Christian C. P. Wolff

University of Luxembourg

Research Professor of Finance

6, rue Richard Coudenhove-Kalergi

Kirchberg Campus

Luxembourg, South 1359

Luxembourg

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

SCHOLARLY PAPERS

40

DOWNLOADS

23,769

TOTAL CITATIONS

120

Scholarly Papers (40)

1.
Downloads 16,860 ( 457)
Citation 20

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 29 Oct 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam - Department of Finance and Financial Sector Management, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Birmingham - Department of Economics, Queen's University Belfast - Queen's Management School, Universidad de los Andes, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, SAFE Leibniz Institute for Financial Research, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz - Institute of Banking and Finance, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Finance, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, Gottfried Wilhelm Leibniz Universität Hannover, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - University at Buffalo, Southwestern University of Finance and Economics (SWUFE), NGS Super, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
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Citation 20

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nonstandard errors, multi-analyst study, liquidity

2.
Downloads 1,207 (36,947)
Citation 22

Contingent Capital: The Case for COERCs

INSEAD Working Paper No. 2011/133/FIN
Number of pages: 54 Posted: 04 May 2011 Last Revised: 23 Dec 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois at Urbana-Champaign - Department of Finance, INSEAD - Finance and University of Luxembourg
Downloads 869 (57,905)
Citation 10

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Contingent Capital: The Case for COERCs

Number of pages: 49 Posted: 16 Mar 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois at Urbana-Champaign - Department of Finance, INSEAD - Finance and University of Luxembourg
Downloads 332 (189,444)
Citation 12

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Convertible bonds, bank capital, death spiral, debt overhang

Contingent Capital: The Case for COERCs

CEPR Discussion Paper No. DP8028
Number of pages: 46 Posted: 22 Nov 2010
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois at Urbana-Champaign - Department of Finance, INSEAD - Finance and University of Luxembourg
Downloads 6 (1,320,838)
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Banks, Financial crisis, Financial stability, Security design

3.
Downloads 1,099 (42,474)
Citation 2

An Evaluation Framework for Alternative VAR Models

Number of pages: 25 Posted: 21 Jan 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 740 (71,795)
Citation 2

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

Number of pages: 21 Posted: 31 Jul 2003
Christian C. P. Wolff, Dennis Bams and Thorsten Lehnert
University of Luxembourg, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 305 (207,614)

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

Number of pages: 28 Posted: 16 Jul 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 54 (800,149)
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Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions

4.

A Cumulative Prospect Theory Approach to Option Pricing

Number of pages: 36 Posted: 30 Nov 2010
Cokki Versluis, Thorsten Lehnert and Christian C. P. Wolff
Independent, University of Luxembourg and University of Luxembourg
Downloads 843 (61,374)
Citation 7

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Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing

5.

Extreme Us Stock Market Fluctuations in the Wake of 9/11

Number of pages: 27 Posted: 08 Dec 2003
Stefan Straetmans, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg
Downloads 524 (112,988)
Citation 25

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Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

Number of pages: 24 Posted: 07 Mar 2005
Michel R. van Tol and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 424 (143,954)
Citation 1

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Multivariate threshold cointegration,TAR models, Foreign exchange

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

CEPR Discussion Paper No. 4958
Number of pages: 27 Posted: 27 Jul 2005
Michel R. van Tol and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 19 (1,154,172)
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Multivariate threshold cointegration, TAR models, foreign exchange

Are Capital Requirements on Small Business Loans Flawed?

Best AFFI 2016 paper in banking & insurance
Number of pages: 53 Posted: 09 Aug 2012 Last Revised: 13 Aug 2023
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg
Downloads 278 (228,806)
Citation 2

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Small business credit risk, capital charges, default correlation, factor models

Are Capital Requirements on Small Business Loans Flawed?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 53 Posted: 13 Dec 2015 Last Revised: 13 Aug 2023
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg
Downloads 124 (478,061)
Citation 6

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Small business credit risk; IRB capital requirements; asset correlations; lending regulation.

Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis

Luxembourg School of Finance (LSF) Research Working Paper Series, No 10-12
Number of pages: 26 Posted: 15 Mar 2010 Last Revised: 15 Nov 2013
Christian C. P. Wolff and Nikolaos I. Papanikolaou
University of Luxembourg and Newcastle University
Downloads 351 (178,239)

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financial crisis, risk, leverage, commercial banking

Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis

CEPR Discussion Paper No. DP10890
Number of pages: 27 Posted: 20 Oct 2015
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Newcastle University and University of Luxembourg
Downloads 6 (1,320,838)
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commercial banking, financial crisis, leverage, risk

9.

A Prospect Approach to Option Pricing

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 01 Dec 2021
Christian C. P. Wolff, Thorsten Lehnert and Cokki Versluis
University of Luxembourg, University of Luxembourg and Independent
Downloads 328 (193,542)
Citation 1

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Prospect Theory, Framing, Mental Accounting, Risk attitude, Loss aversion, Probability

10.
Downloads 315 (201,982)
Citation 12

Contingent Capital: The Case of COERCs

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 16 Mar 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg, University of Illinois at Urbana-Champaign - Department of Finance and INSEAD - Finance
Downloads 191 (330,583)
Citation 5

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crisis, banks, recapitalization, reverse convertible

Contingent Capital: The Case of COERCs

Number of pages: 53 Posted: 26 Jan 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg, University of Illinois at Urbana-Champaign - Department of Finance and INSEAD - Finance
Downloads 93 (591,453)

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Contingent Capital: The Case of COERCs

Number of pages: 52 Posted: 12 Mar 2013
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois at Urbana-Champaign - Department of Finance, INSEAD - Finance and University of Luxembourg
Downloads 31 (1,005,611)
Citation 7

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convertible bonds

11.

The Role of On- and Off-Balance-Sheet Leverage of Banks in the Late 2000s Crisis

Journal of Financial Stability 14, 2014, pp.3-22
Number of pages: 62 Posted: 17 Jan 2013 Last Revised: 04 Dec 2014
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Newcastle University and University of Luxembourg
Downloads 237 (270,354)
Citation 8

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bank leverage; deleveraging process; individual bank risk; systemic risk; financial crisis

Loss Functions in Option Valuation: A Framework for Model Selection

Number of pages: 22 Posted: 22 Jul 2004
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 205 (309,355)
Citation 1

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Option pricing, loss functions, estimation risk, GARCH, implied volatility

Loss Functions in Option Valuation: A Framework for Model Selection

CEPR Discussion Paper No. 4960
Number of pages: 24 Posted: 27 Jul 2005
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 12 (1,251,106)
Citation 3
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Option pricing, loss functions, estimation risk, GARCH, implied volatility

13.

Chartists, Fundamentalists, and Dispersion in the Foreign Exchange Market

Number of pages: 34 Posted: 16 Mar 2009
Dutch Central Bank (DNB), University of Luxembourg, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 190 (333,171)

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Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data

14.

Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market

EFA 2006 Zurich Meetings
Number of pages: 33 Posted: 08 Mar 2006
Vrije Universiteit Amsterdam, School of Business and Economics, Dutch Central Bank (DNB), University of Luxembourg and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 188 (336,405)

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Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data

15.

Spillovers to Small Business Credit Risk

Number of pages: 49 Posted: 28 Oct 2013 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg
Downloads 162 (385,580)
Citation 1

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Spillover effects, supply chain, small businesses, credit risk

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 38 Posted: 24 Feb 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
Maastricht University, Imperial College London - Accounting, Finance, and Macroeconomics and University of Luxembourg
Downloads 121 (487,489)
Citation 1

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Capital controls; Exchange Rates; Interest differentials; Forward Premia

Are Capital Controls in the Foreign Exchange Market Effective?

CEPR Discussion Paper No. DP6727
Number of pages: 39 Posted: 11 Jun 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
Maastricht University, Imperial College London - Accounting, Finance, and Macroeconomics and University of Luxembourg
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Capital controls, Exchange Rates, Forward premia, Interest differentials, Monetary freedom

17.

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 34 Posted: 22 Jan 2009
Stefan Straetmans, Christian C. P. Wolff and Roald J. Versteeg
Maastricht University, University of Luxembourg and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 94 (581,198)
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Capital controls, Exchange Rates, Interest differentials, Forward premia, Monetary Freedom

18.

Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency

26th Australasian Finance and Banking Conference 2013
Number of pages: 36 Posted: 24 Aug 2013
Luxembourg School of Finance, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
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European sovereign debt crisis, currency options, credit default swaps, currency stability, risk-neutral distribution, crash risk, tail risk

19.

Modelling Scale-Consistent VAR with the Truncated Levy Flight

Number of pages: 42 Posted: 26 Mar 2001
Thorsten Lehnert and Christian C. P. Wolff
University of Luxembourg and University of Luxembourg
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Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk

20.

Risk Premia in the Term Structure of Interest Rates: A Panel Data Approach

Number of pages: 35 Posted: 05 Apr 2002
Dennis Bams and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
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Expectations hypothesis, risk premium

21.

More Evidence on the Dollar Risk Premium in the Foreign Exchange Market

Number of pages: 31 Posted: 27 Feb 2003
Dennis Bams, Kim Walkowiak and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
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Forward exchange, risk

22.

Time Variation in Term Premia: International Evidence

CEPR Discussion Paper No. 4959
Number of pages: 34 Posted: 27 Jul 2005
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg
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Interest rate expectations, EMS, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

23.

Non-Standard Errors

CEPR Discussion Paper No. DP16751
Number of pages: 60 Posted: 04 Feb 2022
Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, Vrije Universiteit Amsterdam, Deutsche Börse AG, University of Innsbruck, VU University Amsterdam and University of Luxembourg
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24.

Skewness Risk Premium: Theory and Empirical Evidence

CEPR Discussion Paper No. DP9349
Number of pages: 35 Posted: 21 Feb 2013
Thorsten Lehnert, Yuehao Lin and Christian C. P. Wolff
University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
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asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium

25.

Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies

CEPR Discussion Paper No. DP13854
Number of pages: 53 Posted: 30 Jul 2019
J. Thomas Connelly and Christian C. P. Wolff
Sasin School of Management, Chulalongkorn University and University of Luxembourg
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agency conflicts, control, Family ownership, Payout policy

26.

Dispersion of Beliefs in the Foreign Exchange Market

CEPR Discussion Paper No. DP6738
Number of pages: 46 Posted: 11 Jun 2008
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics, University of Luxembourg and Vrije Universiteit Amsterdam, School of Business and Economics
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exchange rates, expectations, heterogeneity, survey data

27.

Euro at Risk: The Impact of Member Countries’' Credit Risk on the Stability of the Common Currency

CEPR Discussion Paper No. DP9229
Number of pages: 35 Posted: 01 Feb 2013
Luxembourg School of Finance, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
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credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution

28.

Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region

CEPR Discussion Paper No. DP12078
Number of pages: 14 Posted: 05 Jun 2017
Manapol Ekkayokkaya, Pimnipa Foojinphan and Christian C. P. Wolff
Chulalongkorn University - Department of Banking & Finance, Chulalongkorn University and University of Luxembourg
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colonial history, Foreign direct investment, South-East Asia

29.

Trading in Style: Retail Investors vs. Institutions

CEPR Discussion Paper No. DP12462
Number of pages: 35 Posted: 01 Dec 2017
Christian C. P. Wolff
University of Luxembourg
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30.

Does the CAMEL Bank Ratings System Follow a Procyclical Pattern?

CEPR Discussion Paper No. DP10965
Number of pages: 20 Posted: 01 Dec 2015
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Newcastle University and University of Luxembourg
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CAMELS ratings, financial crisis, financial stability, procyclicality

31.

Ripple Effects from Industry Defaults

CEPR Discussion Paper No. DP10891
Number of pages: 43 Posted: 20 Oct 2015
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg
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default clustering, default risk transmission, market structure, supply chain

32.
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The Determinants of CoCo Bond Prices

INSEAD Working Paper No. 2018/50/FIN
Posted: 15 Oct 2018 Last Revised: 08 Jan 2019
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
Universite du Luxembourg, INSEAD - Finance and University of Luxembourg

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The Determinants of CoCo Bond Prices

INSEAD Working Paper No. 2018/50/FIN
Posted: 15 Oct 2018
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
Universite du Luxembourg, INSEAD - Finance and University of Luxembourg

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33.

Credit Risk Characteristics of US Small Business Portfolios

CEPR Discussion Paper No. DP10889
Number of pages: 39 Posted: 20 Oct 2015
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg
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capital requirements

34.

Time-Varion in Term Premia

Posted: 07 Mar 2008
Willem F. C. Verschoor, Ron Jongen and Christian C. P. Wolff
Vrije Universiteit Amsterdam, School of Business and Economics, Dutch Central Bank (DNB) and University of Luxembourg

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Interest rate expectations, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

35.

Survey Data and the Interest Rate Sensitivity of Us Bank Stock Returns

Posted: 10 Jul 2000
Christian C. P. Wolff and H.A. Benink
University of Luxembourg and Tilburg University

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36.

The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Posted: 15 Sep 1999
Tilburg University - Department of Finance, MeesPierson Investment Bank, Maastricht University - Department of Finance and University of Luxembourg

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37.

Stochastic Trends and Jumps in EMS Exchange Rates

Posted: 14 Sep 1999
Fred Nieuwland, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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38.

Interest Expectations and Exchange Rates News

Posted: 18 May 1999
Brinson Partners, Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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39.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality of Risk Premia?

Posted: 11 Jan 1995
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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40.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

Journal of Business, Vol 67, No 3, July 1994
Posted: 29 Jun 1994
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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