Friedrich Lorenz

University of Münster - Finance Center Muenster

Schlossplatz 2

Muenster

Germany

  • University of Münster - Finance Center Muenster

SCHOLARLY PAPERS

3

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421

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (3)

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1.

Downside Risks and the Price of Variance Uncertainty

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 65 Posted: 13 Feb 2018 Last Revised: 18 Nov 2019
Friedrich Lorenz and Malte Schumacher
University of Münster - Finance Center Muenster and University of Zurich - Department of Business Administration
Downloads 256 (190,960)

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Downside Risks, Variance Risk Premium, Generalized Disappointment Aversion

2.

Nonlinear Dynamics in Conditional Volatility

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 48 Posted: 08 May 2020 Last Revised: 13 Oct 2020
Friedrich Lorenz, Karl Schmedders and Malte Schumacher
University of Münster - Finance Center Muenster, IMD Lausanne and University of Zurich - Department of Business Administration
Downloads 165 (285,984)
Citation 5

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asset pricing, conditional volatility, variance risk premium

3.

Option-Based Intermediary Leverage

Journal of Banking and Finance, Forthcoming https://doi.org/10.1016/j.jbankfin.2022.106670
Posted: 19 Nov 2020 Last Revised: 14 Sep 2022
Thomas Gruenthaler, Friedrich Lorenz and Paul Meyerhof
University of Muenster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster

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Intermediary asset pricing, financial intermediation, option-implied information, leverage, financial constraints, risk-bearing capacity, balance sheet valuation