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Tim A. Kroencke

Personal Details

First Name:Tim
Middle Name:A.
Last Name:Kroencke
Suffix:
RePEc Short-ID:pkr192
https://sites.google.com/site/kroencketim/

Affiliation

(95%) Institut d'analyse financière (IAF)
Faculté des sciences économiques (FSE)
Université de Neuchâtel

Neuchâtel, Switzerland
http://www2.unine.ch/iaf
RePEc:edi:iafnech (more details at EDIRC)

(5%) Wirtschaftswissenschaftliches Zentrum
Universität Basel

Basel, Switzerland
http://www.wwz.unibas.ch/
RePEc:edi:wwzbsch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
  2. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2016. "Time-varying Macroeconomic Risk of Real Estate Returns," ERES eres2016_161, European Real Estate Society (ERES).
  3. Tim A Kroencke & Maik Schmeling & Andreas Schrimpf, 2015. "Global Asset Allocation Shifts," BIS Working Papers 497, Bank for International Settlements.
  4. Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013. "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers 13-026, ZEW - Leibniz Centre for European Economic Research.
  5. Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa, 2013. "Return and risk of human capital contracts," ZEW Discussion Papers 13-108, ZEW - Leibniz Centre for European Economic Research.
  6. Kroencke, Tim A., 2013. "Asset pricing without garbage," ZEW Discussion Papers 13-071, ZEW - Leibniz Centre for European Economic Research.
  7. Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Leibniz Centre for European Economic Research.
  8. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.
  9. Kroencke, Tim Alexander & Schindler, Felix, 2010. "Downside risk optimization in securitized real estate markets," ZEW Discussion Papers 10-034, ZEW - Leibniz Centre for European Economic Research.

Articles

  1. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
  2. Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
  3. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
  4. Tim A. Kroencke, 2017. "Asset Pricing without Garbage," Journal of Finance, American Finance Association, vol. 72(1), pages 47-98, February.
  5. Felix Schindler & Peter Westerheide & Tim-Alexander Kroencke, 2014. "Editorial," Journal of Property Research, Taylor & Francis Journals, vol. 31(3), pages 181-182, September.
  6. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
  7. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.

Books

  1. Jaroszek, Lena & Kröncke, Tim-Alexander & Gans, Paul & Meng, Rüdiger, 2013. "Wohnungsmarktbeobachtung 2012: Alle Zahlen unter Dach und Fach," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, volume 127, number 110552.
  2. Voigtländer, Michael & Henger, Ralph & Haas, Heide & Schier, Michael & Jaroszek, Lena & Kröncke, Tim-Alexander & Just, Tobias & Biener, Sven & Geiger, Peter & Hesse, Markus & Braun, Nicole & Schäfer, , 2013. "Wirtschaftsfaktor Immobilien 2013: Gesamtwirtschaftliche Bedeutung der Immobilienwirtschaft," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110566.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.

    Cited by:

    1. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
    2. Andreas Neuhierl & Michael Weber, 2018. "Monetary Momentum," NBER Working Papers 24748, National Bureau of Economic Research, Inc.
    3. Michael D. Bauer & Aeimit K. Lakdawala & Philippe Mueller, 2021. "Market-Based Monetary Policy Uncertainty," Working Paper Series 2019-12, Federal Reserve Bank of San Francisco.
    4. Jarociński, Marek, 2020. "Central bank information effects and transatlantic spillovers," Working Paper Series 2482, European Central Bank.
    5. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
    6. Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
    7. Kyungmin Kim & Thomas Laubach & Min Wei, 2020. "Macroeconomic Effects of Large-Scale Asset Purchases: New Evidence," Finance and Economics Discussion Series 2020-047, Board of Governors of the Federal Reserve System (U.S.).
    8. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    9. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
    10. Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021. "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series 21-E-3, Bank of Japan.
    11. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
    12. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    13. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
    14. Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
    15. Maurer, Tim D. & Nitschka, Thomas, 2023. "Stock market evidence on the international transmission channels of US monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 136(C).
    16. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
    17. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.

  2. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2016. "Time-varying Macroeconomic Risk of Real Estate Returns," ERES eres2016_161, European Real Estate Society (ERES).

    Cited by:

    1. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach," Working Papers 201817, University of Pretoria, Department of Economics.
    2. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2017. "The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises," Working Papers 201712, University of Pretoria, Department of Economics.
    3. Gurgul, Henryk & Mitterer, Christoph & Wójtowicz, Tomasz, 2020. "The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange," MPRA Paper 103352, University Library of Munich, Germany.
    4. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High Frequency Impact Of Monetary Policy And Macroeconomic Surprises On Us Msas, Aggregate Us Housing Returns And Asymmetric Volatility," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 204-229, December.
    5. Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020. "Price and volatility linkages between international REITs and oil markets," Energy Economics, Elsevier, vol. 88(C).

  3. Tim A Kroencke & Maik Schmeling & Andreas Schrimpf, 2015. "Global Asset Allocation Shifts," BIS Working Papers 497, Bank for International Settlements.

    Cited by:

    1. Banegas, Ayelen & Montes-Rojas, Gabriel & Siga, Lucas, 2022. "The effects of U.S. monetary policy shocks on mutual fund investing," Journal of International Money and Finance, Elsevier, vol. 123(C).
    2. Kaufmann, Christoph, 2021. "Investment funds, monetary policy, and the global financial cycle," ESRB Working Paper Series 119, European Systemic Risk Board.
    3. Jimmy Shek & Ilhyock Shim & Hyun Song Shin, 2018. "Investor Redemptions and Fund Manager Sales of Emerging Market Bonds: How Are They Related? [Borrow cheap, buy high? The determinants of leverage and pricing in buyouts]," Review of Finance, European Finance Association, vol. 22(1), pages 207-241.
    4. Cenedese, Gino & Elard, Ilaf, 2018. "Unconventional monetary policy and the portfolio choice of international mutual funds," Bank of England working papers 705, Bank of England.
    5. Milan Szabo, 2022. "Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?," Working Papers 2022/6, Czech National Bank.
    6. Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2017. "The portfolio of euro area fund investors and ECB monetary policy announcements," Working Paper Series 2116, European Central Bank.
    7. Anusha Chari & Karlye Dilts Stedman & Christian T. Lundblad, 2020. "Capital Flows in Risky Times: Risk-On / Risk-Off and Emerging Market Tail Risk," Research Working Paper RWP 20-08, Federal Reserve Bank of Kansas City.
    8. Kábrt, Tomáš & Brůna, Karel, 2022. "Asymmetric effects of foreign capital on income inequality: The case of the Post-China 16 countries," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 613-626.
    9. Bonizzi, Bruno, 2017. "Institutional investors’ allocation to emerging markets: A panel approach to asset demand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 47-64.
    10. Hasler, Nicole, 2016. "US International Equity Investment and Economic Fundamentals," VfS Annual Conference 2016 (Augsburg): Demographic Change 145840, Verein für Socialpolitik / German Economic Association.
    11. Jing Chen & Junxiong Fang & Chunqiu Zhang & Yi Zhou, 2023. "Homemade international diversification under economic policy uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 31-62, February.

  4. Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik, 2013. "GDP mimicking portfolios and the cross-section of stock returns," ZEW Discussion Papers 13-026, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Mikael C. Bergbrant & Patrick J. Kelly, 2015. "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers w0214, New Economic School (NES).
    2. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.

  5. Kroencke, Tim A., 2013. "Asset pricing without garbage," ZEW Discussion Papers 13-071, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
    2. Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021. "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers 16299, C.E.P.R. Discussion Papers.
    3. Zhi Da & Wei Yang & Hayong Yun, 2016. "Household Production and Asset Prices," Management Science, INFORMS, vol. 62(2), pages 387-409, February.
    4. Zhang, Shaojun, 2016. "Limited Risk Sharing and International Equity Returns," Working Paper Series 2016-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    5. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    6. Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
    7. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    8. Seda Oz & Steve Fortin, 2023. "Is it time for popcorn? Daily box office earnings and aggregate stock returns," Financial Management, Financial Management Association International, vol. 52(2), pages 375-401, June.
    9. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    10. Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
    11. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.
    12. de Oliveira Souza, Thiago, 2018. "Red tape asset pricing," Discussion Papers on Economics 8/2018, University of Southern Denmark, Department of Economics.
    13. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    14. Lingwei Kong, 2023. "Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models," Papers 2307.14499, arXiv.org.
    15. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    16. Paulo Rogério Faustino Matos, 2019. "The role of household debt and delinquency decisions in consumption-based asset pricing," Annals of Finance, Springer, vol. 15(2), pages 179-203, June.
    17. Chen, Zhanhui & Yang, Bowen, 2019. "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, vol. 133(1), pages 225-249.
    18. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    19. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    20. Po‐Hsuan Hsu & Kai Li & Chi‐Yang Tsou, 2023. "The Pollution Premium," Journal of Finance, American Finance Association, vol. 78(3), pages 1343-1392, June.
    21. Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
    22. Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
    23. Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
    24. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    25. Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari", revised 2021.
    26. Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
    27. Hitz, Lukas & Mustafi, Ismail H. & Zimmermann, Heinz, 2022. "The pricing of volatility risk in the US equity market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    28. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    29. Lago-Balsalobre, Rubén & Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    30. Li, Huan, 2020. "Asset pricing with long-run durable expenditure risk," Finance Research Letters, Elsevier, vol. 32(C).
    31. Mykola Babiak & Roman Kozhan, 2021. "Growth Uncertainty, Rational Learning, and Option Prices," CERGE-EI Working Papers wp682, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

  6. Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
    2. Kröncke, Tim-Alexander & Schindler, Felix, 2011. "Bedeutung von Immobilieninvestments in internationalen Anlageportfolios," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 14(2), pages 10-11.
    3. Frédéric Blanc-Brude & Timothy Whittaker & Simon Wilde, 2017. "Searching for a listed infrastructure asset class using mean–variance spanning," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 137-179, May.
    4. Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia, 2016. "Diversification with volatility products," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 213-235.
    5. Kyriakou, Maria I. & Babalos, Vassilios & Kiohos, Apostolos & Koulakiotis, Athanasios, 2020. "Feedback trading strategies and long-term volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 181-189.
    6. Du, Jiangze & Wang, Jying-Nan & Hsu, Yuan-Teng & Lai, Kin Keung, 2018. "The importance of hedging currency risk: Evidence from CNY and CNH," Economic Modelling, Elsevier, vol. 75(C), pages 81-92.
    7. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
    8. Halil I. Memis & Steffen Sebastian, 2020. "Währungsabsicherung bei Immobilienaktien außerhalb des Euroraums [Currency hedging for real estate investments outside the Eurozone]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 47-63, April.
    9. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    10. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.

  7. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015. "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series 15-48, Swiss Finance Institute, revised Apr 2016.
    2. Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
    3. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    4. Xu, Qifa & Li, Mengting & Jiang, Cuixia, 2021. "Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    5. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    6. Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul, 2016. "Currency Value," CEPR Discussion Papers 11324, C.E.P.R. Discussion Papers.
    7. Balbás, Alejandro & Laborda Herrero, Ricardo, 2017. "Interest Rate Future Quality Options and Negative Interest Rates," INDEM - Working Paper Business Economic Series 24859, Instituto para el Desarrollo Empresarial (INDEM).
    8. Rubaszek, Michał & Beckmann, Joscha & Ca' Zorzi, Michele & Kwas, Marek, 2022. "Boosting carry with equilibrium exchange rate estimates," Working Paper Series 2731, European Central Bank.
    9. Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
    10. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    11. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
    12. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
    13. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    14. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
    15. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    16. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
    17. Laborda, Ricardo, 2018. "Optimal combination of currency strategies," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 129-140.
    18. Cenedese, Gino, 2015. "Safe haven currencies: a portfolio perspective," Bank of England working papers 533, Bank of England.
    19. Federico C. Nucera & Lucio Sarno & Gabriele Zinna, 2023. "Currency risk premiums redux?," Temi di discussione (Economic working papers) 1415, Bank of Italy, Economic Research and International Relations Area.
    20. Chen, Chih-Nan & Lin, Chien-Hsiu, 2020. "The sources of pricing factors underlying the cross-section of currency returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 250-265.
    21. Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," Working Papers 2020-009, Department of Research, Ipag Business School.
    22. David R. Gallagher & Graham Harman & Camille H. Schmidt & Geoffrey J. Warren, 2022. "Global equity fund performance adjusted for equity and currency factors," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1535-1565, April.
    23. Mengting Li & Qifa Xu & Cuixia Jiang & Qinna Zhao, 2023. "The role of tail network topological characteristic in portfolio selection: A TNA‐PMC model," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 37-57, March.
    24. Dagfinn Rime & Andreas Schrimpf, 2013. "The anatomy of the global FX market through the lens of the 2013 Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
    25. Sakemoto, Ryuta, 2018. "Do precious and industrial metals act as hedges and safe havens for currency portfolios?," Finance Research Letters, Elsevier, vol. 24(C), pages 256-262.
    26. Malliaris, A.G. & Malliaris, Mary, 2011. "Are foreign currency markets interdependent? evidence from data mining technologies," MPRA Paper 35261, University Library of Munich, Germany.
    27. Melk C. Bucher, 2020. "Conditional currency hedging," Financial Management, Financial Management Association International, vol. 49(4), pages 897-923, December.
    28. Choi, Jae Hoon & Song, Seongho, 2022. "Revisiting the PPP puzzle: Nominal exchange rate rigidity and region of inaction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    29. Raúl Álvarez del Castillo Penna & José Antonio Núñez Mora & Leovardo Mata Mata, 2018. "Foreign Exchange Strategies Performance," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 195-245, Abril-Jun.
    30. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).
    31. Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021. "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1825-1853, November.
    32. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
    33. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    34. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    35. Vanja Piljak & Laurens Swinkels, 2017. "Fundamental indexation for developed, emerging, and frontier government bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 405-420, September.
    36. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).

  8. Kroencke, Tim Alexander & Schindler, Felix, 2010. "Downside risk optimization in securitized real estate markets," ZEW Discussion Papers 10-034, ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Refk Selmi, 2023. "Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities," Post-Print hal-04133736, HAL.
    2. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
    3. Daniel Wurstbauer & Wolfgang Schäfers, 2015. "Inflation hedging and protection characteristics of infrastructure and real estate assets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 33(1), pages 19-44, February.
    4. Muhammad Najib Razali, 2011. "Portfolio Optimisation Model for Malaysian Property Market," ERES eres2011_131, European Real Estate Society (ERES).
    5. Morano, Pierluigi & Tajani, Francesco, 2018. "Saving soil and financial feasibility. A model to support public-private partnerships in the regeneration of abandoned areas," Land Use Policy, Elsevier, vol. 73(C), pages 40-48.

Articles

  1. Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
    See citations under working paper version above.
  2. Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.

    Cited by:

    1. Eduard Hromada & Tomáš Krulický, 2021. "Investing in Real Estate in the Czech Republic and Analyzing the Dependence of Profitability and Technical and Socio-Economic Factors," Sustainability, MDPI, vol. 13(18), pages 1-12, September.

  3. Tim A. Kroencke, 2017. "Asset Pricing without Garbage," Journal of Finance, American Finance Association, vol. 72(1), pages 47-98, February.
    See citations under working paper version above.
  4. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
    See citations under working paper version above.
  5. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
    See citations under working paper version above.

Books

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (4) 2013-06-16 2015-02-22 2019-10-14 2021-03-15
  2. NEP-IFN: International Finance (3) 2011-03-26 2011-03-26 2011-04-30
  3. NEP-MON: Monetary Economics (2) 2019-10-14 2021-03-15
  4. NEP-RMG: Risk Management (2) 2010-07-17 2021-03-15
  5. NEP-CBA: Central Banking (1) 2021-03-15
  6. NEP-CFN: Corporate Finance (1) 2011-04-30
  7. NEP-HRM: Human Capital and Human Resource Management (1) 2013-12-29
  8. NEP-LAB: Labour Economics (1) 2013-12-29

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