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Details about Christian Wolff

Postal address:Luxembourg School of Finance 4, rue Albert Borschette 1246- Luxembourg Luxembourg
Workplace:Luxembourg School 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 2019-08-06. Update your information in the RePEc Author Service.

Short-id: pwo136


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Working Papers

2019

  1. Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2017

  1. Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Finance Research Letters (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
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2010) Downloads View citations (6)
  4. Ripple effects from industry defaults
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  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 (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (3)

    See also Journal Article in International Review of Financial Analysis (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 in Journal of Financial Stability (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 (6)

    See also Journal Article in Journal of Empirical Finance (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 (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (2)

2010

  1. Contingent Capital: The Case for COERCs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2010) Downloads View citations (31)

    See also Journal Article in Journal of Financial and Quantitative Analysis (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 (3)
  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 (5)
  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 in Journal of International Money and Finance (2011)

2008

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

    See also Journal Article in Journal of International Money and Finance (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 (4)
    See also Journal Article in Management Science (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 (2)
  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 in Journal of International Money and Finance (2004)

2002

  1. An Evaluation Framework for Alternative VaR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of International Money and Finance (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 in Journal of International Financial Markets, Institutions and Money (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 in Economic Notes (2000)

1993

  1. Premia in forward foreign exchange as unobserved components
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (18)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (2)
    Working Papers, Tilburg - Center for Economic Research (1991) View citations (2)

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 (15)

1987

  1. Exchange Rates, Innovations and Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (1988)
  2. Forward Exchange Rates and Expected Future Spot Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  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 (46)
    See also Journal Article in Journal of Finance (1987)

Journal Articles

2019

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

2017

  1. Cross-border mergers and acquisitions: Evidence from the Indochina region
    Finance Research Letters, 2017, 23, (C), 253-256 Downloads View citations (1)
    See also Working Paper (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 (2012)

2014

  1. Contingent Capital: The Case of COERCs
    Journal of Financial and Quantitative Analysis, 2014, 49, (03), 541-574 Downloads View citations (39)
    See also Working Paper (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 (20)
    See also Working Paper (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 (6)
    See also Working Paper (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 (32)

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 (10)
    See also Working Paper (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 (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 (36)
  2. FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS
    Journal of Economic Surveys, 2008, 22, (1), 140-165 Downloads View citations (35)

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 (20)
    See also Working Paper (2002)

2004

  1. Introduction to the special issue on behavioral finance
    Journal of Empirical Finance, 2004, 11, (4), 423-427 Downloads
  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 (9)
    See also Working Paper (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 (4)
    See also Working Paper (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 (3)
  2. Scandinavian forward discount bias risk premia
    Economics Letters, 2001, 73, (1), 65-72 Downloads View citations (9)

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 (5)
  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 (12)
  4. Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns
    Economic Notes, 2000, 29, (2), 201-213 Downloads View citations (10)
    See also Working Paper (1998)

1998

  1. EMS exchange rate expectations and time-varying risk premia
    Economics Letters, 1998, 60, (3), 351-355 Downloads View citations (5)
  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 (34)

1996

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

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 (81)
  2. Stochastic trends and jumps in EMS exchange rates
    Journal of International Money and Finance, 1994, 13, (6), 699-727 Downloads View citations (44)

1993

  1. Asian Exchange Rate Expectations
    Journal of the Japanese and International Economies, 1993, 7, (1), 57-77 Downloads View citations (14)
  2. Further evidence on exchange rate expectations
    Journal of International Money and Finance, 1993, 12, (1), 78-98 Downloads View citations (82)
  3. Premia in Forward Foreign Exchange as Unobserved Components: A Note
    Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations (17)
  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 (13)
    See also Working Paper (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 (48)
    See also Working Paper (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 (89)

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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