18
H index
20
i10 index
1590
Citations
Centre for Economic Policy Research (CEPR) (1% share) | 18 H index 20 i10 index 1590 Citations RESEARCH PRODUCTION: 24 Articles 39 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Maik Schmeling. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | An 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019. Full description at Econpapers || Download paper | |
2022 | 150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121. Full description at Econpapers || Download paper | |
2022 | FX Resilience around the World: Fighting Volatile Cross-Border Capital Flows. (2022). Liu, Zijun ; Chen, Louisa. In: Papers. RePEc:arx:papers:2210.04648. Full description at Econpapers || Download paper | |
2023 | Trillion Dollar Words: A New Financial Dataset, Task & Market Analysis. (2023). Chava, Sudheer ; Paturi, Suvan ; Shah, Agam. In: Papers. RePEc:arx:papers:2305.07972. Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2023 | Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data. (2023). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:23-4. Full description at Econpapers || Download paper | |
2022 | Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565. Full description at Econpapers || Download paper | |
2022 | Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042. Full description at Econpapers || Download paper | |
2023 | The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094. Full description at Econpapers || Download paper | |
2022 | Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565. Full description at Econpapers || Download paper | |
2022 | Does the Federal Open Market Committee cycle affect credit risk?. (2022). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Huang, Difang. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:143-167. Full description at Econpapers || Download paper | |
2022 | Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177. Full description at Econpapers || Download paper | |
2022 | Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919. Full description at Econpapers || Download paper | |
2023 | Homemade 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. Full description at Econpapers || Download paper | |
2022 | Currency returns and systematic risk. (2022). Scatimburgo, Pedro ; Ferreira, Alex ; Gonalves, Fernanda. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:6:p:609-647. Full description at Econpapers || Download paper | |
2023 | Carry 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. Full description at Econpapers || Download paper | |
2023 | Exchange Rate Disconnect Redux. (2021). Valchev, Rosen ; Guerron, Pablo ; De Leo, Pierre ; Cormun, Vito ; Chahrour, Ryan ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1041. Full description at Econpapers || Download paper | |
2022 | FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964. Full description at Econpapers || Download paper | |
2023 | Uncertainty 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. Full description at Econpapers || Download paper | |
2023 | Intervening against the Fed. (2023). Yago, N ; Timmer, Y ; Rodnyansky, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2357. Full description at Econpapers || Download paper | |
2022 | Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065. Full description at Econpapers || Download paper | |
2022 | Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows. (2022). Afonso, Antonio ; Jackson, Karen ; Beck, Krzysztof ; Alves, Jose. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9872. Full description at Econpapers || Download paper | |
2022 | Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market. (2022). Melvin, Michael ; Giovanardi, Davide ; Franolic, Rob ; Barrios, Aldo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9921. Full description at Econpapers || Download paper | |
2022 | Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?. (2022). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2022/6. Full description at Econpapers || Download paper | |
2022 | Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era. (2022). Siklos, Pierre ; Kanelis, Dimitrios. In: CQE Working Papers. RePEc:cqe:wpaper:10322. Full description at Econpapers || Download paper | |
2022 | Look who’s Talking: Individual Committee members’ impact on inflation expectations. (2022). Kwiatkowski, Andrzej ; Menzies, Craig ; Rambaccussing, Dooruj. In: Dundee Discussion Papers in Economics. RePEc:dun:dpaper:305. Full description at Econpapers || Download paper | |
2022 | Market-stabilization QE. (2022). Ozen, Kadir ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20222640. Full description at Econpapers || Download paper | |
2022 | Boosting carry with equilibrium exchange rate estimates. (2022). Kwas, Marek ; Ca, Michele ; Michele Ca, ; Beckmann, Joscha ; Rubaszek, Micha. In: Working Paper Series. RePEc:ecb:ecbwps:20222731. Full description at Econpapers || Download paper | |
2022 | Global momentum: The optimal trading approach. (2022). Muradoglu, Yaz ; Tsitsianis, Nicholas ; Muradolu, Yaz Gulnur ; Wouassom, Alain. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000788. Full description at Econpapers || Download paper | |
2023 | Unveiling 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. Full description at Econpapers || Download paper | |
2022 | A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (2022). Zhang, Xiaoqi ; Zhao, Zhijun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921008973. Full description at Econpapers || Download paper | |
2022 | Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287. Full description at Econpapers || Download paper | |
2022 | Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Herding behaviour heterogeneity under economic and political risks: Evidence from GCC. (2022). Molyneux, Philip ; Albaity, Mohamed ; Mallek, Ray Saadaoui. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:345-361. Full description at Econpapers || Download paper | |
2022 | Asymmetric effects of foreign capital on income inequality: The case of the Post-China 16 countries. (2022). Brůna, Karel ; Brna, Karel ; Kabrt, Toma. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:613-626. Full description at Econpapers || Download paper | |
2022 | Exchange rate predictability, risk premiums, and predictive system. (2022). Park, Cheolbeom ; Bak, Yuhyeon. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002632. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Hedging local currency risk with precious metals. (2022). Kunkler, Michael. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001923. Full description at Econpapers || Download paper | |
2022 | Scheduled macroeconomic news announcements and intraday market sentiment. (2022). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000882. Full description at Econpapers || Download paper | |
2022 | Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Lo, Hsiang-Yu ; Hung, Pi-Hsia ; Lien, Donald. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912. Full description at Econpapers || Download paper | |
2022 | Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility. (2022). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000973. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Spillover 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. Full description at Econpapers || Download paper | |
2023 | Information asymmetry, sentiment interactions, and asset price. (2023). Zhang, Weiguo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000438. Full description at Econpapers || Download paper | |
2022 | Spillover effects of sovereign debt-based quantitative easing in the euro area. (2022). Gnewuch, Matthias. In: European Economic Review. RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000654. Full description at Econpapers || Download paper | |
2023 | Turkey: 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. Full description at Econpapers || Download paper | |
2023 | Machine 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. Full description at Econpapers || Download paper | |
2022 | Isolating momentum crashes. (2022). Krupski, Jan ; Dierkes, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:1-22. Full description at Econpapers || Download paper | |
2022 | Uncovered interest rate parity redux: Non-uniform effects. (2022). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:133-151. Full description at Econpapers || Download paper | |
2022 | Stock price movements: Evidence from global equity markets. (2022). Doan, Bao ; Lan, Chunhua. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:123-143. Full description at Econpapers || Download paper | |
2022 | Coskewness and reversal of momentum returns: The US and international evidence. (2022). Yamada, Takeshi ; Kot, Hung Wan ; Haque, Tariq ; Dai, Yiqing ; Dong, Liang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:241-264. Full description at Econpapers || Download paper | |
2023 | Conditional 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. Full description at Econpapers || Download paper | |
2023 | Overlapping 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. Full description at Econpapers || Download paper | |
2022 | Oil price volatility predictability: New evidence from a scaled PCA approach. (2022). Ma, Feng ; Liang, Chao ; He, Feng ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005648. Full description at Econpapers || Download paper | |
2022 | Oil sentiment and the U.S. inflation premium. (2022). Olson, Eric ; Alturki, Sultan. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004467. Full description at Econpapers || Download paper | |
2023 | Predicting 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. Full description at Econpapers || Download paper | |
2022 | Assessing the relationship between electricity and natural gas prices in European markets in times of distress. (2022). Uribe, Jorge ; Mosquera-López, Stephania ; Arenas, Oscar J ; Mosquera-Lopez, Stephania. In: Energy Policy. RePEc:eee:enepol:v:166:y:2022:i:c:s0301421522002439. Full description at Econpapers || Download paper | |
2023 | Do 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. Full description at Econpapers || Download paper | |
2022 | Economic policy uncertainty and analyst behaviours: Evidence from the United Kingdom. (2022). Liu, Jia ; Chen, BO ; Han, Peiwen ; Zhu, Zhaobo. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002325. Full description at Econpapers || Download paper | |
2022 | Investor sentiment and stock volatility: New evidence. (2022). Wang, Chao ; Zhang, Wei Guo ; Gong, Xue. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000084. Full description at Econpapers || Download paper | |
2022 | Sentiment and stock market connectedness: Evidence from the U.S. – China trade war. (2022). Zhong, Angel ; Hu, Xiaolu ; Do, Hung ; Bissoondoyal-Bheenick, Emawtee. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000114. Full description at Econpapers || Download paper | |
2022 | Does previous carry trade position affect following investors decision-making and carry returns?. (2022). Li, BO ; Chen, SU ; Zhang, Ziyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s105752192200031x. Full description at Econpapers || Download paper | |
2022 | Oil price uncertainty and corporate cash holdings: Global evidence. (2022). Alsubaiei, Bader Jawid ; Alomran, Abdulaziz Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000837. Full description at Econpapers || Download paper | |
2022 | Oil price volatility predictability based on global economic conditions. (2022). Lai, Xiaodong ; Guo, Yangli ; Ma, Feng ; Li, Haibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001569. Full description at Econpapers || Download paper | |
2022 | Are carry, momentum and value still there in currencies?. (2022). Sharma, Tripti ; O'Reilly, Philip ; O'Brien, John ; Kyziropoulos, Panagiotis E ; Hutchinson, Mark C. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002058. Full description at Econpapers || Download paper | |
2022 | Macroeconomic attention, economic policy uncertainty, and stock volatility predictability. (2022). Chevallier, Julien ; Huang, Dengshi ; Guo, Yangli ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002897. Full description at Econpapers || Download paper | |
2023 | A bibliometric analysis of cultural finance. (2023). Pandey, Nitesh ; Lahmar, Oumaima ; Kumar, Satish ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003921. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Factor 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. Full description at Econpapers || Download paper | |
2022 | Overconfidence and US stock market returns. (2022). Apergis, Nicholas. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002580. Full description at Econpapers || Download paper | |
2022 | Photo sentiment and stock returns around the world. (2022). Chiah, Mardy ; Zhong, Angel ; Hu, Xiaolu. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004074. Full description at Econpapers || Download paper | |
2022 | Corporate dividend policy in the time of COVID-19: Evidence from the G-12 countries. (2022). Ali, Heba. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004694. Full description at Econpapers || Download paper | |
2022 | An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample. (2022). Nonejad, Nima. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s154461232200037x. Full description at Econpapers || Download paper | |
2022 | Do terrorist attacks matter for currency excess returns?. (2022). Yin, Libo ; Wu, You ; Han, Liyan ; Liu, Yiye. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003130. Full description at Econpapers || Download paper | |
2022 | The world uncertainty index and GDP growth rate. (2022). Gao, Fumin ; Liu, NA. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003609. Full description at Econpapers || Download paper | |
2023 | Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers. (2023). Bennani, Hamza ; Dory, Wirginia ; Baranowski, Pawel. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007048. Full description at Econpapers || Download paper | |
2023 | Another application of call options: Explaining the divergence between the housing market and the rental market. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Lee, Hung-Wei. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300034x. Full description at Econpapers || Download paper | |
2023 | Macro 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. Full description at Econpapers || Download paper | |
2022 | Intraday time series momentum: Global evidence and links to market characteristics. (2022). Urquhart, Andrew ; Sakkas, Athanasios ; Li, Zeming. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x. Full description at Econpapers || Download paper | |
2022 | A reconsideration of the failure of uncovered interest parity for the U.S. dollar. (2022). Xiang, Nan ; Wang, Mengqi ; Kazakova, Katya ; Engel, Charles. In: Journal of International Economics. RePEc:eee:inecon:v:136:y:2022:i:c:s0022199622000344. Full description at Econpapers || Download paper | |
2022 | Currency volatility and global technological innovation. (2022). HSU, Po-Hsuan ; Xu, QI ; Wang, Zigan ; Taylor, Mark P. In: Journal of International Economics. RePEc:eee:inecon:v:137:y:2022:i:c:s0022199622000393. Full description at Econpapers || Download paper | |
2022 | Central bank information effects and transatlantic spillovers. (2022). Jarociński, Marek ; Jarociski, Marek. In: Journal of International Economics. RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001155. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic. (2023). Wohar, Mark ; Kamal, Javed Bin. In: International Economics. RePEc:eee:inteco:v:173:y:2023:i:c:p:68-85. Full description at Econpapers || Download paper | |
2022 | Currency carry trade: The decline in performance after the 2008 Global Financial Crisis. (2022). Zhang, QI ; Qi, Zhen ; Paseka, Alexander ; Fan, Zhenzhen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001670. Full description at Econpapers || Download paper | |
2022 | Does market openness mitigate the impact of culture? An examination of international momentum profits and post-earnings-announcement drift. (2022). Holmes, Phil ; Guo, Jiaqi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001712. Full description at Econpapers || Download paper | |
2022 | Co-skewness and expected return: Evidence from international stock markets. (2022). Liu, Ming ; Kot, Hung Wan ; Dong, Liang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001852. Full description at Econpapers || Download paper | |
2022 | Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245. Full description at Econpapers || Download paper | |
2022 | Conditionally-hedged currency carry trades. (2022). Suh, Sangwon ; Ho, Jin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000737. Full description at Econpapers || Download paper | |
2023 | Discovering 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. Full description at Econpapers || Download paper | |
2023 | Carry 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. Full description at Econpapers || Download paper | |
2023 | Recency 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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2009 | Global Asset Pricing: Is There a Role for Long-run Consumption Risk? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Dividend predictability around the world In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 36 |
2014 | Dividend Predictability Around the World.(2014) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2010 | Macro Expectations, Aggregate Uncertainty, and Expected Term Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
2013 | Macro-expectations, aggregate uncertainty, and expected term premia.(2013) In: European Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2010 | Macro expectations, aggregate uncertainty, and expected term premia.(2010) In: ZEW Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2010 | A Comprehensive Look at Financial Volatility Prediction by Economic Variables In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 151 |
2012 | A Comprehensive Look at Financial Volatility Prediction by Economic Variables.(2012) In: BIS Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 151 | paper | |
2012 | A comprehensive look at financial volatility prediction by economic variables.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 151 | article | |
2023 | Crypto carry In: BIS Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Currency Momentum Strategies In: BIS Working Papers. [Full Text][Citation analysis] | paper | 206 |
2012 | Currency Momentum Strategies.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 206 | paper | |
2012 | Currency momentum strategies.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 206 | article | |
2012 | Currency Momentum Strategies.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 206 | paper | |
2013 | Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers. [Full Text][Citation analysis] | paper | 63 |
2016 | Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | article | |
2015 | Global Asset Allocation Shifts In: BIS Working Papers. [Full Text][Citation analysis] | paper | 16 |
2022 | Monetary policy expectation errors In: BIS Working Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | Monetary policy expectation errors.(2022) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2012 | Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance. [Full Text][Citation analysis] | article | 390 |
2011 | Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 390 | paper | |
2008 | Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2009 | Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 26 |
2009 | Exchange rate management in emerging markets: Intervention via an electronic limit order book.(2009) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2010 | Limit-Order Submission Strategies under Asymmetric Information In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 38 |
2010 | Limit-order submission strategies under asymmetric information.(2010) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
2016 | Currency Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2017 | Currency Value.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2019 | Does Central Bank Tone Move Asset Prices? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 44 |
2019 | The FOMC Risk Shift In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 19 |
2021 | The FOMC Risk Shift.(2021) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2021 | The FOMC risk shift.(2021) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2021 | Short-term Momentum In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | Short-term Momentum.(2022) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2013 | Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 40 |
2014 | Which Fundamentals Drive Exchange Rates? A Cross?Sectional Perspective.(2014) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2020 | Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 1 |
2020 | Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
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2006 | A Prospect-Theoretical Interpretation of Momentum Returns.(2006) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2011 | Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? In: European Economic Review. [Full Text][Citation analysis] | article | 41 |
2008 | Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?.(2008) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2009 | Investor sentiment and stock returns: Some international evidence In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 294 |
2008 | Investor sentiment and stock returns: Some international evidence.(2008) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 294 | paper | |
2013 | What do professional forecasters stock market expectations tell us about herding, information extraction and beauty contests? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
2010 | Whose trades convey information? Evidence from a cross-section of traders In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 29 |
2007 | Whose trades convey information? Evidence from a cross-section of traders.(2007) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2016 | Capital market integration and consumption risk sharing over the long run In: Journal of International Economics. [Full Text][Citation analysis] | article | 26 |
2007 | Institutional and individual sentiment: Smart money and noise trader risk? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 51 |
2006 | Institutional and Individual Sentiment: Smart Money and Noise Trader Risk.(2006) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2013 | Quantifying survey expectations: What’s wrong with the probability approach? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
2011 | Quantifying survey expectations: Whats wrong with the probability approach?.(2011) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2008 | Local information in foreign exchange markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 18 |
2006 | Local Information in Foreign Exchange Markets.(2006) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2010 | Trader see, trader do: How do (small) FX traders react to large counterparties trades? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 11 |
2009 | Trader see, trader do: How do (small) FX traders react to large counterparties trades?.(2009) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2008 | Are all professional investors sophisticated? In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 4 |
2022 | Exchange Rates and Sovereign Risk In: Management Science. [Full Text][Citation analysis] | article | 0 |
2009 | Carry Trades and Global FX Volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
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2019 | What is Libra? Understanding Facebooks currency In: SAFE Policy Letters. [Full Text][Citation analysis] | paper | 3 |
2021 | Non-performing loans - new risks and policies? NPL resolution after COVID-19: Main differences to previous crises In: SAFE White Paper Series. [Full Text][Citation analysis] | paper | 2 |
2009 | Higher-order beliefs among professional stock market forecasters: some first empirical tests In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
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