Working Papers:

Non-substitutable Consumption Growth Risk
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 2020, University of Liechtenstein, LTI Asset Pricing Conference 2020 (Torino)

GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests
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), Econometric Society Winter Meeting 2019 (Rotterdam), KIT (Karlsruhe), MFA 2020 (Chicago)

Jumps and the Correlation Risk Premium: Evidence from Equity Options
with Nicole Branger, René Flacke, and Frederik Middelhoff
Abstract     Working Paper     SSRN
Presented at MFA 2020 (Chicago), North American Winter Meeting of the Econometric Society 2020 (San Diego), AFA 2020 (San Diego, poster session), FMA Conference on Derivatives and Volatility 2019 (Chicago), LTI Asset Pricing Conference 2019 (Torino), DGF 2019 (Essen), Canadian Derivatives Institute Conference 2019 (Montréal), EEA 2019 (Manchester), AFFI 2019 (Québec City), SoFiE 2019 (Shanghai), Stockholm School of Economic, WWU (Münster), KIT (Karlsruhe)


Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
with Christian Schlag and Michael Semenischev
Management Science, forthcoming
Abstract     Working Paper     Appendix     SSRN

Up- and Downside Variance Risk Premia in Global Equity Markets
with Matthias Held, Julia Kapraun, and Marcel Omachel
Journal of Banking and Finance, forthcoming
Abstract     Working Paper     Appendix     SSRN     JBF

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
with Christian Schlag and Ruediger Weber
Journal of Financial Economics, 2021, Vol 140 (1), pages 127-144
Abstract     Working Paper     SSRN     JFE

Volatility-of-Volatility Risk
with Darien Huang, Christian Schlag, and Ivan Shaliastovich
Journal of Financial and Quantitative Analysis, 2019, Vol 54 (6), pages 2423-2452
Abstract     Working Paper     Appendix     SSRN     JFQA

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

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