Thorsten Lehnert

University of Luxembourg

Professor of Finance

6, rue Coudenhove-Kalergi

Luxembourg, L-1359

Luxembourg

SCHOLARLY PAPERS

25

DOWNLOADS

6,188

SSRN CITATIONS

14

CROSSREF CITATIONS

51

Scholarly Papers (25)

1.

Implied GARCH Volatility Forecasting

Number of pages: 25 Posted: 19 Feb 2002
Thorsten Lehnert and Cyriel de Jong
University of Luxembourg and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 1,404 (17,517)

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Implied volatility, GARCH, index options, forecasting

2.
Downloads 988 ( 29,346)
Citation 5

An Evaluation Framework for Alternative VAR Models

Number of pages: 25 Posted: 21 Jan 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 694 (47,113)
Citation 2

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

Number of pages: 21 Posted: 31 Jul 2003
Christian C. P. Wolff, Dennis Bams and Thorsten Lehnert
University of Luxembourg - Luxembourg School of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 260 (149,863)

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

Number of pages: 28 Posted: 16 Jul 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 34 (573,639)
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Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions

3.

Is There a Bubble in the Art Market?

Journal of Empirical Finance, Vol. 35, 2016
Number of pages: 26 Posted: 08 May 2014 Last Revised: 25 Feb 2016
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
Universite du Luxembourg - Department of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 751 (42,941)
Citation 8

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Art market, Alternative investments, Speculative bubbles, Explosive behavior

4.

A Cumulative Prospect Theory Approach to Option Pricing

Number of pages: 36 Posted: 30 Nov 2010
Cokki Versluis, Thorsten Lehnert and Christian C. P. Wolff
Independent, University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 650 (52,041)
Citation 1

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Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing

5.

Contagion Versus Interdependence: A Re-Examination of Asian-Crisis Stock Market Comovements

Number of pages: 27 Posted: 21 Jul 2003
Maastricht University - Department of Finance, University of Luxembourg and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 403 (93,556)
Citation 5

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A Volatility Targeting GARCH Model with Time-Varying Coefficients

Number of pages: 23 Posted: 17 Feb 2009
Bart Frijns, Thorsten Lehnert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 220 (176,585)

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GARCH, time varying coefficients, multinomial logit

A Volatility Targeting GARCH Model with Time-Varying Coefficients

Journal of Empirical Finance, Vol. 18, 2011
Number of pages: 23 Posted: 24 Aug 2009 Last Revised: 06 May 2016
Bart Frijns, Thorsten Lehnert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 133 (273,444)

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GARCH, time varying coefficients, multinomial logit

7.

The Search for Yield: Implications to Alternative Investments

Journal of Empirical Finance, Vol. 44, 2017
Number of pages: 29 Posted: 09 Nov 2017 Last Revised: 23 Sep 2018
Roman Kräussl, Thorsten Lehnert and Kalle Rinne
Universite du Luxembourg - Department of Finance, University of Luxembourg and Universite du Luxembourg - Department of Finance
Downloads 262 (149,265)
Citation 1

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Alternative investments, hedge funds, commodities, the search for yield

The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 32 Posted: 12 May 2011
Maria Chiara Amadori, Thorsten Lehnert and Lamia Bekkour
Maastricht School of Business and Economics, University of Luxembourg and Luxembourg School of Finance
Downloads 131 (276,529)

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The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 19 Sep 2012
Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadori
Luxembourg School of Finance, University of Luxembourg and Maastricht School of Business and Economics
Downloads 113 (308,358)

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Credit default swap spread, option-implied volatility, lead-lag relationship, price discovery, informed trading

9.

Cultural Values, CEO Risk Aversion and Corporate Takeovers

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 12 Oct 2011
University of Luxembourg, Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 190 (202,509)
Citation 1

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Financial Decision Making, Risk Aversion, Synergies, Culture, Takeovers

Loss Functions in Option Valuation: A Framework for Model Selection

Number of pages: 22 Posted: 22 Jul 2004
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 157 (239,025)
Citation 1

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Option pricing, loss functions, estimation risk, GARCH, implied volatility

Loss Functions in Option Valuation: A Framework for Model Selection

Number of pages: 24 Posted: 27 Jul 2005
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 8 (770,222)
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Option pricing, loss functions, estimation risk, GARCH, implied volatility

11.

Behavioral Heterogeneity in the Option Market

Journal of Economic Dynamics and Control, Vol. 34, No. 11, 2010
Number of pages: 28 Posted: 04 Mar 2007 Last Revised: 06 May 2016
Bart Frijns, Thorsten Lehnert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 153 (243,530)
Citation 1

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Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

12.

Realized Variance in the Presence of Non-Iid Microstructure Noise

LIFE Working Paper No. 04-008
Number of pages: 38 Posted: 30 Aug 2004
Bart Frijns and Thorsten Lehnert
Open University of the Netherlands - School of Management and University of Luxembourg
Downloads 120 (293,955)
Citation 2

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Realized variance, Ultra-High Frequency data, Tick Time models, Nasdaq, Microstructure noise

13.

The European Sovereign Debt Crisis: What Have We Learned?

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 29 Posted: 06 Apr 2016 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Universite du Luxembourg - Department of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 113 (306,734)
Citation 2

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Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation

14.

Stein's Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?

Number of pages: 28 Posted: 22 Oct 2013 Last Revised: 25 Nov 2013
Thorsten Lehnert, Yuehao Lin and Nicolas Martelin
University of Luxembourg, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 98 (337,554)

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Option Markets, Overreaction, Rational Expectations, Mean Reversion, Volatility

15.

Euro Crash Risk

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 36 Posted: 09 Aug 2015 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Sigita Senulyte
Universite du Luxembourg - Department of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 90 (356,258)

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Sovereign debt crisis, News announcements, Euro value, Euro crash risk

16.

From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia

Number of pages: 42 Posted: 24 Nov 2015
Dennis Bams, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Robeco Asset Management and University of Luxembourg
Downloads 84 (371,810)
Citation 1

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Time-varying Risk-aversion, Market Moments’ Risk Premia, Investor Sentiment Index, Intertemporal Capital Asset Pricing Model, Volatility Risk, Skewness Risk, Kurtosis Risk, Cross-Section of Expected Returns

17.

Market Perceptions of US and European Policy Actions Around the Subprime Crisis

25th Australasian Finance and Banking Conference 2012
Number of pages: 31 Posted: 20 Aug 2012
Theoharry Grammatikos, Thorsten Lehnert and Yoichi Otsubo
Luxembourg School of Finance, University of Luxembourg and University of Manchester - Alliance Manchester Business School
Downloads 82 (377,090)

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event study, policy announcement, subprime crisis

18.

Modelling Scale-Consistent VAR with the Truncated Levy Flight

Number of pages: 42 Posted: 26 Mar 2001
Thorsten Lehnert and Christian C. P. Wolff
University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 31 (576,765)
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Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk

19.

Skewness Risk Premium: Theory and Empirical Evidence

Number of pages: 35 Posted: 21 Feb 2013
Thorsten Lehnert, Yuehao Lin and Christian C. P. Wolff
University of Luxembourg, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 4 (771,686)
Citation 1
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asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium

20.

Euro at Risk: The Impact of Member Countries’' Credit Risk on the Stability of the Common Currency

Number of pages: 35 Posted: 01 Feb 2013
Luxembourg School of Finance, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 2 (789,095)
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credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution

21.

Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 4, pp. 493-508, August 2008
Number of pages: 16 Posted: 22 Jul 2008
Maastricht University - Department of Finance, University of Luxembourg and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1 (800,643)
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22.

Islamic Banking and Economic Growth

Kchouri, B. & Lehnert, T. (2020). Islamic Banking and Economic Growth. In Rafay, A. (Ed.) Handbook of Research on Theory and Practice of Global Islamic Finance (Chapter 5: pp. 86-114). PA: IGI Global.
Posted: 02 Dec 2020
Bilal Kchouri and Thorsten Lehnert
affiliation not provided to SSRN and University of Luxembourg

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Islamic Banking, Financial Development, Economic Growth

23.

Does Oil and Gold Price Uncertainty Matter for the Stock Market?

Journal of Empirical Finance, Forthcoming
Posted: 24 Nov 2015 Last Revised: 03 Oct 2018
Dennis Bams, Gildas Blanchard, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Maastricht University, Robeco Asset Management and University of Luxembourg

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Uncertainty, Volatility Risk Premium, Stock Market, Oil, Gold, Oil-relevant Industry, Market Segmentation

24.

Do Fund Investors Know that Risk is Sometimes Not Priced?

Posted: 28 Aug 2012 Last Revised: 22 Apr 2021
Fabian Irek and Thorsten Lehnert
Luxembourg School of Finance and University of Luxembourg

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25.

TIPS, Inflation Expectations, and the Financial Crisis

Financial Analysts Journal, Vol. 66, No. 6, 2010
Posted: 10 Dec 2010 Last Revised: 19 Dec 2010
Aleksandar Andonov, Florian Bardong and Thorsten Lehnert
University of Amsterdam, BlackRock and University of Luxembourg

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TIPS, Inflation Expectations, Survey of Professional Forecasters, Financial Crisis, Fixed Income, Trading Strategies and Their Assessment

Other Papers (1)

Total Downloads: 263
1.

A Prospect Approach to Option Pricing

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 11 Mar 2008
Christian C. P. Wolff, Thorsten Lehnert and Cokki Versluis
University of Luxembourg - Luxembourg School of Finance, University of Luxembourg and Independent
Downloads 263

Abstract:

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Prospect Theory, Framing, Mental Accounting, Risk attitude, Loss aversion, Probability