Details about Christian Wolff

E-mail:
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)

Access statistics for papers by Christian Wolff.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

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Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2022

2. 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

2019

3. Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   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) (2023)

2017

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

2015

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

2014

11. Skewness Risk Premium: Theory and Empirical Evidence
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (3)
    See also Journal Article Skewness risk premium: Theory and empirical evidence, International Review of Financial Analysis, Elsevier (2019) View citations (7) (2019)

2013

12. 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 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) View citations (37) (2014)

2012

13. 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 View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) 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) View citations (5) (2015)
14. Modeling default correlation in a US retail loan portfolio
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (5)

2010

15. Contingent Capital: The Case for COERCs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2010) View citations (35)
    See also Journal Article Contingent Capital: The Case of COERCs, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (73) (2014)

2009

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

2008

19. Are Capital Controls in the Foreign Exchange Market Effective?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2008) View citations (1)
    See also Journal Article Are capital controls in the foreign exchange market effective?, Journal of International Money and Finance, Elsevier (2013) View citations (9) (2013)
20. Loss Functions in Option Valuation: A Framework for Selection
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (5)
    See also Journal Article Loss Functions in Option Valuation: A Framework for Selection, Management Science, INFORMS (2009) View citations (9) (2009)

2005

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

2003

24. More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers 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) View citations (14) (2004)

2002

25. An Evaluation Framework for Alternative VaR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    See also Journal Article An evaluation framework for alternative VaR-models, Journal of International Money and Finance, Elsevier (2005) View citations (26) (2005)

2001

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

2000

27. Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers 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) View citations (6) (2003)

1998

28. 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) View citations (13) (2000)

1993

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

1990

30. 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

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

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)

2023

2. 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
   See also Working Paper Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies, CEPR Discussion Papers (2019) (2019)

2022

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

2021

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

2019

5. Are capital requirements on small business loans flawed?
   Journal of Empirical Finance, 2019, 52, (C), 255-274 View citations (5)
6. Skewness risk premium: Theory and empirical evidence
   International Review of Financial Analysis, 2019, 63, (C), 174-185 View citations (7)
   See also Working Paper Skewness Risk Premium: Theory and Empirical Evidence, LSF Research Working Paper Series (2014) View citations (3) (2014)

2017

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

2015

8. 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 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) View citations (2) (2012)

2014

9. Contingent Capital: The Case of COERCs
   Journal of Financial and Quantitative Analysis, 2014, 49, (3), 541-574 View citations (73)
   See also Working Paper Contingent Capital: The Case for COERCs, CEPR Discussion Papers (2010) View citations (17) (2010)
10. 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 View citations (37)
    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) View citations (1) (2013)

2013

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

2012

12. Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
    Journal of Economic Dynamics and Control, 2012, 36, (5), 719-735 View citations (52)

2011

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

2009

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

2008

15. Extreme US stock market fluctuations in the wake of 9|11
    Journal of Applied Econometrics, 2008, 23, (1), 17-42 View citations (56)
16. FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS
    Journal of Economic Surveys, 2008, 22, (1), 140-165 View citations (51)

2006

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

2005

18. An evaluation framework for alternative VaR-models
    Journal of International Money and Finance, 2005, 24, (6), 944-958 View citations (26)
    See also Working Paper An Evaluation Framework for Alternative VaR Models, CEPR Discussion Papers (2002) View citations (7) (2002)

2004

19. Introduction to the special issue on behavioral finance
    Journal of Empirical Finance, 2004, 11, (4), 423-427 View citations (1)
20. 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 (14)
    See also Working Paper More Evidence on the Dollar Risk Premium in the Foreign Exchange Market, CEPR Discussion Papers (2003) View citations (2) (2003)
21. Scale-consistent Value-at-Risk
    Finance Research Letters, 2004, 1, (2), 127-134 View citations (1)

2003

22. 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 (6)
    See also Working Paper Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach, CEPR Discussion Papers (2000) View citations (1) (2000)

2002

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

2001

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

2000

26. Exchange risk premia in the European monetary system
    Applied Financial Economics, 2000, 10, (4), 351-360 View citations (5)
27. Forward foreign exchange rates and expected future spot rates
    Applied Financial Economics, 2000, 10, (4), 371-377 View citations (6)
28. 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 (13)
29. Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns
    Economic Notes, 2000, 29, (2), 201-213 View citations (13)
    See also Working Paper Survey data and the interest rate sensitivity of U.S. bank stock returns, Proceedings (1998) View citations (1) (1998)

1998

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

1997

32. The Dynamics of Short-Term Interest Rate Volatility Reconsidered
    Review of Finance, 1997, 1, (1), 105-130 View citations (51)

1996

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

1994

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

1993

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

1988

41. Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models
    Economics Letters, 1988, 27, (2), 141-143 View citations (6)
42. Exchange rates, innovations and forecasting
    Journal of International Money and Finance, 1988, 7, (1), 49-61 View citations (16)
    See also Working Paper Exchange Rates, Innovations and Forecasting, CEPR Discussion Papers (1987) View citations (2) (1987)
43. Models of exchange rates: A comparison of forecasting results
    International Journal of Forecasting, 1988, 4, (4), 605-607 View citations (8)
44. 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

45. Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
    Journal of Finance, 1987, 42, (2), 395-406 View citations (70)
    See also Working Paper Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach, CEPR Discussion Papers (1987) View citations (69) (1987)
46. 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 (98)

1986

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