Lorenzo Schoenleber

Frankfurt School of Finance & Management gemeinnützige GmbH

Sonnemannstraße 9-11

Frankfurt am Main, 60314

Germany

http://www.frankfurt-school.de/content/de/who_we_are/staff/schoenleber.html

SCHOLARLY PAPERS

2

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CITATIONS

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Scholarly Papers (2)

1.

Option-Implied Correlations, Factor Models, and Market Risk

INSEAD Working Paper No. 2017/20/FIN
Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Mar 2017
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 1,024 (20,722)
Citation 2

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Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors

2.
Downloads 413 ( 69,858)
Citation 2

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 413 (69,209)
Citation 2

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(option-)implied correlation, return predictability, idiosyncratic risk, option-implied information, contemporaneous betas

Expected Correlation and Future Market Returns

CEPR Discussion Paper No. DP12760
Number of pages: 48 Posted: 06 Mar 2018 Last Revised: 04 Jan 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
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Abstract:

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contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability