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ECONIS (ZBW)
13
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1
Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
Saved in:
2
Loss functions in option valuation : a framework for model selection
Bams, Dennis
;
Lehnert, Thorsten
;
Wolff, Christiaan …
-
2005
Persistent link: https://www.econbiz.de/10002754751
Saved in:
3
Modeling structural changes in the volatility process
Frijns, Bart
;
Lehnert, Thorsten
;
Zwinkels, Remco C. J.
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 522-532
Persistent link: https://www.econbiz.de/10009302073
Saved in:
4
Behavioral heterogeneity in the option market
Frijns, Bart
;
Lehnert, Thorsten
;
Zwinkels, Remco C. J.
- In:
Journal of economic dynamics & control
34
(
2010
)
11
,
pp. 2273-2287
Persistent link: https://www.econbiz.de/10009008886
Saved in:
5
The impact of policy responses on stock liquidity
Busch, Thomas
;
Lehnert, Thorsten
- In:
Applied economics letters
21
(
2014
)
10/12
,
pp. 842-845
Persistent link: https://www.econbiz.de/10010416230
Saved in:
6
Mandelbrot and the smile
Lehnert, Thorsten
- In:
Kredit und Kapital
42
(
2009
)
1
,
pp. 125-144
Persistent link: https://www.econbiz.de/10003831708
Saved in:
7
Loss functions in option valuation : a framework for selection
Bams, Dennis
;
Lehnert, Thorsten
;
Wolff, Christiaan …
- In:
Management science : journal of the Institute for …
55
(
2009
)
5
,
pp. 853-862
Persistent link: https://www.econbiz.de/10003860372
Saved in:
8
Scale-consistent value-at-risk
Lehnert, Thorsten
;
Wolff, Christiaan Cornelis Petrus
- In:
Finance research letters
1
(
2004
)
2
,
pp. 127-134
Persistent link: https://www.econbiz.de/10003307269
Saved in:
9
Volatility concepts and risk management tools
Bams, Dennis
;
Blanchard, Gildas
;
Lehnert, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011547074
Saved in:
10
Volatility measures and Value-at-Risk
Bams, Dennis
;
Blanchard, Gildas
;
Lehnert, Thorsten
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
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