| Volatility-of-volatility risk D Huang, C Schlag, I Shaliastovich, J Thimme Journal of Financial and Quantitative Analysis 54 (6), 2423-2452, 2019 | 173 | 2019 |
| Intertemporal substitution in consumption: A literature review J Thimme Journal of Economic Surveys 31 (1), 226-257, 2017 | 154 | 2017 |
| Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024 | 149 | 2024 |
| 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 | 42 | 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 | 27* | 2021 |
| 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 | 17* | 2020 |
| A skeptical appraisal of robust asset pricing tests TA Kroencke, J Thimme Proceedings of Paris December 2021 Finance Meeting EUROFIDAI-ESSEC, 2021 | 11 | 2021 |
| Nonsubstitutable Consumption Growth Risk RF Dittmar, C Schlag, J Thimme Management Science 71 (6), 4847-4876, 2025 | 10* | 2025 |
| Does ambiguity about volatility matter empirically? N Branger, C Schlag, J Thimme Available at SSRN 2536345, 2016 | 7 | 2016 |
| GMM weighting matrices in cross-sectional asset pricing tests N Laurinaityte, C Meinerding, C Schlag, J Thimme Journal of Banking & Finance 162, 107123, 2024 | 6* | 2024 |
| High order smooth ambiguity preferences and asset prices J Thimme, C Völkert Review of Financial Economics 27, 1-15, 2015 | 6 | 2015 |
| Following the Footprints: Towards a Taxonomy of the Factor Zoo J Böll, F Meng, J Thimme, M Uhrig-Homburg Available at SSRN 4702435, 2024 | 5 | 2024 |
| 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 | 4 | 2013 |
| Anomalies and Optionability J Böll, J Thimme, M Uhrig‐Homburg Available at SSRN 4300137, 2022 | 2 | 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 | 2 | 2021 |
| Jumps and the Correlation Risk Premium: Evidence from Equity Options N Branger, RM Flacke, TF Middelhoff, J Thimme Available at SSRN 3448522, 2021 | 1 | 2021 |
| Understanding Asset Pricing Factors J Thimme, V Klaus Available at SSRN, 2025 | | 2025 |
| Text-based Macro Data and Asset Prices J Thimme, V Klaus Available at SSRN, 2025 | | 2025 |
| Nonstandard Errors A Dreber, F Holzmeister, J Huber, M Johannesson, M Kirchler, S Neusüß, ... The Journal of Finance, 2024 | | 2024 |
| Do Option Traders Boost Stock Anomalies? M Hofmann, J Thimme, M Uhrig-Homburg | | 2019 |
Ivan ShaliastovichProfessor of Finance, University of Wisconsin MadisonVerified email at wisc.edu
