Andreas Schrimpf

Best Publications

• Carry Trades and Global Foreign Exchange Volatility

  Lukas Menkhoff;Lucio Sarno;Maik Schmeling;Andreas Schrimpf

  1283
  Citations

• Currency Momentum Strategies

  Lukas Menkhoff;Lucio Sarno;Lucio Sarno;Lucio Sarno;Maik Schmeling;Andreas Schrimpf

  706
  Citations

• Non-monetary news in central bank communication

  Anna Cieslak;Anna Cieslak;Andreas Schrimpf;Andreas Schrimpf

  437
  Citations

• A comprehensive look at financial volatility prediction by economic variables

  Charlotte Christiansen;Maik Schmeling;Andreas Schrimpf

  337
  Citations

• The Response of Tail Risk Perceptions to Unconventional Monetary Policy

  Masazumi Hattori;Andreas Schrimpf;Vladyslav Sushko

  188
  Citations

• Leverage and margin spirals in fixed income markets during the Covid-19 crisis

  Andreas Schrimpf;Hyun Song Shin;Vladyslav Sushko

  184
  Citations

• Information flows in foreign exchange markets: dissecting customer currency trades

  Lukas Menkhoff;Lucio Sarno;Maik Schmeling;Andreas Schrimpf

  152
  Citations

• Currency Value

  Unknown

  143
  Citations

• Dividend predictability around the world

  Jesper Rangvid;Maik Schmeling;Andreas Schrimpf

  140
  Citations

• The anatomy of the global FX market through the lens of the 2013 Triennial Survey

  Dagfinn Rime;Andreas Schrimpf

  136
  Citations

• International diversification benefits with foreign exchange investment styles

  Tim Alexander Kroencke;Felix Schindler;Andreas Schrimpf

  125
  Citations

• Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market

  Andreas Schrimpf;Michael Schröder;Richard Stehle

  111
  Citations

• Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?

  Maik Schmeling;Andreas Schrimpf

  103
  Citations

• Segmented money markets and covered interest parity arbitrage

  Dagfinn Rime;Andreas Schrimpf;Olav Syrstad

  101
  Citations

• Currency Momentum Strategies

  Lukas Menkhoff;Lukas Menkhoff;Lucio Sarno;Lucio Sarno;Maik Schmeling;Maik Schmeling;Andreas Schrimpf

  88
  Citations

• Currency Value

  Unknown

  85
  Citations

• On the construction of common size, value and momentum factors in international stock markets: A guide with applications

  Peter S Schmidt;Urs von Arx;Andreas Schrimpf;Alexander F Wagner

  84
  Citations

• Covered Interest Parity Arbitrage

  Dagfinn Rime;Andreas Schrimpf;Olav Syrstad

  69
  Citations

• Common risk factors in international stock markets

  Peter S. Schmidt;Urs von Arx;Andreas Schrimpf;Alexander F. Wagner

  64
  Citations

• FX trade execution: complex and highly fragmented

  Andreas Schrimpf;Vladyslav Sushko

  62
  Citations