Christian Wolff : Citation Profile


Are you Christian Wolff?

Université du Luxembourg

16

H index

24

i10 index

1029

Citations

RESEARCH PRODUCTION:

44

Articles

45

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   35 years (1986 - 2021). See details.
   Cites by year: 29
   Journals where Christian Wolff has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 33 (3.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwo136
   Updated: 2023-01-28    RAS profile: 2022-11-12    
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Relations with other researchers


Works with:

Lajaunie, Quentin (2)

Horenstein, Alex (2)

Lof, Matthijs (2)

Schwarz, Marco (2)

Dimpfl, Thomas (2)

Scaillet, Olivier (2)

Deku, Solomon (2)

Chernov, Mikhail (2)

Brownlees, Christian (2)

Liew, Chee (2)

Jones, Charles (2)

Deev, Oleg (2)

Tonks, Ian (2)

Park, Andreas (2)

Kassner, Bernhard (2)

Jurkatis, Simon (2)

Davies, Ryan (2)

Patton, Andrew (2)

Moinas, Sophie (2)

Walther, Thomas (2)

Chow, Nikolai Sheung-Chi (2)

Caporin, Massimiliano (2)

Adrian, Tobias (2)

Roy, Saurabh (2)

Rakowski, David (2)

Pasquariello, Paolo (2)

Sojli, Elvira (2)

Pastor, Lubos (2)

Gehrig, Thomas (2)

Kearney, Fearghal (2)

Regis, Luca (2)

Hurlin, Christophe (2)

He, Xuezhong (Tony) (2)

Gerritsen, Dirk (2)

Sarno, Lucio (2)

Hautsch, Nikolaus (2)

Palan, Stefan (2)

Ferrara, Gerardo (2)

Lopez-Lira, Alejandro (2)

Foucault, Thierry (2)

PASCUAL, ROBERTO (2)

Stefanova, Denitsa (2)

Schenk-Hoppé, Klaus (2)

Ait-Sahalia, Yacine (2)

Hjalmarsson, Erik (2)

Theissen, Erik (2)

Wong, Wing-Keung (2)

Talavera, Oleksandr (2)

Colliard, Jean-Edouard (2)

Nielsson, Ulf (2)

Bos, Charles (2)

Ranaldo, Angelo (2)

CAPELLE-BLANCARD, Gunther (2)

Verousis, Thanos (2)

Putnins, Talis (2)

Xia, Shuo (2)

Holzmeister, Felix (2)

Rinne, Kalle (2)

Vilkov, Grigory (2)

Taylor, Nick (2)

FERROUHI, EL MEHDI (2)

Wilhelmsson, Anders (2)

Prokopczuk, Marcel (2)

Bohorquez Correa, Santiago (2)

Xiu, Dacheng (2)

Dumitrescu, Ariadna (2)

Zhou, Chen (2)

Smales, Lee (2)

Abudy, Menachem (2)

Frijns, Bart (2)

Mihet, Roxana (2)

Reitz, Stefan (2)

Bouri, Elie (2)

Heath, Davidson (2)

Patel, Vinay (2)

Jalkh, Naji (2)

van Kervel, Vincent (2)

Vogel, Sebastian (2)

Alexeev, Vitali (2)

Johannesson, Magnus (2)

LINTON, OLIVER (2)

Harris, Jeffrey (2)

Dreber, Anna (2)

Pelizzon, Loriana (2)

Menkveld, Albert (2)

Gorbenko, Arseny (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 (31)

Beckmann, Joscha (28)

Menkhoff, Lukas (18)

Czudaj, Robert (17)

MacDonald, Ronald (17)

Stillwagon, Josh (17)

Zwinkels, Remco (15)

Lehnert, Thorsten (14)

Groen, Jan (13)

van Wincoop, Eric (12)

Bacchetta, Philippe (12)

Cites to:

Frankel, Jeffrey (45)

Froot, Kenneth (38)

Verschoor, Willem (36)

Hodrick, Robert (29)

MacDonald, Ronald (22)

Campbell, John (22)

Engel, Charles (19)

Taylor, Mark (16)

Bekaert, Geert (16)

Bollerslev, Tim (15)

Engle, Robert (13)

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
Applied Financial Economics2
International Review of Financial Analysis2
Finance Research Letters2
Journal of International Financial Markets, Institutions and Money2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers25
LSF Research Working Paper Series / Luxembourg School of Finance, University of Luxembourg11

Recent works citing Christian Wolff (2022 and 2021)


YearTitle of citing document
2021Impact of Interest Rates on Stock Index: Case of Pakistan Stock Exchange. (2021). Batool, Kiran. In: International Journal of Business and Economic Affairs (IJBEA). RePEc:aya:ijbeaa:2021:p:1-12.

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2022When uncertainty decouples expected and unexpected losses. (2022). Juselius, John ; Tarashev, Nikola. In: BIS Working Papers. RePEc:bis:biswps:995.

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2021Intra?industry spill?over effect of default: Evidence from the Chinese bond market. (2021). Li, Jiang ; Xu, Zijin ; Luo, Haoyi ; Hu, Xiaolu. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4703-4740.

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2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

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2021Investment and financing for cash flow discounted with group diversity. (2021). Yang, Zhaojun ; Luo, Pengfei. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:769-785.

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2022Econometric Analysis of Switching Expectations in UK Inflation. (2022). Madeira, Joao ; Corneamadeira, Adriana. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:651-673.

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2022When uncertainty decouples expected and unexpected losses. (2022). Tarashev, Nikola ; Juselius, Mikael. In: Research Discussion Papers. RePEc:bof:bofrdp:2022_004.

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2021The impact of debt restructuring on dynamic investment and financing policies. (2021). Luo, Pengfei ; Tan, Yingxian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001723.

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2021The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB. (2021). Xu, Xiangyun ; Ren, Junfan ; Shen, Yao ; Jia, Fei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321.

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2021How puzzling is the forward premium puzzle? A meta-analysis. (2021). Zigraiova, Diana ; Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas. In: European Economic Review. RePEc:eee:eecrev:v:134:y:2021:i:c:s0014292121000672.

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2021Addressing systemic risk using contingent convertible debt – A network analysis. (2021). Lu, Yueliang ; Wang, Runzu ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:263-277.

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2022Tail risk, systemic risk and spillover risk of crude oil and precious metals. (2022). Benjasak, Chonlakan ; Kumpamool, Chamaiporn ; Chaudhry, Sajid M ; Ahmed, Rizwan. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002298.

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2021The financial conglomerate discount: Insights from stock return skewness. (2021). Weissensteiner, Alex ; Bressan, Silvia. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000065.

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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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2021Why do banks target ROE?. (2021). , Joo ; Pennacchi, George G. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000152.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2021On the preferences of CoCo bond buyers and sellers. (2021). Caporale, Guglielmo Maria ; Kang, Woo-Young. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000330.

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2021Does alternative finance moderate bank fragility? Evidence from the euro area. (2021). Ongena, Steven ; Mamatzakis, Emmanuel C ; Tsionas, Mike G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000597.

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2022Commodity return predictability: Evidence from implied variance, skewness, and their risk premia??. (2022). Haas, Jose Renato ; Finta, Marinela Adriana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000543.

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2021Systemic risk allocation using the asymptotic marginal expected shortfall. (2021). Zhou, Chen ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000571.

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2022A banks optimal capital ratio: A time-varying parameter model to the partial adjustment framework. (2022). Lee, Kang Bok ; Joo, Sunghoon ; Han, Sumin ; Baik, Hyeoncheol. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:142:y:2022:i:c:s037842662200142x.

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2022Export pricing and exchange rate expectations under uncertainty. (2022). Fracasso, Andrea ; Tomasi, Chiara ; Secchi, Angelo. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:50:y:2022:i:1:p:135-152.

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2022Exchange rate expectation, abnormal returns, and the COVID-19 pandemic. (2022). Czudaj, Robert ; Beckmann, Joscha. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:1-25.

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2021The agency of CoCos: Why contingent convertible bonds are not for everyone. (2021). Rauf, Asad ; Ongena, Steven ; Goncharenko, Roman. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:48:y:2021:i:c:s104295732030036x.

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2022Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model. (2022). Lee, Kevin ; Shields, Kalvinder ; Aristidou, Chrystalleni. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560622000043.

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2021Currency returns and downside risk: Debt, volatility, and the gap from benchmark values. (2021). Stillwagon, Josh ; Goldberg, Michael D ; Cavusoglu, Nevin. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:68:y:2021:i:c:s0164070421000161.

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2022Extreme risk transmission among bitcoin and crude oil markets. (2022). Pan, Zhigang ; Xu, Pengfei ; Wang, LU ; Hong, Yanran ; Li, Dongxin. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002094.

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2021Pricing catastrophe swaps with default risk and stochastic interest rates. (2021). Yu, Min-Teh ; Lee, Jin-Ping ; Chang, Carolyn W ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305165.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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2022On the predictive power of tweet sentiments and attention on bitcoin. (2022). Suardi, Sandy ; Liu, Bin ; Rasel, Atiqur Rahman. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:289-301.

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2021Time-varying risk attitude and the foreign exchange market behavior. (2021). Li, Zeguang ; Zhang, Qian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000155.

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2022Tail risk and systemic risk of finance and technology (FinTech) firms. (2022). Benjasak, Chonlakan ; Duc, Toan Luu ; Ahmed, Rizwan ; Chaudhry, Sajid M. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:174:y:2022:i:c:s0040162521006247.

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2022A State-Space Approach for Time-Series Prediction of an Heterogeneous Agent Model. (2022). Ricchiuti, Giorgio ; Gusella, Filippo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2022_20.rdf.

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2021Explaining the endogeneity between the credit risk, liquidity risk, and off-balance sheet activities in commercial banks: a case of South Asian economies. (2021). Hassan, Saira Ghulam ; Bin, Mohamad Helmi ; Waemustafa, Waeibrorheem ; Basheer, Muhammad Farhan. In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:14:y:2021:i:2:p:166-187.

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2022Exchange Markets and Stock Markets Integration in Latin-America. (2022). Cornejo, Edinson Edgardo ; Delgado, Carlos Leandro ; Sepulveda, Sandra Maria ; Veloso, Carmen Lissette ; Muoz, Jorge Andres . In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:17:y:2022:i:3:a:8.

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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2021Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis. (2021). Zimmermann, Kevin ; Sigmund, Michael. In: Working Papers. RePEc:onb:oenbwp:236.

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2022The impact of bank regulation on bank lending: a review of international literature. (2022). Odhiambo, Nicholas M ; Thamae, Retselisitsoe I. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:23:y:2022:i:4:d:10.1057_s41261-021-00179-9.

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2021Designing bankers pay: Using contingent capital to reduce risk-shifting. (2021). Raviv, Alon ; Peleg-Lazar, Sharon ; Hilscher, Jens. In: MPRA Paper. RePEc:pra:mprapa:106596.

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2022Contingent convertible lease modeling and credit risk management. (2022). Abid, Fathi ; Triki, Ons. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00393-y.

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2022Fundamental determinants of exchange rate expectations. (2022). Czudaj, Robert ; Beckmann, Joscha. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep056.

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2021Forecasting in a changing world: from the great recession to the COVID-19 pandemic. (2021). Koopman, Siem Jan ; Zhang, Zhaokun ; Blasques, Francisco ; Artemova, Mariia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210006.

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2021Forecasting volatility by integrating financial risk with environmental, social, and governance risk. (2021). Russo, Angeloantonio ; Ielasi, Federica ; Capelli, Paolo. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:28:y:2021:i:5:p:1483-1495.

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2022A new approach to exchange rate forecast: The role of global financial cycle and time?varying parameters. (2022). Vo, Xuan Vinh ; Raheem, Ibrahim D. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:2836-2848.

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2022The influence of policy uncertainty on exchange rate forecasting. (2022). Smales, Lee A. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:5:p:997-1016.

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2022Revisiting the valuation of deposit insurance. (2022). Hsiao, Yujen ; Ho, Rueyjenn ; Chung, Sanlin ; Chang, Chuangchang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:77-103.

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2022Fighting Fire with Gasoline: CoCos in Lieu of Equity. (2022). Goncharenko, Roman. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:2-3:p:493-517.

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2022.

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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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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]
article16
1987Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article92
2000Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns In: Economic Notes.
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article13
1998Survey data and the interest rate sensitivity of U.S. bank stock returns.(1998) In: Proceedings.
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This paper has another version. Agregated cites: 13
paper
2008FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS In: Journal of Economic Surveys.
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article46
1987 Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach. In: Journal of Finance.
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article61
1987Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach.(1987) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 61
paper
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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paper10
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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This paper has another version. Agregated cites: 10
paper
2015Ripple effects from industry defaults In: CEPR Discussion Papers.
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paper3
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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paper0
2017Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region In: CEPR Discussion Papers.
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paper2
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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paper0
2019Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies In: CEPR Discussion Papers.
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paper0
2021Which Factors Play a Role in Coco Issuance? Evidence from European Banks. In: CEPR Discussion Papers.
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1987Forward Exchange Rates and Expected Future Spot Rates In: CEPR Discussion Papers.
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paper53
1987Exchange Rates, Innovations and Forecasting In: CEPR Discussion Papers.
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paper14
1988Exchange rates, innovations and forecasting.(1988) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 14
article
2000Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach In: CEPR Discussion Papers.
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paper7
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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article
1998Risk Premia in Term Structure of Interest Rates: A Panel Data Approach..(1998) In: Southern California - School of Business Administration.
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paper
2001Modelling Scale-Consistent VaR with the Truncated Lévy Flight In: CEPR Discussion Papers.
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paper0
2002An Evaluation Framework for Alternative VaR Models In: CEPR Discussion Papers.
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paper27
2005An evaluation framework for alternative VaR-models.(2005) In: Journal of International Money and Finance.
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article
2003More Evidence on the Dollar Risk Premium in the Foreign Exchange Market In: CEPR Discussion Papers.
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paper14
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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paper2
2005Time Variation in Term Premia: International Evidence In: CEPR Discussion Papers.
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paper9
2005Loss Functions in Option Valuation: A Framework for Model Selection In: CEPR Discussion Papers.
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paper2
2008Are Capital Controls in the Foreign Exchange Market Effective? In: CEPR Discussion Papers.
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paper10
2008Are Capital Controls in the Foreign Exchange Market Effective?.(2008) In: LSF Research Working Paper Series.
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2013Are capital controls in the foreign exchange market effective?.(2013) In: Journal of International Money and Finance.
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2008Dispersion of Beliefs in the Foreign Exchange Market In: CEPR Discussion Papers.
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paper6
2009Dispersion of Beliefs in the Foreign Exchange Market.(2009) In: LSF Research Working Paper Series.
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2010Contingent Capital: The Case for COERCs In: CEPR Discussion Papers.
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paper98
2010Contingent Capital: The Case for COERCs.(2010) In: LSF Research Working Paper Series.
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2014Contingent Capital: The Case of COERCs.(2014) In: Journal of Financial and Quantitative Analysis.
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2012Modeling default correlation in a US retail loan portfolio In: CEPR Discussion Papers.
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paper6
2012Modeling default correlation in a US retail loan portfolio.(2012) In: LSF Research Working Paper Series.
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2012Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency In: CEPR Discussion Papers.
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2012Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency.(2012) In: LSF Research Working Paper Series.
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2015Euro at risk: The impact of member countries credit risk on the stability of the common currency.(2015) In: Journal of Empirical Finance.
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2013Skewness Risk Premium: Theory and Empirical Evidence In: CEPR Discussion Papers.
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paper8
2014Skewness Risk Premium: Theory and Empirical Evidence.(2014) In: LSF Research Working Paper Series.
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This paper has another version. Agregated cites: 8
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2019Skewness risk premium: Theory and empirical evidence.(2019) In: International Review of Financial Analysis.
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1990EMS Exchange Rates In: CEPR Financial Markets Paper.
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