Prof. Dr. Christian Schlag

Prof. Dr. Christian Schlag

Programmbereich:

Financial Markets

Position:

SAFE Coordinator Young Researchers, Senior Researcher

Institution:

SAFE/Goethe University

Selected Publications

Forscher/innen	Titel	Programmbereich	Publiziert
Nicole Branger, Paulo Rodrigues, Christian Schlag	Level and Slope of Volatility Smiles in Long-Run Risk Models Journal of Economic Dynamics and Control	Financial Markets, Systemic Risk Lab	2018
Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag	The Collateralizability Premium Review of Financial Studies	Financial Markets	2020
Christian Schlag, Michael Semenischev, Julian Thimme	Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models forthcoming in Management Science	Financial Markets	2020
Nicole Branger, Christian Schlag, Lue Wu	"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors Journal of Economic Dynamics and Control	Financial Markets	2015
Nicole Branger, Patrick Konermann, Christian Schlag	Optimists and Pessimists in (In)Complete Markets Journal of Financial and Quantitative Analysis	Financial Markets	2020
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag	Temperature Shocks and Welfare Costs Journal of Economic Dynamics and Control	Financial Markets	2017
Christian Schlag, Kailin Zeng	Horizontal Industry Relationships and Return Predictability Journal of Empirical Finance	Financial Markets	2019
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag	Equilibrium Asset Pricing in Directed Networks Review of Finance	Financial Markets, Systemic Risk Lab	2021
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme	Volatility-of-Volatility Risk Journal of Financial and Quantitative Analysis	Financial Markets	2019
Christian Schlag, Julian Thimme, Rüdiger Weber	Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution Journal of Financial Economics	Financial Markets	2021

SAFE Working Papers

Nr.	Forscher/innen	Titel	Programmbereich
210	Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme	Volatility-of-Volatility Risk	Financial Markets
317	Volker Flögel, Christian Schlag, Claudia Zunft	Momentum-Managed Equity Factors	Financial Markets
34	Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	Asset Pricing Under Uncertainty About Shock Propagation	Financial Markets
74	Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag	Equilibrium Asset Pricing in Directed Networks	Financial Markets, Systemic Risk Lab
114	Nicole Branger, Christian Schlag, Lue Wu	"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors	Financial Markets
252	Nicole Branger, Patrick Konermann, Christian Schlag	Optimists and Pessimists in (In)Complete Markets	Financial Markets
264	Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag	The Collateralizability Premium	Financial Markets
289	Christian Schlag, Michael Semenischev, Julian Thimme	Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models	Financial Markets
177	Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag	Temperature Shocks and Welfare Costs	Financial Markets
186	Nicole Branger, Paulo Rodrigues, Christian Schlag	Level and Slope of Volatility Smiles in Long-Run Risk Models	Financial Markets, Systemic Risk Lab
265	Christian Schlag, Julian Thimme, Rüdiger Weber	Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution	Financial Markets
256	Christian Schlag, Kailin Zeng	Horizontal Industry Relationships and Return Predictability	Financial Markets
131	Nicole Branger, Patrick Grüning, Christian Schlag	Commodities, Financialization, and Heterogeneous Agents	Financial Markets

SAFE Policy Publications
Forscher/innen Titel Publiziert
Craig Lewis,
Christian Schlag What Does U.S. Money Market Mutual Fund Reform Portend for the European Union?
White Paper No. 24 2014

Ongoing Projects

Forscher/innen	Projekt	Finanziert von	Status	Projektdauer	Publication Count
Martin Götz, Alexander Ludwig, Alexander Monge-Naranjo, Christian Schlag, Ctirad Slavik, Faisal Sohail	Financial Frictions and Inequality	LOEWE	Fortlaufend	2016	1
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag	Network Connectivity and General Equilibrium Asset Prices	LOEWE	Fortlaufend	2016	1
Ilya Dergunov, Christoph Meinerding, Christian Schlag	The Informational Role of Inflation for Real Asset Prices	LOEWE	Fortlaufend	2017	1
Craig Lewis, Jun E. Li, Christoph Meinerding, Nikolai Roussanov, Christian Schlag, Ivan Shaliastovich	Globalization and International Financial Markets	LOEWE	Fortlaufend	2016	1
Constantin Hanenberg, Christian Schlag, Ivan Shaliastovich, Amir Yaron	A New Look at Market Volatility and Market Risk Premia	LOEWE	Fortlaufend	2019	1
Matteo Bagnara, Nicole Branger, Mariano Massimiliano Croce, Robert F. Dittmar, Holger Kraft, Satchit Sagade, Christian Schlag, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber	Risk Pricing & Trading	SAFE	Fortlaufend	2020	1
Nicole Branger, Liu Liu, Christian Schlag, Ivan Shaliastovich, Dongho Song	Macroeconomic Bond Risks in the Presence of the Zero Lower Bound	LOEWE	Fortlaufend	2016	1
Milad Goodarzi, Christian Schlag, Rüdiger Weber	Information in Option Prices	LOEWE	Fortlaufend	2018	1
Giuliano Curatola, Ilya Dergunov, Christian Schlag	Optimism, Pessimism, Disagreement and Stock Returns	LOEWE	Fortlaufend	2018	1

Completed Projects

Forscher/innen	Projekt	Finanziert von	Status	Projektdauer	Publication Count
Marcel Bluhm, Co-Pierre Georg, Jan Pieter Krahnen, Jun E. Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Marti Subrahmanyam, Matthias Thiemann, Jun Uno	Quantitative Easing and Financial (In)Stability	Volkswagen Stiftung	Beendet	2016	1
Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys, Max Riedel, Christian Schlag	Climate Change, Business Cycle and Asset Prices	LOEWE	Beendet	2016	1
Nicole Branger, Jun E. Li, Loriana Pelizzon, Christian Schlag, Ivan Shaliastovich, Dongho Song	Macroeconomic Asset Price Risks in the Presence of the Zero Lower Bound	Volkswagen Stiftung	Beendet	2016	1

In this Section: