| Volatility-of-volatility risk D Huang, C Schlag, I Shaliastovich, J Thimme Journal of Financial and Quantitative Analysis 54 (6), 2423-2452, 2019 | 121 | 2019 |
| Intertemporal substitution in consumption: A literature review J Thimme Journal of Economic Surveys 31 (1), 226-257, 2017 | 112 | 2017 |
| Non-standard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... | 47 | 2021 |
| Ambiguity in the cross-section of expected returns: An empirical assessment J Thimme, C Völkert Journal of Business & Economic Statistics 33 (3), 418-429, 2015 | 37 | 2015 |
| Implied volatility duration: A measure for the timing of uncertainty resolution C Schlag, J Thimme, R Weber Journal of Financial Economics 140 (1), 127-144, 2021 | 24* | 2021 |
| A skeptical appraisal of robust asset pricing tests TA Kroencke, J Thimme Proceedings of Paris December 2021 Finance Meeting EUROFIDAI-ESSEC, 2021 | 9 | 2021 |
| Does ambiguity about volatility matter empirically? N Branger, C Schlag, J Thimme Available at SSRN 2536345, 2016 | 7 | 2016 |
| Up-and downside variance risk premia in global equity markets M Held, J Kapraun, M Omachel, J Thimme Journal of Banking & Finance 118, 105875, 2020 | 5 | 2020 |
| High order smooth ambiguity preferences and asset prices J Thimme, C Völkert Review of Financial Economics 27, 1-15, 2015 | 5 | 2015 |
| Non-substitutable consumption growth risk RF Dittmar, C Schlag, J Thimme Available at SSRN 3289249, 2020 | 4* | 2020 |
| Returns on cyclical and defensive stocks in times of scarce information about the business cycle N Branger, P Konermann, J Thimme Available at SSRN 2082488, 2013 | 3 | 2013 |
| Elephants and the Cross-Section of Expected Returns N Laurinaityte, C Meinerding, C Schlag, J Thimme SSRN Electron. J., 2017 | 2* | 2017 |
| Anomalies and Optionability J Böll, J Thimme, M Uhrig‐Homburg Available at SSRN 4300137, 2022 | 1 | 2022 |
| Predictability and the cross-section of expected returns: A challenge for asset pricing models C Schlag, M Semenischev, J Thimme Management Science 67 (12), 7932-7950, 2021 | 1 | 2021 |
| GMM weighting matrices in cross-sectional asset pricing tests N Laurinaityte, C Meinerding, C Schlag, J Thimme Journal of Banking & Finance 162, 107123, 2024 | | 2024 |
| Following the Footprints: Towards a Taxonomy of the Factor Zoo J Böll, F Meng, J Thimme, M Uhrig-Homburg Available at SSRN, 2024 | | 2024 |
| Jumps and the Correlation Risk Premium: Evidence from Equity Options N Branger, RM Flacke, TF Middelhoff, J Thimme Available at SSRN 3448522, 2021 | | 2021 |
| Do Option Traders Boost Stock Anomalies? M Hofmann, J Thimme, M Uhrig-Homburg | | 2019 |
| Volatility-of-Volatility Risk C Schlag, I Shaliastovich, J Thimme, D Huang SAFE Working Paper, 2018 | | 2018 |
Ivan ShaliastovichAssociate Professor of Finance, University of Wisconsin MadisonVerified email at wisc.edu
