Christian C P Wolff

Biographic Data

ID7396674
NAMEChristian C P Wolff
GIVEN NAMESChristian C P
FAMILY NAMEWolff
SIGNATUREWOLFF C C P
AFFILIATIONSLuxembourg School of Business
ORCID0000-0003-2706-8120
VERIFIEDYes
TOTAL WORKS3
TOTAL CITATIONS0
AUTHOR COUNT3
EDITOR COUNT0
FIRST PUBLICATION YEAR1987
LATEST PUBLICATION YEAR2021
H-INDEX0

  • Spillovers to small business credit risk

    Open AccessDennis Bams, Magdalena Pisa et al.ARTICLESmall Business Economics2021

  • Premia in Forward Foreign Exchange as Unobserved Components

    Theo Nijman, Theo E Nijman et al.ARTICLEJournal of Business and Economic…1993

    We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the differenc…

  • Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models

    Christian C P WolffARTICLEJournal of Business and Economic…1987

    Varying-parameter estimation techniques based on recursive application of the Kalman filter are used to improve the predictive performance of a class of monetary exchange rate models. I find that allowing estimated parameters to vary over time enhances the models' forecasting performance for the dollar–pound, dollar–mark, and dollar–yen exchange rates. Contrary to earlier results in the literature, ex-post forecasts for the dollar-mark rate compa…