Julian Thimme

Karlsruhe Institute of Technology

Kaiserstraße 12

Karlsruhe, Baden Württemberg 76131

Germany

http://julianthimme.de

SCHOLARLY PAPERS

11

DOWNLOADS

3,540

CITATIONS

21

Scholarly Papers (11)

1.
Downloads 1,366 ( 13,382)
Citation 3

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 - Research Center SAFE, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,154 (17,021)
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
Goethe University Frankfurt - Research Center SAFE, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 212 (142,657)

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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, Goethe University Frankfurt - Research Center SAFE and Karlsruhe Institute of Technology
Downloads 564 (47,318)
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: 44 Posted: 04 Jun 2018
WHU - Otto Beisheim School of Management, Goethe University Frankfurt - House of Finance, WHU - Otto Beisheim School of Management and Karlsruhe Institute of Technology
Downloads 405 (71,365)
Citation 3

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variance risk premium, semivariance, semimoment, derivatives

4.

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

Number of pages: 78 Posted: 09 Dec 2016 Last Revised: 05 Jun 2019
Christian Schlag, Julian Thimme and Rüdiger Weber
Goethe University Frankfurt - Research Center SAFE, Karlsruhe Institute of Technology and University of Michigan, Stephen M. Ross School of Business
Downloads 232 (131,028)
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: 55 Posted: 02 Jun 2016 Last Revised: 26 Jul 2018
Goethe University Frankfurt - Research Center SAFE, University of Muenster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 220 (138,020)

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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 214 (141,381)
Citation 1

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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 (666,990)
Citation 3
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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, Goethe University Frankfurt - Research Center SAFE and Karlsruhe Institute of Technology
Downloads 205 (147,544)

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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 106 (254,876)

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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 34 (457,573)

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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 130 (218,238)

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

10.

Fuel is Pumping Premiums: A Consumption-Based Explanation of the Value Anomaly

Number of pages: 60 Posted: 30 Nov 2018
Robert F. Dittmar, Christian Schlag and Julian Thimme
University of Michigan, Stephen M. Ross School of Business, Goethe University Frankfurt - Research Center SAFE and Karlsruhe Institute of Technology
Downloads 62 (349,183)

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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