.
Wolff, Christian C. P.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 3,483
Total Citations 84
1.
An Evaluation Framework for Alternative VaR Models
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Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
21 Jan 02
Last Revised:
31 Jul 03
904(10,851)
6
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
230
6
Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
34
6
Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
640
6
Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions
2.
Contingent Capital: The Case for COERCs
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Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
22 Nov 10
Last Revised:
23 Dec 11
668(17,095)
14
Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
152
14
Convertible bonds, bank capital, death spiral, debt overhang
Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
5
14
Banks, Financial crisis, Financial stability, Security design
Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
04 May 11
Last Revised:
23 Dec 11
511
14
3.
Straetmans, Stefan University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
387(35,457)
19
Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence
4.
Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration
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van Tol, Michel R. University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
07 Mar 05
Last Revised:
02 Aug 05
343(41,100)
1
van Tol, Michel R. University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
18
1
Multivariate threshold cointegration, TAR models, foreign exchange
van Tol, Michel R. University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
325
1
Multivariate threshold cointegration,TAR models, Foreign exchange
5.
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Papanikolaou, Nikolaos I. University of Luxembourg, Luxembourg School of Finance
Posted:
15 Mar 10
Last Revised:
16 Jan 13
196(76,251)
1
financial crisis, risk, leverage, commercial banking
6.
Versluis, Cokki Maastricht University - School of Business and Economics
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
161(91,776)
2
Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing
7.
Loss Functions in Option Valuation: A Framework for Model Selection
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Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
22 Jul 04
Last Revised:
08 Aug 05
146(100,206)
3
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
8
3
Option pricing, loss functions, estimation risk, GARCH, implied volatility
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
138
3
Option pricing, loss functions, estimation risk, GARCH, implied volatility
8.
Contingent Capital: The Case of COERCs
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Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
Posted:
26 Jan 12
Last Revised:
05 Jun 12
139(104,505)
12
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
91
12
crisis, banks, recapitalization, reverse convertible
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Pennacchi, George University of Illinois
Vermaelen, Theo INSEAD - Finance
48
12
9.
Zwinkels, Remco C. J.
Jongen, Ron Dutch Central Bank (DNB)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
124(114,906)
Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data
10.
Jongen, Ron Dutch Central Bank (DNB)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Zwinkels, Remco C. J. University of Luxembourg - Luxembourg School of Finance
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
111(125,356)
Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data
11.
Are Capital Controls in the Foreign Exchange Market Effective?
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Straetmans, Stefan University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Versteeg, Roald J. University of London, Birkbeck College - School of Economics, Mathematics and Statistics
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
24 Feb 08
Last Revised:
27 Jul 08
84(151,591)
2
Straetmans, Stefan University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Versteeg, Roald J. University of London, Birkbeck College - School of Economics, Mathematics and Statistics
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
5
2
Capital controls, Exchange Rates, Forward premia, Interest differentials, Monetary freedom
Straetmans, Stefan University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Versteeg, Roald J. University of London, Birkbeck College - School of Economics, Mathematics and Statistics
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
79
2
Capital controls; Exchange Rates; Interest differentials; Forward Premia
12.
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Pisa, Magdalena Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Posted:
09 Aug 12
Last Revised:
04 Apr 13
56(190,024)
Retail credit risk, default correlation, multiple defaults, generalized method of moments
13.
Straetmans, Stefan Maastricht University
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Versteeg, Roald J. University of London, Birkbeck College - School of Economics, Mathematics and Statistics
36(228,363)
2
Capital controls, Exchange Rates, Interest differentials, Forward premia, Monetary Freedom
14.
Lehnert, Thorsten Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
31(240,458)
Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk
15.
Jongen, Ron Dutch Central Bank (DNB)
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
25(257,979)
5
16.
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
25(257,979)
4
Expectations hypothesis, risk premium
17.
Bams, Dennis University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Walkowiak, Kim Maastricht University - Limburg Institute of Financial Economics (LIFE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
24(261,301)
3
Forward exchange, risk
18.
Jongen, Ron Dutch Central Bank (DNB)
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
16(289,271)
4
Interest rate expectations, EMS, expectations hypothesis, rationality, survey data, term structure, time-varying term premia
19.
Lehnert, Thorsten Universite du Luxembourg - Luxembourg School of Finance
Lin, Yuehao Universite du Luxembourg - Luxembourg School of Finance
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
3(330,903)
asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium
20.
Jongen, Ron Dutch Central Bank (DNB)
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Zwinkels, Remco C. J. University of Luxembourg - Luxembourg School of Finance
3(330,903)
5
exchange rates, expectations, heterogeneity, survey data
21.
Bekkour, Lamia Universite du Luxembourg - Luxembourg School of Finance
Jin, Xisong University of Luxembourg - Luxembourg School of Finance
Lehnert, Thorsten Universite du Luxembourg - Luxembourg School of Finance
Rasmouki, Fanou affiliation not provided to SSRN
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
1(343,102)
1
credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution
22.
Papanikolaou, Nikolaos I. University of Luxembourg, Luxembourg School of Finance
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
bank leverage, deleveraging process, bank risk, systemic risk, financial crisis
23.
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Jongen, Ron Dutch Central Bank (DNB)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Interest rate expectations, expectations hypothesis, rationality, survey data, term structure, time-varying term premia
24.
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
Benink, H.A. Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
25.
Koedijk, Kees C. G. Tilburg University - Department of Finance
Nissen, Francois MeesPierson Investment Bank
Schotman, Peter C. Maastricht University
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
26.
Nieuwland, Fred Maastricht University - Department of Economics
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
27.
Cavaglia, Stefano Brinson Partners
Koedijk, Kees C. G. Tilburg University - Department of Finance
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
28.
Cavaglia, Stefano Brinson Partners
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
29.
Cavaglia, Stefano Brinson Partners
Verschoor, Willem F. C. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Wolff, Christian C. P. University of Luxembourg - Luxembourg School of Finance
