Andreas Schrimpf : Citation Profile


Are you Andreas Schrimpf?

Bank for International Settlements (BIS)

22

H index

32

i10 index

1924

Citations

RESEARCH PRODUCTION:

39

Articles

72

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2006 - 2023). See details.
   Cites by year: 113
   Journals where Andreas Schrimpf has often published
   Relations with other researchers
   Recent citing documents: 178.    Total self citations: 39 (1.99 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc349
   Updated: 2024-01-16    RAS profile: 2023-04-07    
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Relations with other researchers


Works with:

Schmeling, Maik (6)

Sushko, Vladyslav (6)

Kroencke, Tim (3)

Auer, Raphael (2)

Shin, Hyun Song (2)

Aramonte, Sirio (2)

Eren, Egemen (2)

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

Is cited by:

Sarno, Lucio (28)

Kose, Ayhan (24)

Sakemoto, Ryuta (21)

Claessens, Stijn (21)

Ranaldo, Angelo (19)

Byrne, Joseph (17)

Cenedese, Gino (17)

Menkhoff, Lukas (16)

Nitschka, Thomas (15)

MacDonald, Ronald (14)

Wang, Yudong (14)

Cites to:

Campbell, John (76)

Bekaert, Geert (40)

Cochrane, John (36)

French, Kenneth (27)

Verdelhan, Adrien (26)

Pedersen, Lasse (26)

Swanson, Eric (24)

Sarno, Lucio (24)

Shin, Hyun Song (23)

Fama, Eugene (23)

Rime, Dagfinn (22)

Main data


Where Andreas Schrimpf has published?


Journals with more than one article published# docs
BIS Quarterly Review10
ZEW Wachstums- und Konjunkturanalysen3
Journal of Financial Economics2
Journal of Financial and Quantitative Analysis2
European Economic Review2
Review of Financial Studies2
Journal of Finance2

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements19
CEPR Discussion Papers / C.E.P.R. Discussion Papers13
Swiss Finance Institute Research Paper Series / Swiss Finance Institute9
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research7
BIS Bulletins / Bank for International Settlements3
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2
Papers / arXiv.org2

Recent works citing Andreas Schrimpf (2024 and 2023)


YearTitle of citing document
2023The Voice of Monetary Policy. (2023). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:2:p:548-84.

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2023An Alternative Explanation for the Fed Information Effect. (2023). Swanson, Eric T ; Bauer, Michael D. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:3:p:664-700.

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2023.

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2023Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control. (2021). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2112.02269.

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2023MicroVelocity: rethinking the Velocity of Money for digital currencies. (2022). Tessone, Claudio J ; D'Errico, Marco ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2201.13416.

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2023Information Design in Concave Games. (2022). Yamashita, Takuro ; Smolin, Alex. In: Papers. RePEc:arx:papers:2202.10883.

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2023The Evolution Of Centralisation on Cryptocurrency Platforms. (2022). Tessone, Claudio J ; Nicolo' Vallarano, ; Yan, Tao ; de Collibus, Francesco Maria ; Cristodaro, Raffaele ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2206.05081.

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2023Dealing with multi-currency inventory risk in FX cash markets. (2022). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2207.04100.

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2023Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336.

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2023FTXs downfall and Binances consolidation: the fragility of Centralized Digital Finance. (2023). Aste, Tomaso ; Briola, Antonio ; Vidal-Tom, David. In: Papers. RePEc:arx:papers:2302.11371.

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2023Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661.

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2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Persuasion as Transportation. (2023). Sandomirskiy, Fedor ; Babichenko, Yakov ; Arieli, Itai. In: Papers. RePEc:arx:papers:2307.07672.

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2023Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196.

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2023Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?. (2023). Segalla, Esther ; Saggese, Pietro ; Raunig, Burkhard ; Haslhofer, Bernhard ; Zangerl, Felix ; Sigmund, Michael. In: Papers. RePEc:arx:papers:2309.16408.

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2023Fiscal Dominance, Monetary Policy and Exchange Rates: Lessons from Early-Modern Venice. (2023). masciandaro, donato ; Ugolini, Stefano ; Romelli, Davide. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23205.

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2023The drivers of market-based inflation expectations in the euro area and in the US. (2023). Rossi, Luca ; Hoynck, Christian. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_779_23.

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2023Crypto-asset markets: structure, stress episodes in 2022 and policy considerations. (2023). Gallo, Raffaele ; Branzoli, Nicola ; Abate, Giorgio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_783_23.

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2023Investor behavior under market stress:evidence from the Italian sovereign bond market. (2023). Panzarino, Onofrio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_033_23.

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2023Investigating the determinants of corporate bond credit spreads in the euro area. (2023). Mirante, Pasquale ; Letta, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_036_23.

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2023Currency risk premiums redux?. (2023). Sarno, Lucio ; Nucera, Federico C ; Zinna, Gabriele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1415_23.

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2023Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions. (2023). Ibarra, Raul ; Cuadra, Gabriel ; Alba, Carlos ; Gabriel, Cuadra. In: Working Papers. RePEc:bdm:wpaper:2023-03.

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2023Stablecoins and the Financing of the Real Economy. (2023). Nguyen, Benoit ; Gardin, Paul ; Barthelemy, Jean. In: Working papers. RePEc:bfr:banfra:908.

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2023Monetary Policy and Labor Income Inequality: the Role of Extensive and Intensive Margins. (2023). Savignac, Frederique ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:913.

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2023US Monetary Policy Spillovers to Emerging Markets: the Trade Credit Channel. (2023). London, Mélina ; Silvestrini, Maeva. In: Working papers. RePEc:bfr:banfra:915.

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2023Can Central Banks Be Heard Over the Sound of Gunfire?. (2023). Talavera, Oleksandr ; Nikolsko-Rzhevskyy, Alex ; Gao, GE. In: Discussion Papers. RePEc:bir:birmec:23-09.

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2023Bank positions in FX swaps: insights from CLS. (2023). Sushko, Vladyslav ; Ranaldo, Angelo ; McGuire, Patrick ; Kloks, Pteris. In: BIS Quarterly Review. RePEc:bis:bisqtr:2309b.

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2023Monetary policy and credit card spending. (2023). Sandri, Damiano ; Grigoli, Francesco. In: BIS Working Papers. RePEc:bis:biswps:1064.

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2023The Technology of Decentralized Finance (DeFi). (2023). Auer, Raphael ; Victor, Friedhelm ; Saggese, Pietro ; Kitzler, Stefan ; Haslhofer, Bernhard. In: BIS Working Papers. RePEc:bis:biswps:1066.

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2023The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094.

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2023Money market funds and the pricing of near-money assets. (2023). Doerr, Sebastian ; Malamud, Semyon ; Eren, Sebastian Egemen. In: BIS Working Papers. RePEc:bis:biswps:1096.

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2023Margins, debt capacity, and systemic risk. (2023). Shin, Hyun Song ; Schrimpf, Andreas ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:1121.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145.

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2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2023The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358.

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2023Homemade international diversification under economic policy uncertainty. (2023). Zhou, YI ; Zhang, Chunqiu ; Fang, Junxiong ; Chen, Jing. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:31-62.

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2023Algorithmic market making in dealer markets with hedging and market impact. (2023). Gueant, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79.

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2023Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248.

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2023ECB monetary policy and commodity prices. (2023). Kočenda, Evžen ; Koenda, Even ; Aliyev, Shahriyar. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:274-304.

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2023.

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2023The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations. (2023). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10285.

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2023Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492.

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2023Dash for Dollars. (2023). Czech, Robert ; Eguren-Martin, Fernando ; Cesa-Bianchi, Ambrogio. In: Discussion Papers. RePEc:cfm:wpaper:2314.

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2023Global monetary policy surprises and their transmission to emerging market economies: an external VAR analysis. (2023). Beltran, Felipe. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:975.

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2023Foreign Exchange Implications of CBDCs and Their Integration via Bridge Coins. (2023). Derviz, Alexis. In: Working Papers. RePEc:cnb:wpaper:2023/7.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2023Safe Asset Scarcity and Re-use in the European Repo Market. (2023). van Lelyveld, Iman ; Inhoffen, Justus. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2050.

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2023Safe Asset Scarcity and Re-use in the European Repo Market. (2023). Lelyveld, Iman ; van Lelyveld, Iman ; Inhoffen, Justus. In: Working Papers. RePEc:dnb:dnbwpp:787.

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2023Information Shocks in the U.S. and Asset Mispricing in Emerging Economies. (2023). Pourroy, Marc ; Villavicencio, Antonia Lopez. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-19.

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2023Central bank communication by ??? The economics of public policy leaks. (2023). Ehrmann, Michael ; Rieder, Kilian ; Gnan, Phillipp. In: Working Paper Series. RePEc:ecb:ecbwps:20232846.

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2023Risk, monetary policy and asset prices in a global world. (2023). Bekaert, Geert ; Hoerova, Marie ; Xu, Nancy R. In: Working Paper Series. RePEc:ecb:ecbwps:20232879.

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2023Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881.

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2023Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries. (2023). Aladwani, Jassim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-54.

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2023Unveiling the sentiment behind central bank narratives: A novel deep learning index. (2023). Radu, Tefan-Constantin ; Pochea, Maria-Miruna ; Nioi, Mihai. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000230.

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2023Is the Peoples Bank of China consistent in words and deeds?. (2023). Zhu, Chuanqi ; Chen, Liangyuan ; Mei, Ziwei ; Lin, Jianhao. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000044.

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2023Stochastic resonance in the recovery of signal from agent price expectations. (2023). Bazarova, Alina ; Raseta, Marko ; Silver, Steven D. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:174:y:2023:i:c:s0960077923006197.

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2023The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations. (2023). Lustenhouwer, Joep ; Hagenhoff, Tim. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000441.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023The cross-border interconnectedness of shadow banking. (2023). Ozgur, Gokcer. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323001980.

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2023Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802.

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2023US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2023Do analysts anchor on public signals in forecasting the target price of disruptive technology firms?. (2023). Qu, Hong ; Park, Hyungshin ; Hong, Duanping ; Caylor, Marcus. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523002082.

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2023The Bank of Japan’s equity purchases and stock price crash risk. (2023). Yamada, Kazuo ; Tosun, Onur Kemal ; el Kalak, Izidin. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002392.

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2023Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620.

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2023Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Kiohos, Apostolos ; Nikas, Christos ; Stoupos, Nikolaos. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

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2023Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312.

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2023Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. (2023). Gözgör, Giray ; Elsayed, Ahmed ; Gozgor, Giray ; Gabauer, David ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001251.

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2023Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy. RePEc:eee:energy:v:272:y:2023:i:c:s0360544223005078.

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2023The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124.

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2023The illusion of the metaverse and meta-economy. (2023). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000765.

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2023Factor investing and currency portfolio management. (2023). Cerrato, Mario ; Zhang, Zhekai ; Li, Danyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001424.

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2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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2023Stock market reactions to monetary policy surprises under uncertainty. (2023). Saadon, Yossi ; Benchimol, Jonathan ; Segev, Nimrod. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002995.

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2023Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320.

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2023Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356.

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2023Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies. (2023). Hu, Bing ; Lin, Zhitao ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000533.

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2023Central bank asset purchase programs in emerging market economies. (2023). Beirne, John ; Sugandi, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001423.

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2023The impact of Bank of Japan’s exchange-traded fund purchases. (2023). Yoshida, Jiro ; Hattori, Takahiro. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000025.

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2023The open-economy ELB: Contractionary monetary easing and the trilemma. (2023). Sandri, Damiano ; Cavallino, Paolo. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001234.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts. (2023). Hertrich, Daniel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001822.

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2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

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2023Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331.

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2023Cross-currency basis swap spreads and corporate dollar funding. (2023). Shapir, Offer Moshe ; Rosenboim, Mosi ; Galil, Koresh ; David-Pur, Lior. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000483.

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2023What drives DeFi market returns?. (2023). Jimenez-Garces, Sonia ; Dumas, Jean-Guillaume ; Oiman, Florentina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000549.

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2023Decentralized lending and its users: Insights from compound. (2023). Saengchote, Kanis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:87:y:2023:i:c:s1042443123000756.

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2023Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502.

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2023Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility. (2023). Liang, Chao ; Wang, Yudong ; He, Mengxi ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1318-1332.

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More than 100 citations found, this list is not complete...

Works by Andreas Schrimpf:


YearTitleTypeCited
2009Global Asset Pricing: Is There a Role for Long-run Consumption Risk? In: CREATES Research Papers.
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2010Dividend predictability around the world In: CREATES Research Papers.
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2014Dividend Predictability Around the World.(2014) In: Journal of Financial and Quantitative Analysis.
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2010Macro Expectations, Aggregate Uncertainty, and Expected Term Premia In: CREATES Research Papers.
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2013Macro-expectations, aggregate uncertainty, and expected term premia.(2013) In: European Economic Review.
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2010Macro expectations, aggregate uncertainty, and expected term premia.(2010) In: ZEW Discussion Papers.
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2010A Comprehensive Look at Financial Volatility Prediction by Economic Variables In: CREATES Research Papers.
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2012A Comprehensive Look at Financial Volatility Prediction by Economic Variables.(2012) In: BIS Working Papers.
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2012A comprehensive look at financial volatility prediction by economic variables.(2012) In: Journal of Applied Econometrics.
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2011International Diversification Benefits with Foreign Exchange Investment Styles In: CREATES Research Papers.
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2014International Diversification Benefits with Foreign Exchange Investment Styles.(2014) In: Review of Finance.
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2011International diversification benefits with foreign exchange investment styles.(2011) In: ZEW Discussion Papers.
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2012Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM In: CREATES Research Papers.
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2013Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM.(2013) In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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2016The Response of Tail Risk Perceptions to Unconventional Monetary Policy In: American Economic Journal: Macroeconomics.
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2013The response of tail risk perceptions to unconventional monetary policy.(2013) In: BIS Working Papers.
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2021Optimal Transport of Information In: Papers.
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2021Optimal Transport of Information.(2021) In: Swiss Finance Institute Research Paper Series.
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2021Optimal Transport of Information.(2021) In: CEPR Discussion Papers.
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2022Persuasion by Dimension Reduction In: Papers.
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2021Persuasion by Dimension Reduction.(2021) In: Swiss Finance Institute Research Paper Series.
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2020US dollar funding markets during the Covid-19 crisis - the money market fund turmoil In: BIS Bulletins.
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2020US dollar funding markets during the Covid-19 crisis - the international dimension In: BIS Bulletins.
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2020Leverage and margin spirals in fixed income markets during the Covid-19 crisis In: BIS Bulletins.
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2011FX strategies in periods of distress In: BIS Quarterly Review.
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2013The anatomy of the global FX market through the lens of the 2013 Triennial Survey In: BIS Quarterly Review.
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2016Hanging up the phone - electronic trading in fixed income markets and its implications In: BIS Quarterly Review.
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2016Downsized FX markets: causes and implications In: BIS Quarterly Review.
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2019Beyond LIBOR: a primer on the new benchmark rates In: BIS Quarterly Review.
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2019Sizing up global foreign exchange markets In: BIS Quarterly Review.
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2019FX trade execution: complex and highly fragmented In: BIS Quarterly Review.
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2020Changes in monetary policy operating procedures over the last decade: insights from a new database In: BIS Quarterly Review.
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2021DeFi risks and the decentralisation illusion In: BIS Quarterly Review.
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2022Foreword: OTC foreign exchange and interest rate derivatives markets through the prism of the Triennial Survey In: BIS Quarterly Review.
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2022Global production linkages and stock market co-movement In: BIS Working Papers.
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2022Global Production Linkages and Stock Market Comovement.(2022) In: Swiss Finance Institute Research Paper Series.
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2011Currency Momentum Strategies In: BIS Working Papers.
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2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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2012Currency Momentum Strategies.(2012) In: Working Paper series.
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2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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2015Global Asset Allocation Shifts In: BIS Working Papers.
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2016When the walk is not random: commodity prices and exchange rates In: BIS Working Papers.
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2017When the Walk Is Not Random: Commodity Prices and Exchange Rates.(2017) In: International Journal of Central Banking.
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2016Has the pricing of stocks become more global? In: BIS Working Papers.
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2016Has the Pricing of Stocks Become More Global?.(2016) In: Swiss Finance Institute Research Paper Series.
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2015Has the Pricing of Stocks Become More Global?.(2015) In: CEPR Discussion Papers.
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2017Scarcity effects of QE: A transaction-level analysis in the Bund market In: BIS Working Papers.
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2017Scarcity effects of QE: A transaction-level analysis in the Bund market.(2017) In: Discussion Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates In: BIS Working Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates.(2017) In: CEPR Discussion Papers.
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2021Monetary policy’s rising FX impact in the era of ultra-low rates.(2021) In: Journal of Banking & Finance.
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2017Segmented money markets and covered interest parity arbitrage In: BIS Working Papers.
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2017Segmented money markets and covered interest parity arbitrage.(2017) In: Working Paper.
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2018An intermediation-based model of exchange rates In: BIS Working Papers.
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2018An Intermediation-Based Model of Exchange Rates.(2018) In: Swiss Finance Institute Research Paper Series.
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2018An Intermediation-Based Model of Exchange Rates.(2018) In: CEPR Discussion Papers.
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2018Explaining Monetary Spillovers: The Matrix Reloaded In: BIS Working Papers.
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2020Explaining Monetary Spillovers: The Matrix Reloaded.(2020) In: CEPR Discussion Papers.
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2018Non-monetary news in central bank communication In: BIS Working Papers.
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2019Non-monetary news in central bank communication.(2019) In: Journal of International Economics.
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2018Non-Monetary News in Central Bank Communication.(2018) In: NBER Chapters.
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2018Non-Monetary News in Central Bank Communication.(2018) In: NBER Working Papers.
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2020Debt De-risking In: BIS Working Papers.
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2020Debt De-risking.(2020) In: CEPR Discussion Papers.
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2020Banking across borders: At the crossroads in the transition away from LIBOR - from overnight to term rates In: BIS Working Papers.
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2021Non-bank financial intermediaries and financial stability In: BIS Working Papers.
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2022Monetary policy expectation errors In: BIS Working Papers.
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2022Monetary policy expectation errors.(2022) In: Journal of Financial Economics.
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2007Cross?sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market In: European Financial Management.
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2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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2015Size and Momentum Profitability in International Stock Markets In: Swiss Finance Institute Research Paper Series.
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2015Size and Momentum Profitability in International Stock Markets.(2015) In: CEPR Discussion Papers.
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2016Intermediation Markups and Monetary Policy Passthrough In: Swiss Finance Institute Research Paper Series.
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2018Intermediation markups and monetary policy pass-through.(2018) In: CEPR Discussion Papers.
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2017Intermediation Markups and Monetary Policy Passthrough.(2017) In: 2017 Meeting Papers.
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2020Policy Announcement Design In: Swiss Finance Institute Research Paper Series.
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2022Constrained Liquidity Provision in Currency Markets In: Swiss Finance Institute Research Paper Series.
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2016Currency Value In: CEPR Discussion Papers.
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2017Currency Value.(2017) In: Review of Financial Studies.
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2019Covered Interest Parity Arbitrage In: CEPR Discussion Papers.
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2022Covered Interest Parity Arbitrage.(2022) In: Review of Financial Studies.
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2019The FOMC Risk Shift In: CEPR Discussion Papers.
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2021The FOMC Risk Shift.(2021) In: Journal of Monetary Economics.
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2021The FOMC risk shift.(2021) In: SAFE Working Paper Series.
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2020The Market Microstructure of Central Bank Bond Purchases In: Journal of Financial and Quantitative Analysis.
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2011Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? In: European Economic Review.
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2008Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?.(2008) In: SFB 649 Discussion Papers.
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2013What do professional forecasters stock market expectations tell us about herding, information extraction and beauty contests? In: Journal of Empirical Finance.
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article11
2010A reappraisal of the leading indicator properties of the yield curve under structural instability In: International Journal of Forecasting.
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article28
2010International stock return predictability under model uncertainty In: Journal of International Money and Finance.
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2008International Stock Return Predictability Under Model Uncertainty.(2008) In: ZEW Discussion Papers.
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2009Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns In: Review of Financial Economics.
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2009Asset pricing with a reference level of consumption: New evidence from the cross?section of stock returns.(2009) In: Review of Financial Economics.
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2009Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns.(2009) In: CFR Working Papers.
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2007Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns.(2007) In: ZEW Discussion Papers.
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2011On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications In: CER-ETH Economics working paper series.
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2019Common risk factors in international stock markets In: Financial Markets and Portfolio Management.
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2009Carry Trades and Global FX Volatility In: MPRA Paper.
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2009Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance.
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2009Long-horizon consumption risk and the cross-section of returns: New tests and international evidence.(2009) In: CFR Working Papers.
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2022Peso problems in the estimation of the C?CAPM In: Quantitative Economics.
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2009Higher-order beliefs among professional stock market forecasters: some first empirical tests In: ZEW Discussion Papers.
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2006Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns In: ZEW Discussion Papers.
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2006Evaluating conditional asset pricing models for the German stock market In: ZEW Discussion Papers.
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2006Methoden mittelfristiger gesamtwirtschaftlicher Projektionen In: ZEW Wachstums- und Konjunkturanalysen.
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2007Zinsstruktur als Konjunkturindikator: Wie variabel ist die Prognosekraft? In: ZEW Wachstums- und Konjunkturanalysen.
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2009Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten In: ZEW Wachstums- und Konjunkturanalysen.
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