Thorsten Lehnert

University of Luxembourg

Professor of Finance

6, rue Coudenhove-Kalergi

Luxembourg, L-1359

Luxembourg

SCHOLARLY PAPERS

27

DOWNLOADS

6,822

SSRN CITATIONS

17

CROSSREF CITATIONS

54

Scholarly Papers (27)

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 1,413 (19,383)

Abstract:

Loading...

Implied volatility, GARCH, index options, forecasting

2.
Downloads 990 ( 32,626)
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
Downloads 694 (52,339)
Citation 2

Abstract:

Loading...

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, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 262 (163,147)

Abstract:

Loading...

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
Downloads 34 (620,316)
  • Add to Cart

Abstract:

Loading...

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 768 (46,279)
Citation 8

Abstract:

Loading...

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
Downloads 689 (53,515)
Citation 7

Abstract:

Loading...

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

5.

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 498 (80,641)
Citation 1

Abstract:

Loading...

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

6.

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 405 (102,678)
Citation 5

Abstract:

Loading...

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 VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 227 (187,634)

Abstract:

Loading...

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 VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 136 (292,907)

Abstract:

Loading...

GARCH, time varying coefficients, multinomial logit

8.

A Prospect Approach to Option Pricing

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 01 Dec 2021
Christian C. P. Wolff, Thorsten Lehnert and Cokki Versluis
University of Luxembourg, University of Luxembourg and Independent
Downloads 272 (157,703)

Abstract:

Loading...

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

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 134 (296,264)

Abstract:

Loading...

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 (335,908)

Abstract:

Loading...

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

10.

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 195 (216,519)
Citation 1

Abstract:

Loading...

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
Downloads 160 (256,943)
Citation 1

Abstract:

Loading...

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
Downloads 8 (841,527)
  • Add to Cart

Abstract:

Loading...

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

12.

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 VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 154 (264,498)
Citation 1

Abstract:

Loading...

Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

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 Universite du Luxembourg
Downloads 123 (314,655)
Citation 2

Abstract:

Loading...

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

14.

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 122 (316,487)
Citation 2

Abstract:

Loading...

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

15.

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 100 (362,640)

Abstract:

Loading...

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

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 Quantitative Investments and University of Luxembourg
Downloads 97 (369,772)
Citation 1

Abstract:

Loading...

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.

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 92 (382,208)

Abstract:

Loading...

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 82 (409,666)

Abstract:

Loading...

event study, policy announcement, subprime crisis

19.

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
Downloads 31 (623,745)
  • Add to Cart

Abstract:

Loading...

Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk

20.

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

26th Australasian Finance and Banking Conference 2013
Number of pages: 36 Posted: 24 Aug 2013
Luxembourg School of Finance, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
Downloads 5 (841,300)

Abstract:

Loading...

European sovereign debt crisis, currency options, credit default swaps, currency stability, risk-neutral distribution, crash risk, tail 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
Downloads 4 (852,540)
Citation 1
  • Add to Cart

Abstract:

Loading...

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, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
Downloads 2 (877,419)
  • Add to Cart

Abstract:

Loading...

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 2 (877,419)

Abstract:

Loading...

24.

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

Abstract:

Loading...

Islamic Banking, Financial Development, Economic Growth

25.

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

Journal of Empirical Finance, Vol. 44, 2017
Posted: 24 Nov 2015 Last Revised: 31 Dec 2021
Dennis Bams, Gildas Blanchard, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Maastricht University, Robeco Quantitative Investments and University of Luxembourg

Abstract:

Loading...

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

26.

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

Abstract:

Loading...

27.

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

Abstract:

Loading...

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