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Schrimpf, Andreas's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
7,700 |
Total
Citations
83 |
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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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1,802
(3,354)
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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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1,467
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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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883
(11,260)
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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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727
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Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
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4.
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Schmidt, Peter Steffen
University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS) von Arx, Urs
Swiss Federal Institute of Technology Zurich Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department Wagner, Alexander F.
University of Zurich - Department of Banking and Finance Ziegler, Andreas
Swiss Federal Institute of Technology Zurich - Department of Management, Technology, and Economics (D-MTEC)
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469
(27,763)
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4
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Risk Factors, Value, Size, Momentum, International Equity Markets, Asset Pricing Anomalies
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5.
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Kroencke, Tim-Alexander
Centre for European Economic Research (ZEW) Schindler, Felix
Steinbeis University Berlin Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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21 Mar 11
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Last Revised:
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18 Dec 12
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409
(33,126)
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2
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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles
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6.
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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
(35,353)
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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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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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7.
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Information Flows in Dark Markets: Dissecting Customer Currency Trades
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Versions (2)
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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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375
(36,868)
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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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286
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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades, Hedge Funds
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8.
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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
(48,162)
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4
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Inflation expectations, Money Illusion, Proxy hypothesis, Stock Return Predictability
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9.
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Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department Schröder, Michael
Centre for European Economic Research (ZEW) - International Finance and Financial Management Stehle, Richard
Humboldt University of Berlin - Faculty of Business
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17 Jul 06
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Last Revised:
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26 Aug 08
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255
(57,876)
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2
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Asset Pricing, Conditioning Information, Hansen-Jagannathan Distance
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10.
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Grammig, Joachim
Eberhard Karls Universitaet Tübingen Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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23 May 06
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Last Revised:
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26 Aug 08
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168
(88,297)
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1
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Consumption-Based Asset Pricing, Cross-Section of Stock Returns, Reference Level
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11.
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Gyntelberg, Jacob
Bank for International Settlements (BIS) - Monetary and Economic Department Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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166
(89,268)
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1
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12.
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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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161
(91,776)
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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity
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13.
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Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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07 Aug 08
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Last Revised:
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03 Mar 10
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137
(105,816)
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2
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Stock Return Predictability, Bayesian Model Averaging, Model Uncertainty, International Stock Markets
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14.
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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
(115,655)
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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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15.
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Grammig, Joachim
Eberhard Karls Universitaet Tübingen Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department Schuppli, Michael
University of Muenster
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23 Oct 08
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Last Revised:
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26 Oct 09
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117
(120,310)
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1
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Consumption-based Asset Pricing, Long-Run Consumption Risk, Value Puzzle, International Stock Markets
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16.
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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
(146,170)
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International Asset Pricing, Long-run Consumption Risk, Capital Market Integration, Long Term Data
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17.
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Kroencke, Tim-Alexander
Centre for European Economic Research (ZEW) Schindler, Felix
Steinbeis University Berlin Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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37
(226,124)
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1
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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles
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18.
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Posch, Olaf
Universität Hamburg, Department of Economics Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department
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29
(245,873)
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euler equation errors, rare disasters, C-CAPM
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19.
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Schrimpf, Andreas
Bank for International Settlements (BIS) - Monetary and Economic Department Schröder, Michael
Centre for European Economic Research (ZEW) - International Finance and Financial Management Stehle, Richard
Humboldt University of Berlin - Faculty of Business
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20
(275,036)
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15
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