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Details about Christian Wolff

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Postal address:Luxembourg School of Finance 4, rue Albert Borschette 1246- Luxembourg Luxembourg
Workplace:Department of Banking and Finance, Chulalongkorn Business School, Chulalongkorn University, (more information at EDIRC)
Department of Finance, Faculté de droit, d'économie et de finance (Department of Law, Economics and Finance), Université du Luxembourg (University of Luxembourg), (more information at EDIRC)

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Last updated 2024-06-07. Update your information in the RePEc Author Service.

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Working Papers

2024

  1. Nonstandard errors
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) Downloads View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) Downloads View citations (5)
    Working Papers, Lund University, Department of Economics (2021) Downloads

    See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) Downloads (2024)

2022

  1. Is Bitcoin a better safe-haven asset for individual investors than Gold? – Evidence from sanctioned Russia
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2019

  1. Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies, Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd. (2023) Downloads (2023)

2017

  1. Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article Cross-border mergers and acquisitions: Evidence from the Indochina region, Finance Research Letters, Elsevier (2017) Downloads View citations (2) (2017)
  2. Trading in style: Retail investors vs. institutions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2015

  1. Credit risk characteristics of US small business portfolios
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Does the CAMEL bank ratings system follow a procyclical pattern?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. Leverage and risk in US commercial banking in the light of the current financial crisis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2010) Downloads View citations (7)
  4. Ripple effects from industry defaults
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
  5. The Determinants of CoCo Bond Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2014

  1. Skewness Risk Premium: Theory and Empirical Evidence
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (3)

    See also Journal Article Skewness risk premium: Theory and empirical evidence, International Review of Financial Analysis, Elsevier (2019) Downloads View citations (6) (2019)

2013

  1. The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (1)
    See also Journal Article The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis, Journal of Financial Stability, Elsevier (2014) Downloads View citations (36) (2014)

2012

  1. Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (5)

    See also Journal Article Euro at risk: The impact of member countries' credit risk on the stability of the common currency, Journal of Empirical Finance, Elsevier (2015) Downloads View citations (5) (2015)
  2. Modeling default correlation in a US retail loan portfolio
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (5)

2010

  1. Contingent Capital: The Case for COERCs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2010) Downloads View citations (33)

    See also Journal Article Contingent Capital: The Case of COERCs, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) Downloads View citations (69) (2014)

2009

  1. A Cumulative Prospect Theory Approach to Option Pricing
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (5)
  2. Dispersion of Beliefs in the Foreign Exchange Market
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (6)
  3. Time-Variation in Term Permia: International Survey-Based Evidence
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    See also Journal Article Time-variation in term premia: International survey-based evidence, Journal of International Money and Finance, Elsevier (2011) Downloads View citations (11) (2011)

2008

  1. Are Capital Controls in the Foreign Exchange Market Effective?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2008) Downloads View citations (1)

    See also Journal Article Are capital controls in the foreign exchange market effective?, Journal of International Money and Finance, Elsevier (2013) Downloads View citations (9) (2013)
  2. Loss Functions in Option Valuation: A Framework for Selection
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (5)
    See also Journal Article Loss Functions in Option Valuation: A Framework for Selection, Management Science, INFORMS (2009) Downloads View citations (9) (2009)

2005

  1. Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  2. Loss Functions in Option Valuation: A Framework for Model Selection
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
  3. Time Variation in Term Premia: International Evidence
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)

2003

  1. More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article More evidence on the dollar risk premium in the foreign exchange market, Journal of International Money and Finance, Elsevier (2004) Downloads View citations (14) (2004)

2002

  1. An Evaluation Framework for Alternative VaR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    See also Journal Article An evaluation framework for alternative VaR-models, Journal of International Money and Finance, Elsevier (2005) Downloads View citations (24) (2005)

2001

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

2000

  1. Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Papers, Southern California - School of Business Administration (1998)

    See also Journal Article Risk premia in the term structure of interest rates: a panel data approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2003) Downloads View citations (6) (2003)

1998

  1. Survey data and the interest rate sensitivity of U.S. bank stock returns
    Proceedings, Federal Reserve Bank of Chicago View citations (1)
    See also Journal Article Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns, Economic Notes, Banca Monte dei Paschi di Siena SpA (2000) Downloads View citations (12) (2000)

1993

  1. Premia in forward foreign exchange as unobserved components
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (20)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (3)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1991) Downloads View citations (2)
    Working Papers, Tilburg - Center for Economic Research (1991) View citations (3)

1990

  1. EMS Exchange Rates
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (16)

1987

  1. Exchange Rates, Innovations and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article Exchange rates, innovations and forecasting, Journal of International Money and Finance, Elsevier (1988) Downloads View citations (16) (1988)
  2. Forward Exchange Rates and Expected Future Spot Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (66)
  3. Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (69)
    See also Journal Article Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach, Journal of Finance, American Finance Association (1987) Downloads View citations (70) (1987)

Journal Articles

2024

  1. Nonstandard Errors
    Journal of Finance, 2024, 79, (3), 2339-2390 Downloads
    See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) Downloads (2024)

2023

  1. Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2023, 26, (01), 1-35 Downloads
    See also Working Paper Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies, CEPR Discussion Papers (2019) Downloads (2019)

2022

  1. Executing trades in style: retail investors vs. institutions
    Asia-Pacific Journal of Accounting & Economics, 2022, 29, (2), 344-362 Downloads

2021

  1. Spillovers to small business credit risk
    Small Business Economics, 2021, 57, (1), 323-352 Downloads

2019

  1. Are capital requirements on small business loans flawed?
    Journal of Empirical Finance, 2019, 52, (C), 255-274 Downloads View citations (5)
  2. Skewness risk premium: Theory and empirical evidence
    International Review of Financial Analysis, 2019, 63, (C), 174-185 Downloads View citations (6)
    See also Working Paper Skewness Risk Premium: Theory and Empirical Evidence, LSF Research Working Paper Series (2014) Downloads View citations (3) (2014)

2017

  1. Cross-border mergers and acquisitions: Evidence from the Indochina region
    Finance Research Letters, 2017, 23, (C), 253-256 Downloads View citations (2)
    See also Working Paper Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region, CEPR Discussion Papers (2017) Downloads View citations (2) (2017)

2015

  1. Euro at risk: The impact of member countries' credit risk on the stability of the common currency
    Journal of Empirical Finance, 2015, 33, (C), 67-83 Downloads View citations (5)
    See also Working Paper Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency, LSF Research Working Paper Series (2012) Downloads View citations (2) (2012)

2014

  1. Contingent Capital: The Case of COERCs
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 541-574 Downloads View citations (69)
    See also Working Paper Contingent Capital: The Case for COERCs, CEPR Discussion Papers (2010) Downloads View citations (15) (2010)
  2. The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis
    Journal of Financial Stability, 2014, 14, (C), 3-22 Downloads View citations (36)
    See also Working Paper The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis, LSF Research Working Paper Series (2013) Downloads View citations (1) (2013)

2013

  1. Are capital controls in the foreign exchange market effective?
    Journal of International Money and Finance, 2013, 35, (C), 36-53 Downloads View citations (9)
    See also Working Paper Are Capital Controls in the Foreign Exchange Market Effective?, CEPR Discussion Papers (2008) Downloads View citations (1) (2008)

2012

  1. Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
    Journal of Economic Dynamics and Control, 2012, 36, (5), 719-735 Downloads View citations (51)

2011

  1. Time-variation in term premia: International survey-based evidence
    Journal of International Money and Finance, 2011, 30, (4), 605-622 Downloads View citations (11)
    See also Working Paper Time-Variation in Term Permia: International Survey-Based Evidence, LSF Research Working Paper Series (2009) Downloads (2009)

2009

  1. Loss Functions in Option Valuation: A Framework for Selection
    Management Science, 2009, 55, (5), 853-862 Downloads View citations (9)
    See also Working Paper Loss Functions in Option Valuation: A Framework for Selection, LSF Research Working Paper Series (2008) Downloads View citations (5) (2008)

2008

  1. Extreme US stock market fluctuations in the wake of 9|11
    Journal of Applied Econometrics, 2008, 23, (1), 17-42 Downloads View citations (53)
  2. FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS
    Journal of Economic Surveys, 2008, 22, (1), 140-165 Downloads View citations (51)

2006

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

2005

  1. An evaluation framework for alternative VaR-models
    Journal of International Money and Finance, 2005, 24, (6), 944-958 Downloads View citations (24)
    See also Working Paper An Evaluation Framework for Alternative VaR Models, CEPR Discussion Papers (2002) Downloads View citations (7) (2002)

2004

  1. Introduction to the special issue on behavioral finance
    Journal of Empirical Finance, 2004, 11, (4), 423-427 Downloads View citations (1)
  2. More evidence on the dollar risk premium in the foreign exchange market
    Journal of International Money and Finance, 2004, 23, (2), 271-282 Downloads View citations (14)
    See also Working Paper More Evidence on the Dollar Risk Premium in the Foreign Exchange Market, CEPR Discussion Papers (2003) Downloads View citations (2) (2003)
  3. Scale-consistent Value-at-Risk
    Finance Research Letters, 2004, 1, (2), 127-134 Downloads View citations (1)

2003

  1. 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 Downloads View citations (6)
    See also Working Paper Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach, CEPR Discussion Papers (2000) Downloads View citations (1) (2000)

2002

  1. Scandinavian exchange rate expectations
    Applied Economics Letters, 2002, 9, (2), 111-116 Downloads View citations (4)

2001

  1. 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 Downloads View citations (4)
  2. Scandinavian forward discount bias risk premia
    Economics Letters, 2001, 73, (1), 65-72 Downloads View citations (12)

2000

  1. Exchange risk premia in the European monetary system
    Applied Financial Economics, 2000, 10, (4), 351-360 Downloads View citations (5)
  2. Forward foreign exchange rates and expected future spot rates
    Applied Financial Economics, 2000, 10, (4), 371-377 Downloads View citations (6)
  3. 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 Downloads View citations (13)
  4. Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns
    Economic Notes, 2000, 29, (2), 201-213 Downloads View citations (12)
    See also Working Paper Survey data and the interest rate sensitivity of U.S. bank stock returns, Proceedings (1998) View citations (1) (1998)

1998

  1. EMS exchange rate expectations and time-varying risk premia
    Economics Letters, 1998, 60, (3), 351-355 Downloads View citations (6)
  2. Interest expectations and exchange rates news
    Empirical Economics, 1998, 23, (4), 525-534 Downloads View citations (5)

1997

  1. The Dynamics of Short-Term Interest Rate Volatility Reconsidered
    Review of Finance, 1997, 1, (1), 105-130 Downloads View citations (50)

1996

  1. A note on the determinants of unexpected exchange rate movements
    Journal of Banking & Finance, 1996, 20, (1), 179-188 Downloads View citations (5)
  2. Exchange rate returns, 'news', and risk premia
    Economics Letters, 1996, 50, (1), 127-134 Downloads View citations (6)

1994

  1. On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?
    The Journal of Business, 1994, 67, (3), 321-43 Downloads View citations (90)
  2. Stochastic trends and jumps in EMS exchange rates
    Journal of International Money and Finance, 1994, 13, (6), 699-727 Downloads View citations (51)

1993

  1. Asian Exchange Rate Expectations
    Journal of the Japanese and International Economies, 1993, 7, (1), 57-77 Downloads View citations (16)
  2. Further evidence on exchange rate expectations
    Journal of International Money and Finance, 1993, 12, (1), 78-98 Downloads View citations (92)
  3. Premia in Forward Foreign Exchange as Unobserved Components: A Note
    Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations (19)
  4. Statement by the editors
    Journal of Empirical Finance, 1993, 1, (1), 1-2 Downloads

1988

  1. Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models
    Economics Letters, 1988, 27, (2), 141-143 Downloads View citations (6)
  2. Exchange rates, innovations and forecasting
    Journal of International Money and Finance, 1988, 7, (1), 49-61 Downloads View citations (16)
    See also Working Paper Exchange Rates, Innovations and Forecasting, CEPR Discussion Papers (1987) Downloads View citations (2) (1987)
  3. Models of exchange rates: A comparison of forecasting results
    International Journal of Forecasting, 1988, 4, (4), 605-607 Downloads View citations (8)
  4. 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 Downloads

1987

  1. Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
    Journal of Finance, 1987, 42, (2), 395-406 Downloads View citations (70)
    See also Working Paper Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach, CEPR Discussion Papers (1987) Downloads View citations (69) (1987)
  2. 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 (96)

1986

  1. Exchange rate models and innovations: A derivation
    Economics Letters, 1986, 20, (4), 373-376 Downloads View citations (1)

Editor

  1. Journal of Empirical Finance
    Elsevier
 
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