6
H index
4
i10 index
219
Citations
Thomas Nitschka : Citation Profile
Schweizerische Nationalbank (SNB) | RESEARCH PRODUCTION: 31 Articles 34 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2005 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Nitschka. | Is cited by:
| Cites to:
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Main data
Where Thomas Nitschka has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Swiss National Bank | 19 |
| Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen | 2 |
Recent works citing Thomas Nitschka (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Crypto havens during war times? Evidence from the Russian invasion of Ukraine. (2024). Horvath, Matu ; Linnertova, Dagmar Vagnerova ; Hampl, Filip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000172. Full description at Econpapers || Download paper |
| 2024 | Herding behaviour towards high order systematic risks and the contagion Effect—Evidence from BRICS stock markets. (2024). Liu, Zhidong ; Zhang, YI ; Zhou, Long ; Wu, Baoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400144x. Full description at Econpapers || Download paper |
| 2024 | Stock market responses to unconventional monetary policy shocks. (2024). Jang, Woon Wook ; Ho, Young ; Wang, Jialing. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004300. Full description at Econpapers || Download paper |
| 2024 | Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350. Full description at Econpapers || Download paper |
| 2024 | Is downside risk priced in cryptocurrency market?. (2024). Dobrynskaya, Victoria. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004635. Full description at Econpapers || Download paper |
| 2024 | Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777. Full description at Econpapers || Download paper |
| 2024 | Is gold a safe haven for the U.S. dollar during extreme conditions?. (2024). Azimli, Asil. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701724000015. Full description at Econpapers || Download paper |
| 2024 | Cross-momentum strategies in the equity futures and currency markets. (2024). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001578. Full description at Econpapers || Download paper |
| 2024 | Interconnections and contagion among cryptocurrencies, DeFi, NFT and traditional financial assets: Some new evidence from tail risk driven network. (2024). Zhang, Yuanyuan ; Liao, Xin ; Chan, Stephen ; Chu, Jeffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:647:y:2024:i:c:s0378437124004011. Full description at Econpapers || Download paper |
| 2024 | Safety assessment of cryptocurrencies as risky assets during the COVID-19 pandemic. (2024). Belanes, Amel ; Rabbouch, Hana ; Saadaoui, Foued ; Amirat, Amina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:651:y:2024:i:c:s0378437124005223. Full description at Econpapers || Download paper |
| 2024 | Should South Asian Stock Market Investors Think Globally? Investigating Safe Haven Properties and Hedging Effectiveness. (2024). Erdey, László ; Issa, Md Abu ; Bin, Abdul Rahman ; Kouki, Fadoua ; Kabir, Md Ahsan ; Amin, Mohammad Bin ; Sarker, Sanjoy Kumar ; Nahiduzzaman, MD. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:11:p:309-:d:1522030. Full description at Econpapers || Download paper |
| 2024 | The Impact of SNB Monetary Policy on the Swiss Franc and Longer-Term Interest Rates. (2024). Frei, Lukas ; Fink, Fabian ; Zehnder, Tanja ; Maag, Thomas. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2024:q:1:a:2. Full description at Econpapers || Download paper |
| 2025 | Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis. (2025). Niveditha, P S. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10572-x. Full description at Econpapers || Download paper |
| 2024 | Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets. (2024). Bogobska, Joanna ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00589-w. Full description at Econpapers || Download paper |
Works by Thomas Nitschka:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets In: German Economic Review. [Full Text][Citation analysis] | article | 14 |
| 2010 | International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets.(2010) In: German Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2007 | International evidence for return predictability and the implications for long-run covariation of the G7 stock markets.(2007) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2016 | Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland In: German Economic Review. [Full Text][Citation analysis] | article | 2 |
| 2016 | Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland.(2016) In: German Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2016 | Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks? In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | Is there a too-big-to-fail discount in excess returns on German banks stocks?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Covered bonds, loan growth and bank funding: The Swiss experience since 1932 In: International Finance. [Full Text][Citation analysis] | article | 1 |
| 2020 | Carry trade and forward premium puzzle from the perspective of a safe‐haven currency In: Review of International Economics. [Full Text][Citation analysis] | article | 1 |
| 2018 | Carry trade and forward premium puzzle from the perspective of a safe-haven currency.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2009 | Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2008 | Securitization of Mortgage Debt, Asset Prices and International Risk Sharing.(2008) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2012 | Securitization of mortgage debt, domestic lending, and international risk sharing In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 6 |
| 2012 | Securitization of mortgage debt, domestic lending, and international risk sharing.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 14 |
| 2011 | Foreign currency returns and systematic risks.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2011 | About the soundness of the US-cay indicator for predicting international banking crises In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2017 | Firm size, economic risks, and the cross-section of international stock returns In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 5 |
| 2010 | Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2023 | Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2015 | On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 81 |
| 2013 | On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | paper | |
| 2014 | Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
| 2023 | Stock market evidence on the international transmission channels of US monetary policy surprises In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2020 | Stock market evidence on the international transmission channels of US monetary policy surprises.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2010 | Cashflow news, the value premium and an asset pricing view on European stock market integration In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2007 | Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2014 | Currency excess returns and global downside market risk In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 35 |
| 2013 | Currency excess returns and global downside market risk.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2018 | Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization In: Review of Financial Economics. [Full Text][Citation analysis] | article | 4 |
| 2013 | The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization.(2013) In: Review of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2010 | Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 0 |
| 2022 | China’s anti-corruption campaign and stock returns of luxury goods firms In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 0 |
| 2016 | Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review. [Full Text][Citation analysis] | article | 4 |
| 2014 | Exchange rate returns and external adjustment: evidence from Switzerland.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability.(2006) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | What News Drive Variation in Swiss and US Bond and Stock Excess Returns? In: Swiss Journal of Economics and Statistics (SJES). [Full Text][Citation analysis] | article | 1 |
| 2010 | Momentum in stock market returns: Implications for risk premia on foreign currencies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Momentum in stock market returns: implications for risk premia on foreign currencies.(2013) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2012 | Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe.(2011) In: VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Global and country-specific business cycle risk in time-varying excess returns on asset markets In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012 In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Securitisation, loan growth and bank funding: the Swiss experience since 1932 In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Predicting returns on asset markets of a small, open economy and the influence of global risks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Did Chinas anti-corruption campaign affect the risk premium on stocks of global luxury goods firms? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Habits die hard: implications for bond and stock markets internationally In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| 2022 | Responses of Swiss bond yields and stock prices to ECB policy surprises In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Evidence on the international financial spillovers of the New York Bankers Panic of 1907 In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2023 | Responses of Swiss interest rates and stock prices to ECB policy surprises In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Central bank reserves and bank lending spreads In: Applied Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2013 | The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Risk premia on Swiss government bonds and sectoral stock indexes during international crises: In: Aussenwirtschaft. [Full Text][Citation analysis] | article | 3 |
| 2006 | Does sensitivity to cashflow news explain the value premium on European stock markets? In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| 2007 | The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Momentum in stock market returns, risk premia on foreign currencies and international financial integration In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team