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Andreas Schrimpf

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Personal Details

First Name: Andreas
Middle Name:
Last Name: Schrimpf
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RePEc Short-ID: psc349

Email: [This author has chosen not to make the email address public]
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Affiliation

(50%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
Fax:
Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)
(50%) Bank for International Settlements (BIS)
Location: Basel, Switzerland
Homepage: http://www.bis.org/
Email:
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Postal: Centralbahnplatz 2, CH - 4002 Basel
Handle: RePEc:edi:bisssch (more details at EDIRC)

Works

as in new window

Working papers

  1. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information Flows in Dark Markets: Dissecting Customer Currency Trades," BIS Working Papers 405, Bank for International Settlements.
  2. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013. "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers 425, Bank for International Settlements.
  3. Olaf Posch & Andreas Schrimpf, 2012. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers 2012-32, School of Economics and Management, University of Aarhus.
  4. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011. "Currency Momentum Strategies," BIS Working Papers 366, Bank for International Settlements.
  5. Peter S. Schmidt & Andreas Schrimpf & Urs von Arx & Alexander F. Wagner & Andreas Ziegler, 2011. "On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications," CER-ETH Economics working paper series 11/141, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  6. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
  7. Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  8. Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010. "Macro Expectations, Aggregate Uncertainty, and Expected Term Premia," CREATES Research Papers 2010-49, School of Economics and Management, University of Aarhus.
  9. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, School of Economics and Management, University of Aarhus.
  10. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, School of Economics and Management, University of Aarhus.
  11. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany.
  12. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2009. "Higher-order beliefs among professional stock market forecasters: some first empirical tests," ZEW Discussion Papers 09-042, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  13. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009. "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers 2009-57, School of Economics and Management, University of Aarhus.
  14. Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009. "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers 09-02, University of Cologne, Centre for Financial Research (CFR).
  15. Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  16. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  17. Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  18. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-43, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  19. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

Articles

  1. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013. "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, vol. 58(C), pages 58-80.
  2. 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.
  3. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2013. "What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 109-129.
  4. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Carry Trades and Global Foreign Exchange Volatility," Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, 04.
  5. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, 09.
  6. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  7. Schmeling, Maik & Schrimpf, Andreas, 2011. "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
  8. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
  9. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
  10. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  11. Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009. "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 511-532.
  12. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
  13. Andreas Schrimpf & Michael Schröder & Richard Stehle, 2007. "Cross-sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 13(5), pages 880-907.

NEP Fields

21 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (3) 2008-09-13 2009-12-05 2010-09-11
  2. NEP-CBA: Central Banking (3) 2008-05-31 2010-09-03 2010-11-13
  3. NEP-CFN: Corporate Finance (2) 2007-03-10 2011-04-30
  4. NEP-ECM: Econometrics (1) 2008-09-13
  5. NEP-EEC: European Economics (1) 2007-03-10
  6. NEP-FOR: Forecasting (3) 2009-09-19 2010-09-11 2012-06-25
  7. NEP-IFN: International Finance (3) 2011-03-19 2011-03-26 2011-04-30
  8. NEP-MAC: Macroeconomics (6) 2008-05-31 2008-09-13 2010-09-03 2010-11-13 2012-07-23 2014-02-02. Author is listed
  9. NEP-MON: Monetary Economics (2) 2008-05-31 2012-04-17
  10. NEP-MST: Market Microstructure (1) 2011-03-19
  11. NEP-OPM: Open Economy Macroeconomics (1) 2011-03-19
  12. NEP-RMG: Risk Management (3) 2007-03-10 2008-09-13 2011-02-12
  13. NEP-UPT: Utility Models & Prospect Theory (3) 2010-09-03 2010-11-13 2012-07-23

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