Details about Thorsten Lehnert

Access statistics for papers by Thorsten Lehnert.

Last updated 2019-03-18. Update your information in the RePEc Author Service.

Short-id: ple674

Working Papers

2017

1. The European sovereign debt crisis: What have we learned?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
   See also Journal Article The European sovereign debt crisis: What have we learned?, Journal of Empirical Finance, Elsevier (2016) View citations (15) (2016)

2015

2. Euro crash risk
   CFS Working Paper Series, Center for Financial Studies (CFS)
   See also Journal Article Euro crash risk, Journal of Empirical Finance, Elsevier (2016) View citations (8) (2016)

2014

3. Evaluating Option Pricing Model Performance Using Model Uncertainty
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
4. Is there a Bubble in the Art Market?
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (8)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (5)
   See also Journal Article Is there a bubble in the art market?, Journal of Empirical Finance, Elsevier (2016) View citations (33) (2016)
5. Market Perceptions of US and European Policy Actions Around the Subprime Crisis
   IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan
   Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2012)
   See also Journal Article Market perceptions of US and European policy actions around the subprime crisis, Journal of International Financial Markets, Institutions and Money, Elsevier (2015) View citations (6) (2015)
6. Press Freedom and Jumps in Stock Prices
   Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences
   See also Journal Article Press freedom and jumps in stock prices, Economic Systems, Elsevier (2017) View citations (5) (2017)
7. Skewness Risk Premium: Theory and Empirical Evidence
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (3)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (3)
8. Skewness Term Structure Tests
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
   See also Journal Article Skewness Term-Structure Tests, Applied Mathematical Finance, Taylor & Francis Journals (2016) (2016)

2013

9. Do Fund Investors Know that Risk is Sometimes not Priced?
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
10. Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (1)

2012

11. Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (5)
    See also Journal Article Euro at risk: The impact of member countries' credit risk on the stability of the common currency, Journal of Empirical Finance, Elsevier (2015) View citations (5) (2015)
12. Noise Trading and the Cross-Section of Index Option Prices
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
13. Sentiment Trades and Option Prices
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg

2011

14. Cultural Values, CEO Risk Aversion and Corporate Takeovers
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (3)
15. Does the GARCH Structural Credit Risk Model Make a Difference?
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (4)
16. Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (5)
17. The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2011)

2010

18. Behavioral heterogeneity in the option market
    Post-Print, HAL View citations (61)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2009) View citations (1)
    See also Journal Article Behavioral heterogeneity in the option market, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (61) (2010)
19. Modelling structural changes in the volatility process
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
    See also Journal Article Modeling structural changes in the volatility process, Journal of Empirical Finance, Elsevier (2011) View citations (7) (2011)

2009

20. A Cumulative Prospect Theory Approach to Option Pricing
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (5)
21. A Volatility Targeting GARCH model with Time-Varying Coefficients
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
22. TIPS, Inflation Expectations and the Financial Crisis
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (1)

2008

23. Loss Functions in Option Valuation: A Framework for Selection
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (5)
    See also Journal Article Loss Functions in Option Valuation: A Framework for Selection, Management Science, INFORMS (2009) View citations (9) (2009)

2005

24. Loss Functions in Option Valuation: A Framework for Model Selection
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2002

25. An Evaluation Framework for Alternative VaR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    See also Journal Article An evaluation framework for alternative VaR-models, Journal of International Money and Finance, Elsevier (2005) View citations (26) (2005)

2001

26. Modelling Scale-Consistent VaR with the Truncated Lévy Flight
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

Journal Articles

2019

1. Big moves of mutual funds
   Eurasian Economic Review, 2019, 9, (1), 1-27 View citations (1)

2018

2. Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
   Dependence Modeling, 2018, 6, (1), 19-46 View citations (3)

2017

3. Does oil and gold price uncertainty matter for the stock market?
   Journal of Empirical Finance, 2017, 44, (C), 270-285 View citations (46)
4. Press freedom and jumps in stock prices
   Economic Systems, 2017, 41, (1), 151-162 View citations (5)
   See also Working Paper Press Freedom and Jumps in Stock Prices, Proceedings of International Academic Conferences (2014) (2014)
5. Volatility measures and Value-at-Risk
   International Journal of Forecasting, 2017, 33, (4), 848-863 View citations (12)

2016

6. Euro crash risk
   Journal of Empirical Finance, 2016, 38, (PA), 417-428 View citations (8)
   See also Working Paper Euro crash risk, CFS Working Paper Series (2015) (2015)
7. Is there a bubble in the art market?
   Journal of Empirical Finance, 2016, 35, (C), 99-109 View citations (33)
   See also Working Paper Is there a Bubble in the Art Market?, LSF Research Working Paper Series (2014) View citations (8) (2014)
8. Skewness Term-Structure Tests
   Applied Mathematical Finance, 2016, 23, (6), 484-504
   See also Working Paper Skewness Term Structure Tests, LSF Research Working Paper Series (2014) (2014)
9. The European sovereign debt crisis: What have we learned?
   Journal of Empirical Finance, 2016, 38, (PA), 363-373 View citations (15)
   See also Working Paper The European sovereign debt crisis: What have we learned?, CFS Working Paper Series (2017) View citations (1) (2017)

2015

10. Euro at risk: The impact of member countries' credit risk on the stability of the common currency
    Journal of Empirical Finance, 2015, 33, (C), 67-83 View citations (5)
    See also Working Paper Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency, LSF Research Working Paper Series (2012) View citations (2) (2012)
11. Market perceptions of US and European policy actions around the subprime crisis
    Journal of International Financial Markets, Institutions and Money, 2015, 37, (C), 99-113 View citations (6)
    See also Working Paper Market Perceptions of US and European Policy Actions Around the Subprime Crisis, IMES Discussion Paper Series (2014) (2014)

2014

12. The impact of policy responses on stock liquidity
    Applied Economics Letters, 2014, 21, (12), 842-845 View citations (3)

2013

13. Uncertainty avoidance, risk tolerance and corporate takeover decisions
    Journal of Banking & Finance, 2013, 37, (7), 2457-2471 View citations (66)

2011

14. Modeling structural changes in the volatility process
    Journal of Empirical Finance, 2011, 18, (3), 522-532 View citations (7)
    See also Working Paper Modelling structural changes in the volatility process, LSF Research Working Paper Series (2010) (2010)

2010

15. Behavioral heterogeneity in the option market
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2273-2287 View citations (61)
    See also Working Paper Behavioral heterogeneity in the option market, Post-Print (2010) View citations (61) (2010)

2009

16. Loss Functions in Option Valuation: A Framework for Selection
    Management Science, 2009, 55, (5), 853-862 View citations (9)
    See also Working Paper Loss Functions in Option Valuation: A Framework for Selection, LSF Research Working Paper Series (2008) View citations (5) (2008)

2008

17. Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (4), 493-508 View citations (22)
18. On the determinants of portfolio choice
    Journal of Economic Behavior & Organization, 2008, 66, (2), 373-386 View citations (30)
19. TIPS and inflation expectations
    Applied Economics Letters, 2008, 15, (7), 513-517 View citations (4)

2005

20. An evaluation framework for alternative VaR-models
    Journal of International Money and Finance, 2005, 24, (6), 944-958 View citations (26)
    See also Working Paper An Evaluation Framework for Alternative VaR Models, CEPR Discussion Papers (2002) View citations (7) (2002)
21. On style momentum strategies
    Applied Economics Letters, 2005, 12, (13), 795-799 View citations (3)

2004

22. Option-based compensation: a survey
    The International Journal of Accounting, 2004, 39, (4), 365-401 View citations (4)
23. Scale-consistent Value-at-Risk
    Finance Research Letters, 2004, 1, (2), 127-134 View citations (1)