Wolfgang Schadner

Liechtenstein Business School

Fürst-Franz-Josef-Strasse

Vaduz, 9490

Liechtenstein

  • Liechtenstein Business School

SCHOLARLY PAPERS

2

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739

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  • Liechtenstein Business School

Scholarly Papers (2)

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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: 73 Posted: 17 Apr 2023 Last Revised: 06 Aug 2024
Joshua Traut and Wolfgang Schadner
University of St. Gallen and Liechtenstein Business School
Downloads 578 (103,742)

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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 161 (402,845)

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