Details about Christian Wolff

Access statistics for papers by Christian Wolff.

Last updated 2009-09-24. Update your information in the RePEc Author Service.

Short-id: pwo136

Working Papers

2008

1. Are Capital Controls in the Foreign Exchange Market Effective?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
2. Dispersion of Beliefs in the Foreign Exchange Market
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2006

3. Properties of invariant distributions and Lyapunov exponents for chaotic logistic maps
   Rodney Wolff Papers, School of Economics and Finance, Queensland University of Technology View citations

2005

4. Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
5. Loss Functions in Option Valuation: A Framework for Model Selection
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
6. Time Variation in Term Premia: International Evidence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2003

7. More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Journal of International Money and Finance (2004)

2002

8. An Evaluation Framework for Alternative VaR Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   See also Journal Article in Journal of International Money and Finance (2005)

2001

9. Modelling Scale-Consistent VaR with the Truncated Lévy Flight
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2000

10. Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2003)

1998

11. Risk Premia in Term Structure of Interest Rates: A Panel Data Approach
    Working Papers, Southern California - School of Business Administration

1991

12. Premia in Forward Foreign Exchange as Unobserved Components
    Working Papers, Tilburg - Center for Economic Research View citations

1990

13. EMS Exchange Rates
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG View citations

1987

14. Exchange Rates, Innovations and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of International Money and Finance (1988)
15. Forward Exchange Rates and Expected Future Spot Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
16. Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Finance (1987)

Journal Articles

2008

1. Extreme US stock market fluctuations in the wake of 9|11
   Journal of Applied Econometrics, 2008, 23, (1), 17-42 View citations
2. FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS
   Journal of Economic Surveys, 2008, 22, (1), 140-165

2006

3. Introduction to the special issue on International Finance
   Journal of Empirical Finance, 2006, 13, (4-5), 393-395

2005

4. An evaluation framework for alternative VaR-models
   Journal of International Money and Finance, 2005, 24, (6), 944-958 View citations
   See also Working Paper (2002)

2004

5. Introduction to the special issue on behavioral finance
   Journal of Empirical Finance, 2004, 11, (4), 423-427
6. More evidence on the dollar risk premium in the foreign exchange market
   Journal of International Money and Finance, 2004, 23, (2), 271-282 View citations
   See also Working Paper (2003)
7. Scale-consistent Value-at-Risk
   Finance Research Letters, 2004, 1, (2), 127-134

2003

8. Risk premia in the term structure of interest rates: a panel data approach
   Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 211-236 View citations
   See also Working Paper (2000)

2002

9. Scandinavian Exchange Rate Expectations
   Applied Economics Letters, 2002, 9, (2), 111-16

2001

10. Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market
    International Review of Financial Analysis, 2001, 10, (2), 157-174
11. Scandinavian forward discount bias risk premia
    Economics Letters, 2001, 73, (1), 65-72 View citations

2000

12. Exchange Risk Premia in the European Monetary System
    Applied Financial Economics, 2000, 10, (4), 351-60 View citations
13. Forward Foreign Exchange Rates and Expected Future Spot Rates
    Applied Financial Economics, 2000, 10, (4), 371-77
14. Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (1), 1-8 View citations

1998

15. EMS exchange rate expectations and time-varying risk premia
    Economics Letters, 1998, 60, (3), 351-355 View citations
16. Interest expectations and exchange rates news
    Empirical Economics, 1998, 23, (4), 525-534 View citations
17. Survey data and the interest rate sensitivity of U.S. bank stock returns
    Proceedings, 1998, (May), 454-463 View citations

1996

18. A note on the determinants of unexpected exchange rate movements
    Journal of Banking & Finance, 1996, 20, (1), 179-188 View citations
19. Exchange rate returns, 'news', and risk premia
    Economics Letters, 1996, 50, (1), 127-134 View citations

1994

20. On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?
    Journal of Business, 1994, 67, (3), 321-43 View citations
21. Stochastic trends and jumps in EMS exchange rates
    Journal of International Money and Finance, 1994, 13, (6), 699-727 View citations

1993

22. Asian Exchange Rate Expectations
    Journal of the Japanese and International Economies, 1993, 7, (1), 57-77 View citations
23. Further evidence on exchange rate expectations
    Journal of International Money and Finance, 1993, 12, (1), 78-98 View citations
24. Premia in Forward Foreign Exchange as Unobserved Components: A Note
    Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations
25. Statement by the editors
    Journal of Empirical Finance, 1993, 1, (1), 1-2

1988

26. Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models
    Economics Letters, 1988, 27, (2), 141-143 View citations
27. Exchange rates, innovations and forecasting
    Journal of International Money and Finance, 1988, 7, (1), 49-61 View citations
    See also Working Paper (1987)
28. Models of exchange rates: A comparison of forecasting results
    International Journal of Forecasting, 1988, 4, (4), 605-607 View citations
29. Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models: Christian C.P. Wolff, Journal of Business & Economic Statistics 5 (1987) 87-97
    International Journal of Forecasting, 1988, 4, (4), 629-630

1987

30. Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
    Journal of Finance, 1987, 42, (2), 395-406 View citations
    See also Working Paper (1987)
31. Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models
    Journal of Business & Economic Statistics, 1987, 5, (1), 87-97 View citations

1986

32. Exchange rate models and innovations: A derivation
    Economics Letters, 1986, 20, (4), 373-376

Editor

1. Journal of Empirical Finance
   Elsevier