Timothy A. Krause

Penn State Behrend

Asst. Prof. of Finance

Black School of Business

5101 Station Road

Erie, PA 16563

United States

http://https://psbehrend.psu.edu/school-of-business/faculty-staff-directory/finance/timothy-krause

SCHOLARLY PAPERS

5

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Top 39,281

in Total Papers Downloads

1,060

CITATIONS

0

Scholarly Papers (5)

1.

Exchange Traded Funds, Liquidity, and Market Volatility

Applied Financial Economics (2013)
Number of pages: 37 Posted: 29 Sep 2012 Last Revised: 13 Jan 2017
Timothy A. Krause, Sina Ehsani and Donald D. Lien
Penn State Behrend, Saint Xavier University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 609 (41,891)

Abstract:

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Exchange Traded Fund, ETF, Volatility Spillover, Liquidity, Volume

2.

Hedge Funds and Systemic Risk

Handbook on Hedge Funds, Oxford University Press (2016)
Number of pages: 26 Posted: 16 Mar 2016 Last Revised: 10 Apr 2016
Wulf A. Kaal and Timothy A. Krause
University of St. Thomas, Minnesota - School of Law and Penn State Behrend
Downloads 318 (92,416)

Abstract:

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Systemic Risk, Hedge Fund, Contagion, Regulation, Financial Stability, Leverage, Liquidity

3.

Risk and Uncertainty in Style Rotation

Number of pages: 34 Posted: 27 Jul 2018
Timothy A. Krause
Penn State Behrend
Downloads 133 (210,625)

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VIX Index; VVIX Index; Volatility; Exchange Traded Fund; ETF; Uncertainty; Value vs. Growth; Style Return

4.

Implied Volatility Dynamics Among Exchange-Traded Funds and Their Largest Component Stocks

Journal of Derivatives, Vol. 22, No. 1, 2014, pp. 7-26
Posted: 12 May 2016
Timothy A. Krause and Donald D. Lien
Penn State Behrend and University of Texas at San Antonio - College of Business - Department of Economics

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ETFs, implied volatility, options SPDR industry sectors, spillovers

5.

Risk Management and Firm Value: Recent Theory and Evidence

International Journal of Accounting and Information Management, Vol 24 No. 1, 2016, pp. 56-81
Posted: 11 May 2016
Timothy A. Krause and Yiuman Tse
Penn State Behrend and University of Missouri at Saint Louis

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Risk management, Derivatives, Enterprise risk management, Firm value