Thorsten LEHNERT

Thorsten LEHNERT

Professeur en Finance

Sujets de recherche Investments, Derivatives, Credit Risk, Market Volatility, Investor Psychology
Faculté ou Centre Faculté de Droit, d'Economie et de Finance
Unité de recherche LSF
Adresse postale Campus Kirchberg, Université du Luxembourg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Bureau sur le campus F 210
E-mail
Téléphone (+352) 46 66 44 6941



Last updated on: 16 août 2016

"Press Freedom and Jumps in Stock Markets", (with Sara Abed Masror Khah) in Economic Systems, forthcoming.

"Mutual Funds, Price Pressure and Index Option",  in Journal of Derivatives, 24(1),30-46.

"The European Sovereign Debt Crisis: What Have We Learned?", (with Roman Kräussl and Denitsa Stefanova) in Journal of Empirical Finance, 38(A), 363-373.

"Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?",(with Yuehao Lin and Nicolas Martelin) in Journal of Derivatives, 23(3),22-35. 

"Euro Crash Risk", (with Roman Kräussl and Sigita Segulyte), in Journal of Empirical Finance, 38(A), 417-428.

"Is there a Bubble in the Art Market?", (with Roman Kräussl and Nicolas Martelin) in Journal of Empirical Finance 35, 99-109, 2016.

"Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency", (with Lamia Bekkour, Xisong Jin, Fanou Rasmouki and Christian Wolff) in Journal of Empirical Finance, Vol. 33, 67-83, 2015. 

"Market Perceptions of US and European Policy Actions around the Subprime Crisis", (with Yoichi Otsubo and Theoharry Grammatikos) in Journal of International Financial Markets, Institutions & Money, Vol. 37, 99-113, 2015.

“Uncertainty Avoidance, Risk Tolerance and Corporate Takeover Decisions“, (with Bart Frijns, Aaron Gilbert, Alireza Tourani Rad), in Journal of Banking and Finance, Vol. 37, 7, 2457-2471. 2013

“Modelling structural changes in the volatility process”, (with Bart Frijns, Remco Zwinkels), Journal of Empirical Finance, Vol. 18, 4, 522-532, 2011

“TIPS, Inflation Expectations and the Financial Crisis”, (with Aleksandar Andonov, Florian Bardong) Financial Analysts Journal, Vol. 66, 6, 27-39, 2010

"Behavioral Heterogeneity in the Option Market", (with Bart Frijns and Remco Zwinkels) Journal of Economic Dynamics and Control, Vol. 34, 11, 2273-2287, 2010

“Loss Functions in Option Valuation: A Framework for Selection”, (withDennis Bams and Christiaan Wolff), Management Science, Vol. 55, 5, 853-862, 2009

“Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks”, (with S. Kleimeier, W. Verschoor), Oxford Bulletin of Economics and Statistics, Vol. 70, 4, 493-508, 2008

“On the Determinants of Portfolio Choice“, (with B. Frijns, E. Koellen), Journal of Economic Behavior and Organization, Vol. 66, 373-386, 2008

"On the Relationship between Credit Rating Announcements and Credit Default Swap Spreads for European Reference Entities", (with F. Neske), Journal of Credit Risk, 2 (2), 83-90, 2006

“An Evaluation Framework for Alternative VaR Models”, (with: D. Bams and C.C.P. Wolff), Journal of International Money and Finance, Vol. 24, 6,944-958, 2005

"TIPS, Break-Even Inflation, and Inflation Forecasts", (with: F. Bardong), The Journal of Fixed Income, Vol. 14, 3, 15-35, 2004

"On the Efficiency of European Inflation-Indexed Government Debt Security Markets", (with F. Bardong), Journal of Portfolio Management, Vol. 30, 4, 226-238, 2004

“Explaining Smiles: GARCH Option Pricing with Conditional Leptokurtosis and Skewness”, Journal of Derivatives, Vol. 10, 3, 27-39, 2003



Last updated on: 22 sept 2016