Details about Christian Schlag

Access statistics for papers by Christian Schlag.

Last updated 2025-03-02. Update your information in the RePEc Author Service.

Short-id: psc783

Working Papers

2020

1. Equilibrium asset pricing in directed networks
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)

2019

2. The Leading Premium
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2017

3. Asset Collateralizability and the Cross-Section of Expected Returns
   2017 Meeting Papers, Society for Economic Dynamics
4. Temperature shocks and welfare costs
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (77)
   See also Journal Article Temperature shocks and welfare costs, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (77) (2017)

2016

5. Commodities, financialization, and heterogeneous agents
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
   Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) View citations (1)

2015

6. "Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (5)
   See also Journal Article ‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (5) (2015)

2014

7. What does US money market mutual fund reform portend for the European Union?
   SAFE White Paper Series, Leibniz Institute for Financial Research SAFE

2008

8. Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
   Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main
   See also Journal Article Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2008) View citations (8) (2008)

2006

9. Discrete-Time Implementation of Continuous-Time Portfolio Strategies
   Computing in Economics and Finance 2006, Society for Computational Economics
   See also Journal Article Discrete-time implementation of continuous-time portfolio strategies, The European Journal of Finance, Taylor & Francis Journals (2010) View citations (5) (2010)

2005

10. Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects
    Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main
    See also Journal Article Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects, Journal of Empirical Finance, Elsevier (2005) View citations (116) (2005)

2004

11. Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
    Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main
12. Is volatility risk priced? Properties of tests based on option hedging errors
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (1)
13. When Are Static Superhedging Strategies Optimal?
    Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main
14. Why is the index smile so steep?
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (14)
    See also Journal Article Why is the Index Smile So Steep?, Review of Finance, Springer (2004) View citations (13) (2004)

2003

15. Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)

2002

16. A Note on Forward and Backward Partial Differential Equations for Derivative Contracts with Forwards as Underlyings
    Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main
17. Money-back guarantees in individual pension accounts: Evidence from the German pension reform
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (6)

2001

18. Price discovery in international equity trading
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
    Also in Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University

2000

19. Has there always been underpricing and long-run underperformance? IPOs in Germany before World War I
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (5)

1999

20. An Empirical Comparison of Alternative Stochastic Volatility Models
    Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main

Journal Articles

2017

1. Temperature shocks and welfare costs
   Journal of Economic Dynamics and Control, 2017, 82, (C), 331-355 View citations (77)
   See also Working Paper Temperature shocks and welfare costs, SAFE Working Paper Series (2017) View citations (77) (2017)

2015

2. ‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
   Journal of Economic Dynamics and Control, 2015, 61, (C), 303-333 View citations (5)
   See also Working Paper "Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors, SAFE Working Paper Series (2015) View citations (5) (2015)

2012

3. Hedging under model misspecification: All risk factors are equal, but some are more equal than others …
   Journal of Futures Markets, 2012, 32, (5), 397-430 View citations (10)

2011

4. Pricing Two Heterogeneous Trees
   Journal of Financial and Quantitative Analysis, 2011, 46, (5), 1437-1462 View citations (6)

2010

5. Discrete-time implementation of continuous-time portfolio strategies
   The European Journal of Finance, 2010, 16, (2), 137-152 View citations (5)
   See also Working Paper Discrete-Time Implementation of Continuous-Time Portfolio Strategies, Computing in Economics and Finance 2006 (2006) (2006)

2008

6. Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
   Journal of Financial and Quantitative Analysis, 2008, 43, (4), 1055-1090 View citations (8)
   See also Working Paper Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?, Working Paper Series: Finance and Accounting (2008) (2008)
7. Discussion of "Bounded Rationality, Rights Offerings, and Optimal Subscription Prices"
   Schmalenbach Business Review (sbr), 2008, 60, (3), 249-250
8. Optimal portfolios when volatility can jump
   Journal of Banking & Finance, 2008, 32, (6), 1087-1097 View citations (35)

2007

9. MacKenzie, D.: An Engine, Not a Camera. How Financial Models Shape Markets
   Journal of Economics, 2007, 92, (1), 89-91
10. Measuring Financial Integration via Idiosyncratic Risk: What Effects Are We Really Picking Up?
    Journal of Money, Credit and Banking, 2007, 39, (5), 1267-1273 View citations (1)
11. OPTION BETAS: RISK MEASURES FOR OPTIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (07), 1137-1157 View citations (2)

2005

12. Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
    Journal of Empirical Finance, 2005, 12, (1), 139-164 View citations (116)
    See also Working Paper Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects, Working Paper Series: Finance and Accounting (2005) (2005)
13. Price impacts of options volume
    Journal of Financial Markets, 2005, 8, (1), 69-87 View citations (37)

2004

14. Attainability of European path-independent claims in incomplete markets
    Finance Research Letters, 2004, 1, (3), 190-195
15. Why is the Index Smile So Steep?
    Review of Finance, 2004, 8, (1), 109-127 View citations (13)
    Also in Review of Finance, 2004, 8, (1), 109-127 (2004) View citations (13)
    See also Working Paper Why is the index smile so steep?, Money Macro and Finance (MMF) Research Group Conference 2003 (2004) View citations (14) (2004)

1999

16. An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany
    Global Finance Journal, 1999, 10, (1), 35-52

1996

17. Expiration day effects of stock index derivatives in Germany
    European Financial Management, 1996, 2, (1), 69-95 View citations (16)