Christian Wolff : Citation Profile


Are you Christian Wolff?

Université du Luxembourg

13

H index

18

i10 index

676

Citations

RESEARCH PRODUCTION:

41

Articles

40

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   31 years (1986 - 2017). See details.
   Cites by year: 21
   Journals where Christian Wolff has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 28 (3.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwo136
   Updated: 2018-10-13    RAS profile: 2018-08-07    
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Relations with other researchers


Works with:

Papanikolaou, Nikolaos (4)

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 (26)

Beckmann, Joscha (19)

Menkhoff, Lukas (16)

MacDonald, Ronald (14)

Stillwagon, Josh (13)

van Wincoop, Eric (12)

Pancotto, Francesca (12)

Bacchetta, Philippe (12)

Czudaj, Robert (11)

Uctum, Remzi (10)

Prat, Georges (10)

Cites to:

Frankel, Jeffrey (39)

Froot, Kenneth (32)

Verschoor, Willem (32)

Hodrick, Robert (19)

Campbell, John (19)

MacDonald, Ronald (17)

Engel, Charles (17)

Bekaert, Geert (15)

Taylor, Mark (14)

Bollerslev, Tim (10)

Hansen, Lars (10)

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 Finance4
Applied Financial Economics2
Journal of Business & Economic Statistics2
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
LSF Research Working Paper Series / Luxembourg School of Finance, University of Luxembourg11

Recent works citing Christian Wolff (2018 and 2017)


YearTitle of citing document
2017Contingent Convertible Bonds: Payoff Structures and Incentive Effects. (2017). Hori, Kenjiro ; Ceron, Jorge Martin . In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1711.

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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). Cabrera, Matias ; Nieto, Maria J ; Dwyer, Gerald P. In: Working Papers. RePEc:bde:wpaper:1829.

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2017CoCo issuance and bank fragility. (2017). Kartasheva, Anastasia ; Avdjiev, Stefan ; Jiang, Wei ; Bolton, Patrick ; Bogdanova, Bilyana. In: BIS Working Papers. RePEc:bis:biswps:678.

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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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2017Equity versus Bail-in Debt in Banking: An Agency Perspective. (2017). Suarez, Javier ; Nikolov, Kalin ; Mendicino, Caterina. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12104.

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2017.

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2017Real options and contingent convertibles with regime switching. (2017). Yang, Zhaojun ; Luo, Pengfei . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:122-135.

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2017An extreme value analysis of the last century crises across industries in the U.S. economy. (2017). Bee, Marco ; Trapin, Luca ; Riccaboni, Massimo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:65-78.

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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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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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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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2017Forecasting volatility with interacting multiple models. (2017). Katrak, Xerxis ; Svec, Jiri . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:245-252.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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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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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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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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2017System stress testing of bank liquidity risk. (2017). Tsionas, Mike ; Topaloglou, Nikolas ; Pagratis, Spyros . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:22-40.

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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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2017Exchange rate expectations and economic policy uncertainty. (2017). Czudaj, Robert ; Beckmann, Joscha. In: European Journal of Political Economy. RePEc:eee:poleco:v:47:y:2017:i:c:p:148-162.

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2017Growth option, contingent capital and agency conflicts. (2017). Tan, Yingxian ; Yang, Zhaojun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:354-369.

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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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2017Bank levy and bank risk-taking. (2017). Diemer, Michael . In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:10-32.

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

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2017Can Exchange Rate Dynamics in Krugman¡¯s Target-zone Model be Directly Tested?Abstract: Despite Krugmans (1991) model being a benchmark for modelling target zones, empirical support has been sparse . (2017). Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: Working Papers. RePEc:hkm:wpaper:032017.

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2017The Impact of Exchange Rate Volatility on Stock Index: Evidence from Pakistan Stock Exchange (PSX). (2017). Khan, Muhammad Asif ; Bagh, Tanveer ; Liaqat, Idrees ; Razzaq, Sadaf ; Azad, Tahir . In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:7:y:2017:i:3:p:70-86.

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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). Akay, Alpaslan ; Elsayed, Ahmed ; Bargain, Olivier. In: IZA Discussion Papers. RePEc:iza:izadps:dp11597.

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2017Investment, agency conflicts, debt maturity, and loan guarantees by negotiation. (2017). Gan, Liu ; Yang, Zhaojun. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0298-8.

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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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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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2017CoCo Issuance and Bank Fragility. (2017). Kartasheva, Anastasia ; Jiang, Wei ; Bolton, Patrick ; Avdjiev, Stefan ; Bogdanova, Bilyana. In: NBER Working Papers. RePEc:nbr:nberwo:23999.

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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). Pennacchi, George ; Tchistyi, Alexei . In: 2018 Meeting Papers. RePEc:red:sed018:331.

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2017Irrationality and Term Structure Anomaly. (2017). Kuo, Doun I. In: Proceedings of Economics and Finance Conferences. RePEc:sek:iefpro:4507033.

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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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2017Bank risk in a decade of low interest rates. (2017). Chang, Yen-Ling ; Talley, Daniel A. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9367-5.

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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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2017Term structure forecasting in affine framework with time-varying volatility. (2017). Waliullah, . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-017-0378-y.

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2017Equity versus bail-in debt in banking: an agency perspective. (2017). Nikolov, Kalin ; Mendicino, Caterina ; Javier, Kalin Nikolovauthor-Name. In: ESRB Working Paper Series. RePEc:srk:srkwps:201750.

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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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2017Coco Design, Risk Shifting Incentives and Capital Regulation. (2017). van Wijnbergen, Sweder ; Chan, Stephanie . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160007.

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2017Nonconsolidated Affiliates, Bank Capitalization, and Risk Taking. (2017). Laeven, Luc ; Huizinga, Harry ; Gong, Di. In: Discussion Paper. RePEc:tiu:tiucen:b9f9357a-fbce-4fc4-a487-206e1be13110.

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2017Contingent conversion convertible bond: New avenue to raise bank capital. (2017). Campolongo, Francesca ; Schoutens, Wim ; de Spiegeleer, Jan ; di Girolamo, Francesca Erica. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500013.

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2017The impact of skew on the pricing of CoCo bonds. (2017). de Spiegeleer, Jan ; Schoutens, Wim ; Marquet, Ine ; Forys, Monika B. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500128.

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

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2017Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts. (2017). Kunze, Frederik. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:326.

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2017The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman. In: CFS Working Paper Series. RePEc:zbw:cfswop:567.

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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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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]
article13
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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article81
2000Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns In: Economic Notes.
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article10
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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article30
1987 Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach. In: Journal of Finance.
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article46
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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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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2015Does the CAMEL bank ratings system follow a procyclical pattern? In: CEPR Discussion Papers.
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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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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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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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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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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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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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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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paper2
2014Skewness Risk Premium: Theory and Empirical Evidence.(2014) In: LSF Research Working Paper Series.
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1990EMS Exchange Rates In: CEPR Financial Markets Paper.
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2008Loss Functions in Option Valuation: A Framework for Selection In: LSF Research Working Paper Series.
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2009Loss Functions in Option Valuation: A Framework for Selection.(2009) In: Management Science.
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2009Time-Variation in Term Permia: International Survey-Based Evidence In: LSF Research Working Paper Series.
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paper8
2011Time-variation in term premia: International survey-based evidence.(2011) In: Journal of International Money and Finance.
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2009A Cumulative Prospect Theory Approach to Option Pricing In: LSF Research Working Paper Series.
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2013The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis In: LSF Research Working Paper Series.
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2014The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis.(2014) In: Journal of Financial Stability.
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2012Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach In: Journal of Economic Dynamics and Control.
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1986Exchange rate models and innovations : A derivation In: Economics Letters.
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