Friedrich Lorenz

University of Münster - Finance Center Muenster

Schlossplatz 2

Muenster

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

477

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (3)

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 281 (206,090)

Abstract:

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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 and University of Zurich - Department of Business Administration
Downloads 196 (291,413)
Citation 6

Abstract:

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asset pricing, conditional volatility, variance risk premium

3.

Option-Based Intermediary Leverage

Journal of Banking and Finance, Vol. 145, 2022, https://doi.org/10.1016/j.jbankfin.2022.106670
Posted: 19 Nov 2020 Last Revised: 02 Nov 2023
Thomas Gruenthaler, Friedrich Lorenz and Paul Meyerhof
Tilburg University - Tilburg University School of Economics and Management, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster

Abstract:

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