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
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Working Papers
2017
- 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 (14) (2016)
2015
- 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
- Evaluating Option Pricing Model Performance Using Model Uncertainty
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
- 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 (31) (2016)
- 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)
- 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)
- 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)
- 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
- Do Fund Investors Know that Risk is Sometimes not Priced?
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
- 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
- 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)
- Noise Trading and the Cross-Section of Index Option Prices
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
- Sentiment Trades and Option Prices
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
2011
- Cultural Values, CEO Risk Aversion and Corporate Takeovers
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (3)
- 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)
- 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)
- 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
- 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)
- 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
- A Cumulative Prospect Theory Approach to Option Pricing
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (5)
- A Volatility Targeting GARCH model with Time-Varying Coefficients
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
- TIPS, Inflation Expectations and the Financial Crisis
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (1)
2008
- 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
- Loss Functions in Option Valuation: A Framework for Model Selection
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
2002
- 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
- Modelling Scale-Consistent VaR with the Truncated Lévy Flight
CEPR Discussion Papers, C.E.P.R. Discussion Papers
Journal Articles
2019
- Big moves of mutual funds
Eurasian Economic Review, 2019, 9, (1), 1-27 View citations (1)
2018
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Dependence Modeling, 2018, 6, (1), 19-46 View citations (3)
2017
- Does oil and gold price uncertainty matter for the stock market?
Journal of Empirical Finance, 2017, 44, (C), 270-285 View citations (45)
- 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)
- Volatility measures and Value-at-Risk
International Journal of Forecasting, 2017, 33, (4), 848-863 View citations (12)
2016
- 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)
- Is there a bubble in the art market?
Journal of Empirical Finance, 2016, 35, (C), 99-109 View citations (31)
See also Working Paper Is there a Bubble in the Art Market?, LSF Research Working Paper Series (2014) View citations (8) (2014)
- 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)
- The European sovereign debt crisis: What have we learned?
Journal of Empirical Finance, 2016, 38, (PA), 363-373 View citations (14)
See also Working Paper The European sovereign debt crisis: What have we learned?, CFS Working Paper Series (2017) View citations (1) (2017)
2015
- 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)
- 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
- The impact of policy responses on stock liquidity
Applied Economics Letters, 2014, 21, (12), 842-845 View citations (3)
2013
- Uncertainty avoidance, risk tolerance and corporate takeover decisions
Journal of Banking & Finance, 2013, 37, (7), 2457-2471 View citations (66)
2011
- 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
- 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
- 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
- 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)
- On the determinants of portfolio choice
Journal of Economic Behavior & Organization, 2008, 66, (2), 373-386 View citations (30)
- TIPS and inflation expectations
Applied Economics Letters, 2008, 15, (7), 513-517 View citations (4)
2005
- 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)
- On style momentum strategies
Applied Economics Letters, 2005, 12, (13), 795-799 View citations (3)
2004
- Option-based compensation: a survey
The International Journal of Accounting, 2004, 39, (4), 365-401 View citations (4)
- Scale-consistent Value-at-Risk
Finance Research Letters, 2004, 1, (2), 127-134 View citations (1)
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