Julian Thimme

Goethe University Frankfurt - House of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

High Order Smooth Ambiguity Preferences and Asset Prices

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 41 Posted: 25 Jan 2012 Last Revised: 21 Feb 2013
Julian Thimme and Clemens Völkert
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster
Downloads 102 (216,770)

Abstract:

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: 02 Nov 2012
Julian Thimme and Clemens Völkert
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster
Downloads 32 (391,253)

Abstract:

Ambiguity aversion, asset pricing, long-run risks

Intertemporal Substitution in Consumption: A Literature Review

Number of pages: 59 Posted: 17 Dec 2015
Julian Thimme
Goethe University Frankfurt - House of Finance
Downloads 122 (189,871)

Abstract:

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
Goethe University Frankfurt - House of Finance
Downloads 2 (554,189)

Abstract:

Consumption, Intertemporal substitution, literature review

3.

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 Goethe University Frankfurt - House of Finance
Downloads 74 (211,298)

Abstract:

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

4.

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 - Research Center SAFE and Goethe University Frankfurt - House of Finance
Downloads 36 (175,719)

Abstract:

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

5.

Implied Volatility Duration and the Early Resolution Premium

Number of pages: 51 Posted: 09 Dec 2016
Christian Schlag, Julian Thimme and Rüdiger Weber
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt
Downloads 0 (264,186)

Abstract:

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

6.

Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks

Number of pages: 72 Posted: 02 Jun 2016
Goethe University Frankfurt - Research Center SAFE, University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 0 (205,606)

Abstract:

Asset pricing, cross-section of stock returns, long-run risks, predictability

7.

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

Journal of Business and Economic Statistics, Forthcoming
Posted: 31 Jan 2013 Last Revised: 11 Nov 2014
Julian Thimme and Clemens Völkert
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster

Abstract:

ambiguity aversion, asset pricing, cross-section of returns