Articles in Refereed Journals:

Volatility-of-Volatility Risk
with Darien Huang, Christian Schlag, and Ivan Shaliastovich
Forthcoming in the Journal of Financial and Quantitative Analysis
Abstract     Working Paper     Appendix     SSRN     JFQA

Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment   
with Clemens Voelkert   
Journal of Business and Economic Statistics, 2015, Vol 33 (3), pages 418-429
Abstract     Working Paper     Appendix    SSRN     JBES

High Order Smooth Ambiguity Preferences and Asset Prices
with Clemens Voelkert  
Review of Financial Economics, 2015, Vol 27, pages 1-15
Abstract     Working Paper     SSRN     RFE

Intertemporal Substitution in Consumption: A Literature Review
Journal of Economic Surveys, 2017, Vol 31 (1), pages 226–257
Abstract     Working Paper     SSRN     JES


Working Papers:

Implied Volatility Duration and the Early Resolution Premium
with Christian Schlag and Ruediger Weber
Revise & Resubmit in the Journal of Financial Economics
Abstract     Working Paper     SSRN
Presented at EFA 2017 (Mannheim), EEA 2017 (Lisbon), DGF 2017 (Ulm), AFFI 2017 (Valence), CFR 2017 (Cologne), Goethe (Frankfurt), UZH (Zurich), The Wharton School, AEA Poster Session 2018 (Philadelphia), Sauder at UBC (Vancouver), MFA 2018 (San Antonio), Kenan-Flagler at UNC (Chapel Hill), SGF 2018 (Zurich), SFS Cavalcade 2018 (Yale), Midwest Macroeconomics Meetings 2018 (Madison)
Winner of the Best Paper Award of the Annual Meeting of the German Finance Association 2017

Does Ambiguity about Volatility Matter Empirically?
with Nicole Branger and Christian Schlag
Revise & Resubmit in the Journal of Financial Economics
Abstract     Working Paper     SSRN
Presented at EFA 2016 (Oslo), EEA 2016 (Geneva), Empirial Asset Pricing Workshop 2016 (Kiel), DGF 2015 (Leipzig), SGF 2015 (Zurich), Arne Ryde Workshop 2015 (Lund), CFR 2015 (Cologne), UNC (Chapel Hill), Fuqua (Duke), NCSU (Raleigh), UZH (Zurich), Goethe (Frankfurt), WWU (Muenster), Humboldt (Berlin), WHU (Koblenz)

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
with Christian Schlag and Michael Semenischev
Revise & Resubmit in Management Science
Abstract     Working Paper     SSRN
Presented at EFA 2018 (Warsaw), MFA 2018 (San Antonio), EEA 2017 (Lisbon), SGF 2017 (Zurich), DGF 2016 (Bonn), MMF 2016 (Bath), Goethe (Frankfurt), WWU (Münster)

Up- and Downside Variance Risk Premia in Global Equity Markets
with Matthias Held, Julia Kapraun, and Marcel Omachel
Revise & Resubmit in the Journal of Banking and Finance
Abstract     Working Paper     SSRN
Presented at SGF 2015 (Zurich), FIRS 2015 (Reykjavik), WHU (Koblenz), AFFI 2018 (Paris), DGF 2018 (Trier)              

Elephants and the Cross-Section of Expected Returns
with Nora Laurinaityte, Christoph Meinerding, and Christian Schlag
Abstract     Working Paper     SSRN
Presented at Goethe (Frankfurt), Deutsche Bundesbank, SGF 2018 (Zurich), Frontiers in Factor Investing 2018 (Lancaster), DGF 2019* (Essen)        *scheduled

Fuel is Pumping Premiums: A Consumption-based Explanation of the Value Anomaly
with Robert Dittmar and Christian Schlag
Abstract     Working Paper     SSRN
Presented at Goethe (Frankfurt), KIT (Karlsruhe), UZH (Zurich), Leibniz University (Hannover), MFA 2019 (Chicago), Wisconsin (Madison), SGF 2019 (Zurich), EFA 2019 (Lisbon), DGF 2019* (Essen), Aarhus University*, Paris December Finance Meeting*        *scheduled