Friedrich Lorenz

University of Muenster - Finance Center Muenster

Schlossplatz 2

Muenster

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

389

SSRN CITATIONS

1

CROSSREF CITATIONS

1

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 Muenster - Finance Center Muenster and University of Zurich - Department of Business Administration
Downloads 226 (157,727)

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 Muenster - Finance Center Muenster, IMD Lausanne and University of Zurich - Department of Business Administration
Downloads 99 (308,873)
Citation 2

Abstract:

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asset pricing, conditional volatility, variance risk premium

3.

The Leverage Bearing Capacity: A New Tool for Intermediary Asset Pricing

Number of pages: 46 Posted: 19 Nov 2020
Thomas Gr√ľnthaler, Friedrich Lorenz and Paul Meyerhof
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 64 (398,574)

Abstract:

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