Thorsten Lehnert

University of Luxembourg

Professor of Finance

6, rue Coudenhove-Kalergi

Luxembourg, L-1359

Luxembourg

SCHOLARLY PAPERS

25

DOWNLOADS

5,864

CITATIONS

29

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 1,385 (12,991)

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Implied volatility, GARCH, index options, forecasting

2.
Downloads 963 ( 22,519)
Citation 4

An Evaluation Framework for Alternative VAR Models

EFA 2002 Berlin Meetings Discussion Paper
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 681 (36,030)
Citation 1

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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

EFA 2003 Annual Conference Paper No. 111
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 248 (121,197)

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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

CEPR Discussion Paper No. 3403
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 (454,186)
Citation 5
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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
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 673 (37,207)
Citation 6

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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 544 (49,115)
Citation 2

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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

EFA 2003 Annual Conference Paper No. 249
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 387 (74,713)
Citation 3

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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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 205 (146,328)

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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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 106 (253,158)

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GARCH, time varying coefficients, multinomial logit

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 121 (229,883)

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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 106 (253,158)

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

8.

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, Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 166 (177,347)
Citation 3

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

Loss Functions in Option Valuation: A Framework for Model Selection

EFA 2004 Maastricht Meetings Paper No. 3676
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 153 (190,375)

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

Loss Functions in Option Valuation: A Framework for Model Selection

CEPR Discussion Paper No. 4960
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 (612,493)
Citation 8
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Option pricing, loss functions, estimation risk, GARCH, implied volatility

10.

Do Fund Investors Know that Risk is Sometimes Not Priced?

25th Australasian Finance and Banking Conference 2012
Number of pages: 45 Posted: 28 Aug 2012 Last Revised: 20 Nov 2013
Fabian Irek and Thorsten Lehnert
Luxembourg School of Finance and University of Luxembourg
Downloads 147 (196,372)
Citation 1

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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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 146 (197,503)
Citation 19

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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
Auckland University of Technology - Faculty of Business & Law and University of Luxembourg
Downloads 114 (239,148)
Citation 3

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

13.

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
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 96 (270,879)
Citation 2

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

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 92 (276,531)

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

15.

The Validity of Hedonic Models for Estimating Heterogeneous Assets Returns

Number of pages: 24 Posted: 13 Mar 2019
Roman Kräussl, Thorsten Lehnert and Ali NasserEddine
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 91 (278,460)

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Alternative Investments, Hedonic Regression, Repeat-Sales Regression

16.

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
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 88 (284,435)
Citation 3

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

17.

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
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 88 (284,435)
Citation 2

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

18.

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 80 (301,447)
Citation 1

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event study, policy announcement, subprime crisis

19.

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 67 (333,185)
Citation 2

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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

20.

Modelling Scale-Consistent VAR with the Truncated Levy Flight

CEPR Discussion Paper No. 2711
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 (457,014)
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Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk

21.

Skewness Risk Premium: Theory and Empirical Evidence

CEPR Discussion Paper No. DP9349
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 (613,338)
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asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium

22.

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

CEPR Discussion Paper No. DP9229
Number of pages: 35 Posted: 01 Feb 2013
Luxembourg School of Finance, Central Bank of Luxembourg, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 2 (631,171)
Citation 3
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credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution

23.

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 (643,830)
Citation 8
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24.

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

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: 250
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 250

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