Risk Pricing & Trading

Related Published Papers

Author/sTitleYearAreaKeywords
Mariano Massimiliano Croce, Tatyana Marchuk, Christian SchlagThe Leading Premium
Review of Financial Studies
2023 Financial Markets
Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman SeegerA Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Journal of Empirical Finance
2023 Financial Markets
Christian Schlag, Julian ThimmePredictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
Management Science
2021 Financial Markets Asset pricing, cross-section of stock returns, predictability
Robert F. Dittmar, Christian Schlag, Julian ThimmeNon-Substitutable Consumption Growth Risk
forthcoming in Management Science
2024 Financial Markets

Related Working Papers

No.Author/sTitleYearAreaKeywords
371Mariano Massimiliano Croce, Tatyana Marchuk, Christian SchlagThe Leading Premium 2022 Financial Markets
289Christian Schlag, Julian ThimmePredictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models2020 Financial Markets Asset pricing, cross-section of stock returns, predictability
317Volker Flögel, Christian Schlag, Claudia ZunftMomentum-Managed Equity Factors2021 Financial Markets factor timing, time series momentum, anomalies
372Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman SeegerA Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks2022 Financial Markets Jump-diffusion models; individual stocks; Markov Chain Monte Carlo
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