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Details about Thorsten Lehnert

Workplace:Department of Finance, Faculté de droit, d'économie et de finance (Department of Law, Economics and Finance), Université du Luxembourg (University of Luxembourg), (more information at EDIRC)

Access statistics for papers by Thorsten Lehnert.

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

Short-id: ple674


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Working Papers

2017

  1. The European sovereign debt crisis: What have we learned?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)
    See also Journal Article The European sovereign debt crisis: What have we learned?, Journal of Empirical Finance, Elsevier (2016) Downloads View citations (14) (2016)

2015

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

2014

  1. Evaluating Option Pricing Model Performance Using Model Uncertainty
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
  2. Is there a Bubble in the Art Market?
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (8)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (5)

    See also Journal Article Is there a bubble in the art market?, Journal of Empirical Finance, Elsevier (2016) Downloads View citations (31) (2016)
  3. 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 Downloads
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2012) Downloads

    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) Downloads View citations (6) (2015)
  4. Press Freedom and Jumps in Stock Prices
    Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences Downloads
    See also Journal Article Press freedom and jumps in stock prices, Economic Systems, Elsevier (2017) Downloads View citations (5) (2017)
  5. Skewness Risk Premium: Theory and Empirical Evidence
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (3)
  6. Skewness Term Structure Tests
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    See also Journal Article Skewness Term-Structure Tests, Applied Mathematical Finance, Taylor & Francis Journals (2016) Downloads (2016)

2013

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

2012

  1. 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 Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads 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) Downloads View citations (5) (2015)
  2. Noise Trading and the Cross-Section of Index Option Prices
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
  3. Sentiment Trades and Option Prices
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads

2011

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

2010

  1. Behavioral heterogeneity in the option market
    Post-Print, HAL Downloads View citations (61)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2009) Downloads View citations (1)

    See also Journal Article Behavioral heterogeneity in the option market, Journal of Economic Dynamics and Control, Elsevier (2010) Downloads View citations (61) (2010)
  2. Modelling structural changes in the volatility process
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    See also Journal Article Modeling structural changes in the volatility process, Journal of Empirical Finance, Elsevier (2011) Downloads View citations (7) (2011)

2009

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

2008

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

2005

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

2002

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

2001

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

Journal Articles

2019

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

2018

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

2017

  1. Does oil and gold price uncertainty matter for the stock market?
    Journal of Empirical Finance, 2017, 44, (C), 270-285 Downloads View citations (45)
  2. Press freedom and jumps in stock prices
    Economic Systems, 2017, 41, (1), 151-162 Downloads View citations (5)
    See also Working Paper Press Freedom and Jumps in Stock Prices, Proceedings of International Academic Conferences (2014) Downloads (2014)
  3. Volatility measures and Value-at-Risk
    International Journal of Forecasting, 2017, 33, (4), 848-863 Downloads View citations (12)

2016

  1. Euro crash risk
    Journal of Empirical Finance, 2016, 38, (PA), 417-428 Downloads View citations (8)
    See also Working Paper Euro crash risk, CFS Working Paper Series (2015) Downloads (2015)
  2. Is there a bubble in the art market?
    Journal of Empirical Finance, 2016, 35, (C), 99-109 Downloads View citations (31)
    See also Working Paper Is there a Bubble in the Art Market?, LSF Research Working Paper Series (2014) Downloads View citations (8) (2014)
  3. Skewness Term-Structure Tests
    Applied Mathematical Finance, 2016, 23, (6), 484-504 Downloads
    See also Working Paper Skewness Term Structure Tests, LSF Research Working Paper Series (2014) Downloads (2014)
  4. The European sovereign debt crisis: What have we learned?
    Journal of Empirical Finance, 2016, 38, (PA), 363-373 Downloads View citations (14)
    See also Working Paper The European sovereign debt crisis: What have we learned?, CFS Working Paper Series (2017) Downloads View citations (1) (2017)

2015

  1. 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 Downloads 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) Downloads View citations (2) (2012)
  2. 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 Downloads View citations (6)
    See also Working Paper Market Perceptions of US and European Policy Actions Around the Subprime Crisis, IMES Discussion Paper Series (2014) Downloads (2014)

2014

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

2013

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

2011

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

2010

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

2009

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

2008

  1. 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 Downloads View citations (22)
  2. On the determinants of portfolio choice
    Journal of Economic Behavior & Organization, 2008, 66, (2), 373-386 Downloads View citations (30)
  3. TIPS and inflation expectations
    Applied Economics Letters, 2008, 15, (7), 513-517 Downloads View citations (4)

2005

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

2004

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