Julian Thimme

Karlsruhe Institute of Technology

Kaiserstraße 12

Karlsruhe, Baden Württemberg 76131

Germany

http://julianthimme.de

SCHOLARLY PAPERS

11

DOWNLOADS

3,944

SSRN CITATIONS

8

CROSSREF CITATIONS

31

Scholarly Papers (11)

1.
Downloads 1,472 ( 13,089)
Citation 3

Volatility-of-Volatility Risk

Number of pages: 65 Posted: 19 Sep 2014 Last Revised: 19 Feb 2018
Cornell University - Department of Finance, Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,236 (16,818)
Citation 2

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210
Number of pages: 62 Posted: 29 May 2018 Last Revised: 04 Jun 2018
Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 236 (138,899)
Citation 1

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volatility of volatility, hedging errors, risk premiums

2.

Elephants and the Cross-Section of Expected Returns

Number of pages: 37 Posted: 21 Nov 2017 Last Revised: 15 Mar 2019
Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Deutsche Bundesbank, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 627 (44,923)
Citation 1

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Asset pricing, cross-section of expected returns, GMM, factor zoo

3.

Up- and Downside Variance Risk Premia in Global Equity Markets

Number of pages: 36 Posted: 04 Jun 2018 Last Revised: 03 Jun 2020
WHU - Otto Beisheim School of Management, Goethe University Frankfurt - House of Finance, WHU - Otto Beisheim School of Management and Karlsruhe Institute of Technology
Downloads 429 (72,334)
Citation 4

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variance risk premium, semivariance, semimoment, derivatives

4.

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

SAFE Working Paper No. 265
Number of pages: 78 Posted: 09 Dec 2016 Last Revised: 03 Feb 2020
Christian Schlag, Julian Thimme and Rüdiger Weber
Leibniz Institute for Financial Research SAFE, Karlsruhe Institute of Technology and WU Vienna
Downloads 316 (102,813)
Citation 2

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Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing

5.

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

Number of pages: 84 Posted: 02 Jun 2016 Last Revised: 18 Nov 2019
Leibniz Institute for Financial Research SAFE, University of Muenster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 247 (133,279)

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Asset pricing, cross-section of stock returns, predictability

Intertemporal Substitution in Consumption: A Literature Review

Number of pages: 59 Posted: 17 Dec 2015
Julian Thimme
Karlsruhe Institute of Technology
Downloads 233 (140,625)
Citation 2

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Consumption, intertemporal substitution, literature review

Intertemporal Substitution in Consumption: A Literature Review

Journal of Economic Surveys, Vol. 31, Issue 1, pp. 226-257, 2017
Number of pages: 32 Posted: 29 Jan 2017
Julian Thimme
Karlsruhe Institute of Technology
Downloads 2 (713,749)
Citation 2
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Consumption, Intertemporal substitution, literature review

7.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 225 (146,009)

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Ambiguity, ambiguous volatility, asset pricing, long-run risks

High Order Smooth Ambiguity Preferences and Asset Prices

Review of Financial Economics, Vol. 27, 2015
Number of pages: 41 Posted: 25 Jan 2012 Last Revised: 26 Nov 2017
Julian Thimme and Clemens Völkert
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster
Downloads 110 (267,190)

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Ambiguity aversion, asset pricing, long-run risks

High Order Smooth Ambiguity Preferences and Asset Prices

Number of pages: 41 Posted: 15 Mar 2012 Last Revised: 23 Nov 2017
Julian Thimme and Clemens Völkert
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster
Downloads 36 (481,629)

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Ambiguity aversion, asset pricing, long-run risks

9.

Returns on Cyclical and Defensive Stocks in Times of Scarce Information about the Business Cycle

Number of pages: 43 Posted: 12 Jun 2012 Last Revised: 10 Apr 2013
Nicole Branger, Patrick Konermann and Julian Thimme
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Karlsruhe Institute of Technology
Downloads 145 (215,663)

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Asset Pricing, Epstein-Zin utility, Lucas Orchard, Learning, Information Quality

10.

Non-substitutable consumption growth risk

Number of pages: 52 Posted: 30 Nov 2018 Last Revised: 03 Jun 2020
Robert F. Dittmar, Christian Schlag and Julian Thimme
University of Michigan, Stephen M. Ross School of Business, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 102 (280,277)
Citation 1

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asset pricing, consumption, cross-section of stock returns, utility functions

11.

Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment

Journal of Business and Economic Statistics 33 (3), 418-429, 2015
Posted: 31 Jan 2013 Last Revised: 24 Nov 2017
Julian Thimme and Clemens Völkert
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster

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ambiguity aversion, asset pricing, cross-section of returns