMB exchange rate forecasting. (2019). Li, Hongtao ; Sun, Shaolong ; Fu, Sibao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:692-704.

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2018Valuation and analysis of performance sensitive debt with contingent convertibility. (2018). Ming, Lei ; Song, Dandan ; Yang, Shenggang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:98-108.

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2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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2019Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. (2019). Mantzura, Ariel ; Schreiber, Ben Z. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:438-457.

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2018Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads. (2018). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:324-341.

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2018Why do banks target ROE?. (2018). santos, joao ; Pennacchi, George. In: Staff Reports. RePEc:fip:fednsr:855.

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2017An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg. (2017). Giordana, Gastón ; Schumacher, Ingmar. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:8-:d:95645.

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2019Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method. (2019). Tseng, Ming-Lang ; Wu, Kuo-Jui ; Zhang, Qian. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3240-:d:239134.

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2018Everybodys a Victim? Global Terror, Well-Being and Political Attitudes. (2018). Bargain, Olivier ; Elsayed, Ahmed ; Akay, Alpaslan. In: Working Papers in Economics. RePEc:hhs:gunwpe:0733.

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2018Is Mexicos Forward Exchange Rate Market Efficient?. (2018). Islas-Camargo, Alejandro ; Sanabria, Tania Pamela ; Cortez, Willy Walter. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:13:y:2018:i:2:p:273-289.

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2018Everybodys a Victim? Global Terror, Well-Being and Political Attitudes. (2018). Bargain, Olivier ; Elsayed, Ahmed ; Akay, Alpaslan. In: IZA Discussion Papers. RePEc:iza:izadps:dp11597.

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2018Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Huang, Ya-Chi ; Tsao, Chueh-Yung. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9643-7.

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2018International Capital Movement and Monetary Independence in Asia. (2018). Nanovsky, Simeon ; Kim, Yoonbai. In: International Advances in Economic Research. RePEc:kap:iaecre:v:24:y:2018:i:2:d:10.1007_s11294-018-9682-z.

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2019Banks, Taxes, and Nonbank Competition. (2019). Pennacchi, George. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:1:d:10.1007_s10693-017-0277-2.

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2017Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates. (2017). Chen, Cathy Yi-Hsuan ; Chiang, Thomas C. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:1:d:10.1007_s11156-016-0584-y.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2018The use of option prices in order to evaluate the skewness risk premium. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas. In: Department of Economics. RePEc:mod:depeco:0132.

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2017The Purchasing Power Parity Puzzle and Imperfect Knowledge: The Case of the Polish Zloty. (2017). Kelm, Robert. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:1:p:1-27.

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2018Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities. (2018). Tchistyi, Alexei ; Pennacchi, George. In: 2018 Meeting Papers. RePEc:red:sed018:331.

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2019Correlations and Turbulence of the European Markets. (2019). Brezeanu, Petre ; Diaconescu, Tiberiu ; Dinu, Sorin-Marius ; Andrei, Laurentiu Dumitru ; Anghelache, Constantin. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2019:i:1:p:88-100.

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2018Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps. (2018). Perera, Sandun ; Long, Hongwei ; Buckley, Winston . In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-016-2297-y.

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2018Corporate hedging: an answer to the “how” question. (2018). Blomvall, Jorgen ; Ekblom, Jonas. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2645-6.

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2018How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts. (2018). Ribeiro, Pedro Pires ; Curto, Jose Dias . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1268-8.

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2018The dollar–euro exchange rate and monetary fundamentals. (2018). Beckmann, Joscha ; Pilbeam, Keith ; Glycopantis, Dionysius. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1335-1.

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2019Big moves of mutual funds. (2019). Lehnert, Thorsten. In: Eurasian Economic Review. RePEc:spr:eurase:v:9:y:2019:i:1:d:10.1007_s40822-018-0104-6.

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2018The impact of interest rate volatility on financial market inclusion: evidence from emerging markets. (2018). Hajilee, Massomeh ; Niroomand, Farhang. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:2:d:10.1007_s12197-017-9422-x.

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2018Contingent convertible bonds: Who invests in European CoCos?. (2018). van Wijnbergen, Sweder ; Boermans, Martijn. In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:4:p:234-238.

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2019New Evidence on the Portfolio Balance Approach to Currency Returns. (2019). Stillwagon, Josh ; Goldberg, Michael D ; Cavusoglu, Nevin. In: Working Papers Series. RePEc:thk:wpaper:89.

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2019A Gravity Model Estimation of the Bi-Directional Relationship between International Trade and Migration. (2019). Roskruge, Matthew ; Cameron, Michael ; Cochrane, William ; Ghani, Rosmaiza A. In: Working Papers in Economics. RePEc:wai:econwp:19/02.

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2018Structural estimation of behavioral heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:33:y:2018:i:5:p:690-707.

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2018Alternative characterization of volatility of short-term interest rate. (2018). Bhar, Ramaprasad ; LEE, Damien . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500184.

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2017Euro area banks interest rate risk exposure to level, slope and curvature swings in the yield curve. (2017). Pliszka, Kamil ; Lütkebohmert, Eva ; Foos, Daniel ; Markovych, Mariia ; Lutkebohmert, Eva. In: Discussion Papers. RePEc:zbw:bubdps:242017.

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2018Convertible bonds and bank risk-taking. (2018). Perotti, Enrico ; Martynova, Natalya. In: Discussion Papers. RePEc:zbw:bubdps:242018.

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2019Detecting structural differences in tail dependence of financial time series. (2019). Schienle, Melanie ; Bormann, Carsten . In: Working Paper Series in Economics. RePEc:zbw:kitwps:122.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168291.

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2018Exchange rate predictability and dynamic Bayesian learning. (2018). Koop, Gary ; Korobilis, Dimitris ; Beckmann, Joscha ; Schussler, Rainer. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181523.

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Christian Wolff is editor of


Journal
Journal of Empirical Finance

Works by Christian Wolff:


YearTitleTypeCited
1993Premia in Forward Foreign Exchange as Unobserved Components: A Note. In: Journal of Business & Economic Statistics.
[Citation analysis]
article14
1987Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models. In: Journal of Business & Economic Statistics.
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article87
2000Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns In: Economic Notes.
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article11
1998Survey data and the interest rate sensitivity of U.S. bank stock returns.(1998) In: Proceedings.
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2008FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS In: Journal of Economic Surveys.
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article33
1987 Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach. In: Journal of Finance.
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article51
1987Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach.(1987) In: CEPR Discussion Papers.
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2015Credit risk characteristics of US small business portfolios In: CEPR Discussion Papers.
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paper0
2015Leverage and risk in US commercial banking in the light of the current financial crisis In: CEPR Discussion Papers.
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paper9
2010Leverage and risk in US commercial banking in the light of the current financial crisis.(2010) In: LSF Research Working Paper Series.
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2015Ripple effects from industry defaults In: CEPR Discussion Papers.
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paper2
2015Does the CAMEL bank ratings system follow a procyclical pattern? In: CEPR Discussion Papers.
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paper0
2015The Determinants of CoCo Bond Prices In: CEPR Discussion Papers.
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2017Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region In: CEPR Discussion Papers.
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2017Cross-border mergers and acquisitions: Evidence from the Indochina region.(2017) In: Finance Research Letters.
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2017Trading in style: Retail investors vs. institutions In: CEPR Discussion Papers.
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2019Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies In: CEPR Discussion Papers.
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1987Forward Exchange Rates and Expected Future Spot Rates In: CEPR Discussion Papers.
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1987Exchange Rates, Innovations and Forecasting In: CEPR Discussion Papers.
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1988Exchange rates, innovations and forecasting.(1988) In: Journal of International Money and Finance.
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2000Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach In: CEPR Discussion Papers.
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2003Risk premia in the term structure of interest rates: a panel data approach.(2003) In: Journal of International Financial Markets, Institutions and Money.
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1998Risk Premia in Term Structure of Interest Rates: A Panel Data Approach..(1998) In: Southern California - School of Business Administration.
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2001Modelling Scale-Consistent VaR with the Truncated Lévy Flight In: CEPR Discussion Papers.
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2002An Evaluation Framework for Alternative VaR Models In: CEPR Discussion Papers.
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2005An evaluation framework for alternative VaR-models.(2005) In: Journal of International Money and Finance.
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2003More Evidence on the Dollar Risk Premium in the Foreign Exchange Market In: CEPR Discussion Papers.
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2004More evidence on the dollar risk premium in the foreign exchange market.(2004) In: Journal of International Money and Finance.
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2005Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration In: CEPR Discussion Papers.
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2005Time Variation in Term Premia: International Evidence In: CEPR Discussion Papers.
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2005Loss Functions in Option Valuation: A Framework for Model Selection In: CEPR Discussion Papers.
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2008Are Capital Controls in the Foreign Exchange Market Effective? In: CEPR Discussion Papers.
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paper7
2008Are Capital Controls in the Foreign Exchange Market Effective?.(2008) In: LSF Research Working Paper Series.
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