Wolfgang Schadner

Liechtenstein Business School

Fürst-Franz-Josef-Strasse

Vaduz, 9490

Liechtenstein

SCHOLARLY PAPERS

2

DOWNLOADS

553

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  www.w-schadner.com  ”

Scholarly Papers (2)

1.

Which is Worse: Heavy Tails or Volatility Clusters?

Swiss Finance Institute Research Paper 23-61, Winner of the Swiss Finance Institute Best Paper Doctoral Award 2023
Number of pages: 69 Posted: 17 Apr 2023 Last Revised: 15 Aug 2023
Joshua Traut and Wolfgang Schadner
University of St. Gallen and Liechtenstein Business School
Downloads 441 (123,490)

Abstract:

Loading...

Financial Stability, Tail Risk, Autocorrelation, Volatility Clustering, Heavy Tails, Risk Management

2.

Return Auto-Correlation as Implied by Option Prices

Number of pages: 38 Posted: 11 Jul 2022 Last Revised: 01 Sep 2023
Wolfgang Schadner
Liechtenstein Business School
Downloads 112 (451,284)

Abstract:

Loading...

Volatility Term-Structure, Investor Expectations, Financial Markets, Financial Crisis, Auto-Correlation, Scaling Analysis, Fractals