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Schmeling, Maik's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
6,892 |
Total
Citations
67 |
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1.
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Currency Momentum Strategies
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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Posted:
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21 Apr 11
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Last Revised:
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20 Jan 12
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1,804
(3,341)
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13
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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10
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13
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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325
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13
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Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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21 Apr 11
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Last Revised:
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07 Nov 11
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1,469
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13
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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades
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2.
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Carry Trades and Global Foreign Exchange Volatility
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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Posted:
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14 Feb 09
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Last Revised:
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28 Mar 11
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1,771
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28
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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17
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28
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carry trade, forward premium puzzle, liquidity, volatility
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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14 Feb 09
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Last Revised:
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02 Mar 11
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1,754
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28
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F31, G12, G15
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3.
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A Comprehensive Look at Financial Volatility Prediction by Economic Variables
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Christiansen, Charlotte
University of Aarhus - School of Economics and Management - CREATES Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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Posted:
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10 Jan 11
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Last Revised:
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06 Mar 12
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885
(11,209)
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Christiansen, Charlotte
University of Aarhus - School of Economics and Management - CREATES Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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156
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Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
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Christiansen, Charlotte
University of Aarhus - School of Economics and Management - CREATES Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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10 Jan 11
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Last Revised:
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06 Mar 12
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729
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Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
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4.
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Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective
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Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School
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Posted:
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19 May 11
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Last Revised:
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17 May 13
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411
(32,963)
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Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School
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3
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economic fundamentals, Exchange rates, forecasting, present value model
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Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School
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19 May 11
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Last Revised:
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05 Apr 13
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408
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Exchange rates, economic fundamentals, forecasting, present value model
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5.
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Dividend Predictability Around the World
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Rangvid, Jesper
Copenhagen Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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Posted:
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26 Jan 10
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Last Revised:
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02 Oct 12
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389
(35,284)
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8
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Rangvid, Jesper
Copenhagen Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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05 Mar 10
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Last Revised:
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02 Oct 12
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89
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8
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dividend yield, predictability, international stock markets, value, growth, idiosyncratic volatility
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Rangvid, Jesper
Copenhagen Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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26 Jan 10
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Last Revised:
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02 Oct 12
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300
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8
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Dividend Yield, Predictability, International Stock Markets, Value, Growth, Idiosyncratic Volatility
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6.
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Information Flows in Dark Markets: Dissecting Customer Currency Trades
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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Posted:
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20 May 12
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Last Revised:
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21 May 13
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376
(36,904)
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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89
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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades, Hedge Funds
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Sarno, Lucio
City University London - Sir John Cass Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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| Posted: |
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20 May 12
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Last Revised:
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05 Apr 13
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287
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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades, Hedge Funds
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7.
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Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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27 May 08
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Last Revised:
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17 Jan 10
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300
(48,212)
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4
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Inflation expectations, Money Illusion, Proxy hypothesis, Stock Return Predictability
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8.
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Schmeling, Maik
City University London - Sir John Cass Business School
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188
(79,476)
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5
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Market microstructure, informed trading, trade size, foreign exchange
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9.
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Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book
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Melvin, Michael
BlackRock Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Schmeling, Maik
City University London - Sir John Cass Business School
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Posted:
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19 Feb 08
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Last Revised:
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09 May 13
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172
(86,503)
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2
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Melvin, Michael
BlackRock Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Schmeling, Maik
City University London - Sir John Cass Business School
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74
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2
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exchange rates, intervention, microstructure
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Melvin, Michael
BlackRock Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Schmeling, Maik
City University London - Sir John Cass Business School
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98
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1
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foreign exchange, microstructure, intervention, exchange rate
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10.
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Rangvid, Jesper
Copenhagen Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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| Posted: |
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20 Sep 09
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Last Revised:
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22 Feb 12
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162
(91,381)
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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity
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11.
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Dick, Christian David
Centre for European Economic Research (ZEW) Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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30 Aug 10
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Last Revised:
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06 May 11
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123
(115,769)
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1
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Bond Yields, Expectations Hypothesis, Time-Varying Risk Premia, Term Premia, Aggregate Uncertainty
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12.
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Osler, Carol L.
Brandeis University - International Business School Schmeling, Maik
City University London - Sir John Cass Business School
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121
(117,318)
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5
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limit-order market, order submission, informed traders, market conditions
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13.
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Menkhoff, Lukas
Leibniz Universitaet Hannover - Department of Economics Schmeling, Maik
City University London - Sir John Cass Business School
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| Posted: |
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30 Mar 09
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Last Revised:
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25 Mar 10
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101
(134,298)
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1
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Foreign exchange microstructure, order flow, informed traders, counterparty identity
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14.
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Rangvid, Jesper
Copenhagen Business School Schmeling, Maik
City University London - Sir John Cass Business School Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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| Posted: |
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29 Nov 09
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Last Revised:
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30 Jan 11
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89
(146,302)
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International Asset Pricing, Long-run Consumption Risk, Capital Market Integration, Long Term Data
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