Thomas Nitschka : Citation Profile


Schweizerische Nationalbank (SNB)

6

H index

4

i10 index

219

Citations

RESEARCH PRODUCTION:

31

Articles

34

Papers

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 11
   Journals where Thomas Nitschka has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 29 (11.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni214
   Updated: 2025-04-12    RAS profile: 2023-08-05    
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Relations with other researchers


Works with:

Maurer, Tim (2)

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

Is cited by:

Sakemoto, Ryuta (13)

Byrne, Joseph (10)

GUPTA, RANGAN (8)

Demirer, Riza (7)

Yesin, Pinar (5)

Bénétrix, Agustín (4)

Tille, Cédric (4)

Towbin, Pascal (4)

Frei, Lukas (4)

Bouri, Elie (3)

Zhou, Wei-Xing (3)

Cites to:

Campbell, John (120)

Lustig, Hanno (36)

Cochrane, John (36)

Hoffmann, Mathias (32)

Verdelhan, Adrien (30)

French, Kenneth (28)

Shiller, Robert (25)

West, Kenneth (24)

Lettau, Martin (23)

Lane, Philip (22)

Gürkaynak, Refet (22)

Main data


Where Thomas Nitschka has published?


Journals with more than one article published# docs
Journal of International Money and Finance4
Swiss Journal of Economics and Statistics2
Financial Markets and Portfolio Management2
German Economic Review2
International Finance2
German Economic Review2
Economics Letters2
The North American Journal of Economics and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Swiss National Bank19
Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen2

Recent works citing Thomas Nitschka (2025 and 2024)


YearTitle of citing document
2024Crypto 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.

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2024Herding 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.

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2024Stock 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.

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2024Asymmetric 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.

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2024Is 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.

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2024Seeking 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.

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2024Is 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.

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2024Cross-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.

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2024Interconnections 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.

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2024Safety 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.

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2024Should 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.

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2024The 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.

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2025Identifying 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.

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2024Global 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.

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Works by Thomas Nitschka:


YearTitleTypeCited
2010International Evidence for Return Predictability and the Implications for Long‐Run Covariation of the G7 Stock Markets In: German Economic Review.
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2010International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets.(2010) In: German Economic Review.
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This paper has nother version. Agregated cites: 14
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2007International evidence for return predictability and the implications for long-run covariation of the G7 stock markets.(2007) In: IEW - Working Papers.
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This paper has nother version. Agregated cites: 14
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2016Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland In: German Economic Review.
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article2
2016Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland.(2016) In: German Economic Review.
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This paper has nother version. Agregated cites: 2
article
2016Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks? In: International Finance.
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2015Is there a too-big-to-fail discount in excess returns on German banks stocks?.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2021Covered bonds, loan growth and bank funding: The Swiss experience since 1932 In: International Finance.
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article1
2020Carry trade and forward premium puzzle from the perspective of a safe‐haven currency In: Review of International Economics.
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article1
2018Carry trade and forward premium puzzle from the perspective of a safe-haven currency.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2009Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series.
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2008Securitization of Mortgage Debt, Asset Prices and International Risk Sharing.(2008) In: IEW - Working Papers.
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This paper has nother version. Agregated cites: 7
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2012Securitization of mortgage debt, domestic lending, and international risk sharing In: Canadian Journal of Economics.
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2012Securitization of mortgage debt, domestic lending, and international risk sharing.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has nother version. Agregated cites: 6
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2015Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis.
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2011Foreign currency returns and systematic risks.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 14
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2011About the soundness of the US-cay indicator for predicting international banking crises In: The North American Journal of Economics and Finance.
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article1
2017Firm size, economic risks, and the cross-section of international stock returns In: The North American Journal of Economics and Finance.
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article5
2010Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters.
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article3
2023Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy In: Economics Letters.
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2015On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance.
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2013On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 81
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2014Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance.
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article8
2023Stock market evidence on the international transmission channels of US monetary policy surprises In: Journal of International Money and Finance.
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article2
2020Stock market evidence on the international transmission channels of US monetary policy surprises.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 2
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2010Cashflow news, the value premium and an asset pricing view on European stock market integration In: Journal of International Money and Finance.
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2007Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers.
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This paper has nother version. Agregated cites: 2
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2014Currency excess returns and global downside market risk In: Journal of International Money and Finance.
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2013Currency excess returns and global downside market risk.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 35
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2018Bond 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.
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2013The 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.
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2013The 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.
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This paper has nother version. Agregated cites: 4
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2010Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management.
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2022China’s anti-corruption campaign and stock returns of luxury goods firms In: Financial Markets and Portfolio Management.
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2016Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review.
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2014Exchange rate returns and external adjustment: evidence from Switzerland.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 4
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2005The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2006The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability.(2006) In: Technical Reports.
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This paper has nother version. Agregated cites: 0
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2014What News Drive Variation in Swiss and US Bond and Stock Excess Returns? In: Swiss Journal of Economics and Statistics (SJES).
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2010Momentum in stock market returns: Implications for risk premia on foreign currencies In: Working Papers.
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2013Momentum in stock market returns: implications for risk premia on foreign currencies.(2013) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 0
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2012Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe In: Working Papers.
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2011Banking 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.
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This paper has nother version. Agregated cites: 0
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2012Global and country-specific business cycle risk in time-varying excess returns on asset markets In: Working Papers.
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2013Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012 In: Working Papers.
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2014The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns? In: Working Papers.
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2014Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market In: Working Papers.
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2016Securitisation, loan growth and bank funding: the Swiss experience since 1932 In: Working Papers.
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2017Predicting returns on asset markets of a small, open economy and the influence of global risks In: Working Papers.
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2018Did Chinas anti-corruption campaign affect the risk premium on stocks of global luxury goods firms? In: Working Papers.
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2021Habits die hard: implications for bond and stock markets internationally In: Working Papers.
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2022Responses of Swiss bond yields and stock prices to ECB policy surprises In: Working Papers.
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2024Evidence on the international financial spillovers of the New York Bankers Panic of 1907 In: Working Papers.
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2019What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets In: Swiss Journal of Economics and Statistics.
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2023Responses of Swiss interest rates and stock prices to ECB policy surprises In: Swiss Journal of Economics and Statistics.
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2021Central bank reserves and bank lending spreads In: Applied Economics Letters.
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2013The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns In: Tinbergen Institute Discussion Papers.
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2016Risk premia on Swiss government bonds and sectoral stock indexes during international crises: In: Aussenwirtschaft.
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2006Does sensitivity to cashflow news explain the value premium on European stock markets? In: Technical Reports.
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2007The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective In: IEW - Working Papers.
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2007Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies In: IEW - Working Papers.
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2008The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate In: IEW - Working Papers.
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2009Momentum in stock market returns, risk premia on foreign currencies and international financial integration In: IEW - Working Papers.
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