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Mutual funds, price pressure, and index options

Lehnert, Thorsten - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 30-46

Persistent link: https://www.econbiz.de/10011687327

TIPS, break-even inflation, and inflation forecasts

Bardong, Florian; Lehnert, Thorsten - In: The journal of fixed income 14 (2004) 3, pp. 15-35

Persistent link: https://www.econbiz.de/10002682330

Market perceptions of US and European policy actions around the subprime crisis

Grammatikos, Theoharry; Lehnert, Thorsten; Otsubo, Yoichi - 2014

Persistent link: https://www.econbiz.de/10011375761

Skewness risk premium : theory and empirical evidence

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

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

Market perceptions of US and European policy actions around the subprime crisis

Grammatikos, Theoharry; Lehnert, Thorsten; Otsubo, Yoichi - In: Journal of international financial markets, … 37 (2015), pp. 99-113

Persistent link: https://www.econbiz.de/10011475041

Market Perceptions of US and European Policy Actions Around the Subprime Crisis

Grammatikos, Theoharry - 2013

This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the...

Persistent link: https://www.econbiz.de/10013090422

Modelling scale consistent VAR with the truncated Lévy flight

Lehnert, Thorsten - 2001

Persistent link: https://www.econbiz.de/10013423320