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Skewness risk premium : theory and empirical evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2013

Persistent link: https://www.econbiz.de/10009723118

Volatility concepts and risk management tools

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015

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From time varying risk-aversion and sentiment to anomalies in market moments' risk premia

Bams, Dennis; Honarvar, Iman; Lehnert, Thorsten - 2015

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The impact of uncertainty in the oil and gold market on the cross-section of stock returns

Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015

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Skewness term structure tests

Lin, Yuehao; Lehnert, Thorsten - 2014

Persistent link: https://www.econbiz.de/10010502924

Skewness risk premium : theory and empirical evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014

Persistent link: https://www.econbiz.de/10010502927

From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia

Bams, Dennis - 2015

Previous studies on the cross-sectional market moments' risk premia find significantly negative risk premia for the market volatility and the market skewness risks and a positive premium for the market kurtosis risk. However, a significantly negative price of risk for the market skewness and a...

Persistent link: https://www.econbiz.de/10013011646

A note on Stein's overreaction puzzle

Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276

Persistent link: https://www.econbiz.de/10012285399

Skewness term-structure tests

Lehnert, Thorsten; Lin, Yuehao - In: Applied mathematical finance 23 (2016) 5/6, pp. 484-504

Persistent link: https://www.econbiz.de/10011704272

Skewness risk premium : theory and empirical evidence

Lin, Yuehao; Lehnert, Thorsten; Wolff, Christiaan … - In: International review of financial analysis 63 (2019), pp. 174-185

Persistent link: https://www.econbiz.de/10012207438