Julian Thimme

Karlsruhe Institute of Technology

Kaiserstraße 12

Karlsruhe, Baden Württemberg 76131

Germany

http://julianthimme.de

SCHOLARLY PAPERS

13

DOWNLOADS

4,470

SSRN CITATIONS

21

CROSSREF CITATIONS

30

Scholarly Papers (13)

1.
Downloads 1,565 ( 12,952)
Citation 5

Volatility-of-Volatility Risk

Number of pages: 65 Posted: 19 Sep 2014 Last Revised: 19 Feb 2018
Cornell University - Department of Finance, Goethe University Frankfurt, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,293 (17,089)
Citation 2

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 29 May 2018 Last Revised: 02 Sep 2020
Goethe University Frankfurt, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 272 (129,051)
Citation 2

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volatility of volatility, hedging errors, risk premiums

2.

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 453 (73,138)
Citation 5

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variance risk premium, semivariance, semimoment, derivatives

3.

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
Goethe University Frankfurt, Karlsruhe Institute of Technology and WU Vienna
Downloads 372 (92,136)
Citation 3

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

4.

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

SAFE Working Paper No. 289
Number of pages: 51 Posted: 02 Jun 2016 Last Revised: 22 Jan 2021
Goethe University Frankfurt, University of Muenster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 291 (120,756)

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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 262 (134,201)
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 (758,679)
Citation 4
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Consumption, Intertemporal substitution, literature review

6.

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, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 243 (145,337)

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

7.

Jumps and the Correlation Risk Premium: Evidence from Equity Options

Number of pages: 50 Posted: 13 Sep 2019 Last Revised: 25 Jan 2021
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 176 (196,078)

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Asset Pricing, Correlation, Financial Economics, Options, Risk Premium, Stock Market Forecasting

8.

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 166 (206,198)

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

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 116 (274,989)

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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 (513,457)

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Ambiguity aversion, asset pricing, long-run risks

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, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 128 (255,984)
Citation 1

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

11.

GMM Weighting Matrices In Cross-Sectional Asset Pricing Tests

Deutsche Bundesbank Discussion Paper No. 62/2020
Number of pages: 41 Posted: 16 Dec 2020
Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Deutsche Bundesbank, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 11 (656,503)

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

12.

GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests

Number of pages: 58 Posted: 21 Nov 2017
Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Deutsche Bundesbank, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 649

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

13.

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