Auflistung nach Autor "Thimme, Julian"

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

      Schlag, Christian; Thimme, Julian; Weber, Rüdiger (2020-01-27)
      We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...

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

      Schlag, Christian; Semenischev, Michael; Thimme, Julian (2021-01-22)
      "Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...

    • Volatility-of-Volatility Risk 

      Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; Thimme, Julian (2018-05-01)
      We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...