Maxim Ulrich

Karlsruhe Institute of Technology

Professor for Financial Economics and Risk Management

Bluecherstrasse 17

Karlsruhe, Baden Württemberg 76131

Germany

http://risk.fbv.kit.edu/c-ram

SCHOLARLY PAPERS

13

DOWNLOADS

4,126

SSRN CITATIONS

33

CROSSREF CITATIONS

59

Scholarly Papers (13)

1.
Downloads 869 ( 34,173)
Citation 18

Nominal Bonds, Real Bonds, and Equity

Netspar Discussion Paper No. 12/2011-103
Number of pages: 56 Posted: 24 Dec 2011 Last Revised: 06 Mar 2012
Andrew Ang and Maxim Ulrich
BlackRock, Inc and Karlsruhe Institute of Technology
Downloads 570 (59,219)
Citation 10

Abstract:

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term structure, yield curve, equity risk premium, Fed model, TIPS, Taylor rule

Nominal Bonds, Real Bonds, and Equity

Number of pages: 56 Posted: 02 Nov 2011 Last Revised: 17 Apr 2012
Andrew Ang and Maxim Ulrich
BlackRock, Inc and Karlsruhe Institute of Technology
Downloads 299 (126,375)
Citation 9

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Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule

2.

Inflation Ambiguity and the Term Structure of U.S. Government Bonds

AFA 2008 New Orleans Meetings Paper
Number of pages: 35 Posted: 14 Nov 2008 Last Revised: 29 Aug 2012
Maxim Ulrich
Karlsruhe Institute of Technology
Downloads 651 (50,517)
Citation 32

Abstract:

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Term premium, inflation ambiguity premium, model uncertainty, yield curve, multiple prior

3.

How does the Bond Market Perceive Government Interventions?

Columbia Business School Research Paper No. 12/42
Number of pages: 69 Posted: 10 Mar 2010 Last Revised: 15 Mar 2013
Maxim Ulrich
Karlsruhe Institute of Technology
Downloads 600 (56,189)
Citation 24

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policy uncertainty, fiscal multiplier, policy premium, option implied volatility, knightian ambiguity

4.

Economic Policy Uncertainty & Asset Price Volatility

Number of pages: 60 Posted: 10 Mar 2010 Last Revised: 08 Nov 2012
Maxim Ulrich
Karlsruhe Institute of Technology
Downloads 532 (65,261)
Citation 10

Abstract:

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Policy Uncertainty, Economic Uncertainty, Monetary Policy, Volatility, Bond Option, Knightian Uncertainty, Yield Curve

5.

A Model-Free Term Structure of U.S. Dividend Premiums

Number of pages: 56 Posted: 04 Aug 2018 Last Revised: 29 May 2019
Maxim Ulrich, Stephan Florig and Christian Wuchte
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 265 (144,073)
Citation 1

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Dividend Risk Premium, Dividend Term Structure, Dividend Growth

6.

Option-Implied Information: What's the Vol Surface Got to Do With It?

Number of pages: 32 Posted: 11 Jun 2018 Last Revised: 25 Jan 2019
Maxim Ulrich and Simon Walther
Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 259 (147,417)
Citation 1

Abstract:

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option-implied, risk-neutral variance, risk-neutral density, tail risk, option standardization, interpolation, performance measurement

7.

Forward-looking P

Number of pages: 37 Posted: 17 Aug 2019
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, ETH Zürich and Karlsruhe Institute of Technology
Downloads 243 (156,878)
Citation 1

Abstract:

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physical density, density prediction, neural network, option-implied, forward-looking, return forecast, variance forecast, machine learning

8.

The Euro Crisis and the 24h Pre-ECB Announcement Return

Number of pages: 55 Posted: 22 Aug 2017 Last Revised: 28 Sep 2019
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 231 (164,707)

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Announcement returns, ECB meetings, euro crisis, uncertainty

9.

The Real Risk-Free Rate and the Price of Equity: What Role does Macroeconomic Uncertainty Play?

Number of pages: 66 Posted: 27 May 2012 Last Revised: 29 Sep 2012
Maxim Ulrich
Karlsruhe Institute of Technology
Downloads 212 (178,739)

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$\alpha$-maxmin preferences, Estimating Ambiguity and Risk Attitudes, Knightian Uncertainty, Equity Pricing, Macroeconomic Risks

10.

The Real-Time Impact of ECB Press Conferences on Financial Markets

Number of pages: 60 Posted: 16 Aug 2019
Maxim Ulrich, Elmar Jakobs and Richard Tran
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 87 (358,100)
Citation 1

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information flow, central bank communication, announcement returns, euro crisis, textual analysis

11.

A Macro-Finance Term Structure Model for Bond and Dividend Discount Rates

Number of pages: 54 Posted: 12 Jun 2019
Stephan Florig, Maxim Ulrich and Sven Schoemer
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 84 (363,271)

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Bond Risk Premium, Dividend Risk Premium, Term Structure Model

12.

Monetary Policy During Liquidity Dry-Ups

Number of pages: 42 Posted: 22 Aug 2017 Last Revised: 23 Aug 2017
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology
Downloads 57 (447,229)

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liquidity, global shocks, multi-country, monetary policy

13.

Characteristics of Model-Free Pricing Kernels

Number of pages: 41 Posted: 09 Jan 2021
Maxim Ulrich and Simon Walther
Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 36 (537,658)

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pricing kernel, model-free, density estimator, neural networks