Maxim Ulrich

Karlsruhe Institute of Technology

Professor for Financial Economics and Risk Management

Bluecherstrasse 17

Karlsruhe, Baden W├╝rttemberg 76131

Germany

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

SCHOLARLY PAPERS

12

DOWNLOADS

3,344

SSRN CITATIONS

16

CROSSREF CITATIONS

30

Scholarly Papers (12)

1.
Downloads 770 ( 31,644)
Citation 6

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 495 (55,947)
Citation 6

Abstract:

Loading...

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 275 (111,044)
Citation 6

Abstract:

Loading...

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 638 (40,806)
Citation 20

Abstract:

Loading...

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 545 (50,054)
Citation 24

Abstract:

Loading...

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 468 (60,725)
Citation 5

Abstract:

Loading...

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

5.

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 206 (148,834)

Abstract:

Loading...

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

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 182 (166,838)

Abstract:

Loading...

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

7.

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 164 (182,761)

Abstract:

Loading...

Announcement returns, ECB meetings, euro crisis, uncertainty

8.

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 162 (184,633)

Abstract:

Loading...

Dividend Risk Premium, Dividend Term Structure, Dividend Growth

9.

Forward-looking P

Number of pages: 37 Posted: 17 Aug 2019
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, ETH Zurich and Karlsruhe Institute of Technology
Downloads 100 (267,226)

Abstract:

Loading...

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

10.

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 46 (405,412)

Abstract:

Loading...

liquidity, global shocks, multi-country, monetary policy

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 39 (431,981)

Abstract:

Loading...

Bond Risk Premium, Dividend Risk Premium, Term Structure Model

12.

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 24 (503,073)

Abstract:

Loading...

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