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Information about:
Christian Wolff

Personal Details | Affiliation | Works
This is information that was supplied by Christian Wolff in registering through RePEc. If you are Christian Wolff , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Christian
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Last Name: Wolff
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RePEc Short-ID: pwo136

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  2. Straetmans, Stefan & Versteeg, Roald & Wolff, Christian C, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  3. Rodney C Wolff & Peter Hall, 2006. "Properties of invariant distributions and Lyapunov exponents for chaotic logistic maps," Rodney Wolff Papers 2006-13, School of Economics and Finance, Queensland University of Technology. [Downloadable!]

  4. van Tol, Michel R & Wolff, Christian C, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  5. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  6. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2005. "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers 4960, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  7. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  8. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  9. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  10. Bams, Dennis & Wolff, Christian C, 2000. "Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach," CEPR Discussion Papers 2392, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  11. Bams, D. & Wolff, C., 1998. "Risk Premia in Term Structure of Interest Rates: A Panel Data Approach," Papers 98-50, Southern California - School of Business Administration.

  12. Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991. "Premia in Forward Foreign Exchange as Unobserved Components," Papers 9112, Tilburg - Center for Economic Research.

  13. Fred G M C Nieuwland & Willem F C Verschoor & Christian C P Wolff, 1990. "EMS Exchange Rates," CEPR Financial Markets Paper 0002, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG.

  14. Wolff, Christian C, 1987. "Exchange Rates, Innovations and Forecasting," CEPR Discussion Papers 188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  15. Wolff, Christian C, 1987. "Forward Exchange Rates and Expected Future Spot Rates," CEPR Discussion Papers 187, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  16. Wolff, Christian C, 1987. "Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," CEPR Discussion Papers 189, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

Articles

  1. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42. [Downloadable!]

  2. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Blackwell Publishing, vol. 22(1), pages 140-165, 02. [Downloadable!] (restricted)

  3. Palm, Franz C. & Werner, Ingrid M. & Wolff, Christian C.P., 2006. "Introduction to the special issue on International Finance," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 393-395, October. [Downloadable!] (restricted)

  4. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October. [Downloadable!] (restricted)
    Other versions:

  5. Lehnert, Thorsten & Wolff, Christian C. P., 2004. "Scale-consistent Value-at-Risk," Finance Research Letters, Elsevier, vol. 1(2), pages 127-134, June. [Downloadable!] (restricted)

  6. De Bondt, Werner & Palm, Franz & Wolff, Christian, 2004. "Introduction to the special issue on behavioral finance," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 423-427, September. [Downloadable!] (restricted)

  7. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C. P., 2004. "More evidence on the dollar risk premium in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 271-282, March. [Downloadable!] (restricted)
    Other versions:

  8. Bams, Dennis & Wolff, Christian C. P., 2003. "Risk premia in the term structure of interest rates: a panel data approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 211-236, July. [Downloadable!] (restricted)
    Other versions:

  9. Verschoor, Willem F C & Wolff, Chritian C P, 2002. "Scandinavian Exchange Rate Expectations," Applied Economics Letters, Taylor and Francis Journals, vol. 9(2), pages 111-16, February. [Downloadable!] (restricted)

  10. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 157-174. [Downloadable!] (restricted)

  11. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Scandinavian forward discount bias risk premia," Economics Letters, Elsevier, vol. 73(1), pages 65-72, October. [Downloadable!] (restricted)

  12. Wolff, Christian C. P., 2000. "Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 1-8, January. [Downloadable!] (restricted)

  13. Wolff, Christian C P, 2000. "Forward Foreign Exchange Rates and Expected Future Spot Rates," Applied Financial Economics, Taylor and Francis Journals, vol. 10(4), pages 371-77, August. [Downloadable!] (restricted)

  14. Nieuwland, Frederick G M C & Verschoor, Willem F C & Wolff, Christian C P, 2000. "Exchange Risk Premia in the European Monetary System," Applied Financial Economics, Taylor and Francis Journals, vol. 10(4), pages 351-60, August. [Downloadable!] (restricted)

  15. Stefano Cavaglia & Willem F. C. Verschoor & Christian C. P. Wolff & Kees G. Koedijk, 1998. "Interest expectations and exchange rates news," Empirical Economics, Springer, vol. 23(4), pages 525-534. [Downloadable!] (restricted)

  16. Harald A. Benink & Christian C.P. Wolff, 1998. "Survey data and the interest rate sensitivity of U.S. bank stock returns," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 454-463.

  17. Nieuwland, Frederick G. M. C. & Verschoor, Willem F. C. & C.P. Wolff, Christian, 1998. "EMS exchange rate expectations and time-varying risk premia," Economics Letters, Elsevier, vol. 60(3), pages 351-355, September. [Downloadable!] (restricted)

  18. Koedijk, Kees G. & Wolff, Christian C. P., 1996. "Exchange rate returns, 'news', and risk premia," Economics Letters, Elsevier, vol. 50(1), pages 127-134, January. [Downloadable!] (restricted)

  19. Cavaglia, Stefano M. F. G. & Wolff, Christian C. P., 1996. "A note on the determinants of unexpected exchange rate movements," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 179-188, January. [Downloadable!] (restricted)

  20. Nieuwland, Frederick G M C & Verschoor, Willem F C & Wolff, Christian C P, 1994. "Stochastic trends and jumps in EMS exchange rates," Journal of International Money and Finance, Elsevier, vol. 13(6), pages 699-727, December. [Downloadable!] (restricted)

  21. Cavaglia, Stefano M F G & Verschoor, Willem F C & Wolff, Christian C P, 1994. "On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?," Journal of Business, University of Chicago Press, vol. 67(3), pages 321-43, July. [Downloadable!] (restricted)

  22. Nijman, Theo E & Palm, Franz C & Wolff, Christian C P, 1993. "Premia in Forward Foreign Exchange as Unobserved Components: A Note," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 361-65, July.

  23. Baillie, Richard T. & Palm, Franz C. & Pfann, Gerard A. & Vermaelen, Theo J. & Wolff, Christian C. P., 1993. "Statement by the editors," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 1-2, June. [Downloadable!] (restricted)

  24. Cavaglia Stefano & Verschoor Willem F. C. & Wolff Christian C. P., 1993. "Asian Exchange Rate Expectations," Journal of the Japanese and International Economies, Elsevier, vol. 7(1), pages 57-77, March. [Downloadable!] (restricted)

  25. Cavaglia, Stefano & Verschoor, Willem F. C. & Wolff, Christian C. P., 1993. "Further evidence on exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 78-98, February. [Downloadable!] (restricted)

  26. Wolff, Christian C. P., 1988. "Models of exchange rates : A comparison of forecasting results," International Journal of Forecasting, Elsevier, vol. 4(4), pages 605-607. [Downloadable!] (restricted)

  27. Wolff, Christian C. L., 1988. "Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models : Christian C.P. Wolff, Journal of Business & Economic Statistics 5 (1987) 87-97," International Journal of Forecasting, Elsevier, vol. 4(4), pages 629-630. [Downloadable!] (restricted)

  28. Wolff, Christian C. P., 1988. "Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models," Economics Letters, Elsevier, vol. 27(2), pages 141-143. [Downloadable!] (restricted)

  29. Wolff, Christian C. P., 1988. "Exchange rates, innovations and forecasting," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 49-61, March. [Downloadable!] (restricted)
    Other versions:

  30. Wolff, Christian C P, 1987. "Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 87-97, January.

  31. Wolff, Christian C P, 1987. " Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June. [Downloadable!] (restricted)
    Other versions:

  32. Wolff, Christian C. P., 1986. "Exchange rate models and innovations : A derivation," Economics Letters, Elsevier, vol. 20(4), pages 373-376. [Downloadable!] (restricted)

Editor

  1. Journal of Empirical Finance, Elsevier.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2008-04-12 2008-04-12 Author is listed
  2. NEP-CFN: Corporate Finance (1) 2003-02-18
  3. NEP-ECM: Econometrics (4) 2003-02-26 2005-06-14 2005-06-14 2007-02-24 Author is listed
  4. NEP-ETS: Econometric Time Series (2) 2005-06-14 2005-06-14 Author is listed
  5. NEP-FIN: Finance (4) 2003-02-18 2003-04-09 2005-06-14 2005-06-14 Author is listed
  6. NEP-FMK: Financial Markets (4) 2003-02-18 2003-04-09 2005-06-14 2005-06-14 Author is listed
  7. NEP-IFN: International Finance (5) 2003-02-18 2003-04-09 2005-06-14 2008-04-12 2008-04-12 Author is listed
  8. NEP-MAC: Macroeconomics (2) 2005-06-14 2008-04-12 Author is listed
  9. NEP-MON: Monetary Economics (1) 2008-04-12
  10. NEP-MST: Market Microstructure (1) 2008-04-12
  11. NEP-OPM: Open MacroEconomics (1) 2008-04-12
  12. NEP-RMG: Risk Management (3) 2003-02-18 2003-04-09 2005-06-14 Author is listed
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