Thorsten Lehnert : Citation Profile


Are you Thorsten Lehnert?

Université du Luxembourg

6

H index

5

i10 index

148

Citations

RESEARCH PRODUCTION:

11

Articles

5

Papers

RESEARCH ACTIVITY:

   12 years (2001 - 2013). See details.
   Cites by year: 12
   Journals where Thorsten Lehnert has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 6 (3.9 %)

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   Permalink: http://citec.repec.org/ple674
   Updated: 2018-10-13    RAS profile: 2014-11-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Thorsten Lehnert.

Is cited by:

Hommes, Cars (7)

Wolff, Christian (6)

He, Xuezhong (5)

Frijns, Bart (5)

ter Ellen, Saskia (4)

Li, Youwei (4)

Baruník, Jozef (4)

Santucci de Magistris, Paolo (3)

Zwinkels, Remco (3)

Kukacka, Jiri (3)

Weber, Martin (3)

Cites to:

Shleifer, Andrei (15)

Wolff, Christian (10)

Christoffersen, Peter (9)

Bollerslev, Tim (8)

Lopez-de-Silanes, Florencio (8)

La Porta, Rafael (7)

Stulz, René (6)

He, Xuezhong (6)

Cao, Charles (6)

Hommes, Cars (6)

Chen, Zhiwu (6)

Main data


Where Thorsten Lehnert has published?


Journals with more than one article published# docs
Applied Economics Letters2

Recent works citing Thorsten Lehnert (2018 and 2017)


YearTitle of citing document
2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong . In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2017Conditional returns to shareholders of bidding firms: an Australian study. (2017). Akhtar, Farida. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:3-43.

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2017National Culture and Default on Mortgages. (2017). Tajaddini, Reza ; Gholipour Fereidouni, Hassan. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:107-133.

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2017Comparing behavioural heterogeneity across asset classes. (2017). ter Ellen, Saskia ; Hommes, Cars. In: Working Paper. RePEc:bno:worpap:2017_12.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2017Anti-misconduct policies, corporate governance and capital market responses: International evidence. (2017). Li, Changhong ; Wu, Zhenyu ; Wang, Yuan ; Liu, Mingzhi . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:47-60.

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2018Financial markets and genetic variation. (2018). Cardella, Eric ; Shang, Danjue ; Kalcheva, Ivalina . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:64-89.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017Uncertainty avoiding behavior and cross-border acquisitions in the Asia-Pacific region. (2017). Bremer, Marc ; Suzuki, Kazunori ; Inoue, Kotaro ; Hoshi, Akio . In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:99-112.

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2018Loss aversion around the world: Empirical evidence from pension funds. (2018). Hwang, Soosung ; Pantelous, Athanasios A ; Xie, Yuxin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:52-62.

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2017The effects of expectations-based monetary policy on international stock markets: An application of heterogeneous agent model. (2017). Ma, Tai ; Hung, Kuo-Che . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:70-87.

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2018Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries. (2018). Tortorice, Daniel ; Kita, Arben . In: Working Papers. RePEc:hcx:wpaper:1801.

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2017The Impact of Brand Experiences, Brand Equity and Corporate Branding on Brand Loyalty: Evidence from Jordan. (2017). Shlash, Anber Abraheem . In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:7:y:2017:i:3:p:58-69.

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2018Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Huang, Ya-Chi ; Tsao, Chueh-Yung. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9643-7.

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2018Focusing on volatility information instead of portfolio weights as an aid to investor decisions. (2018). Weber, Martin ; Laudenbach, Christine ; Ehm, Christian . In: Experimental Economics. RePEc:kap:expeco:v:21:y:2018:i:2:d:10.1007_s10683-017-9537-0.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886.

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2017Heterogeneous trading and complex price dynamics. (2017). Li, Mengling ; Zheng, Huanhuan. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-017-0196-1.

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2018Estimating heterogeneous agents behavior in a two-market financial system. (2018). Chen, Zhenxi ; Zheng, Huanhuan ; Huang, Weihong. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:3:d:10.1007_s11403-017-0190-7.

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2017The adaptiveness in stock markets: testing the stylized facts in the DAX 30. (2017). Li, Youwei ; He, Xuezhong. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0505-9.

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2017Behavioral heterogeneity in the Australian housing market. (2017). Chia, Wai-Mun ; Zheng, Huanhuan ; Li, Mengling . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:9:p:872-885.

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2018Behavioural heterogeneity in the New Zealand stock market. (2018). Frijns, Bart ; Indriawan, Ivan. In: New Zealand Economic Papers. RePEc:taf:nzecpp:v:52:y:2018:i:1:p:53-71.

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2018Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389.

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2017Anchoring and Overconfidence: The Influence of Culture and Cognitive Abilities. (2017). Monika, Czerwonka. In: International Journal of Management and Economics. RePEc:vrs:ijomae:v:53:y:2017:i:3:p:48-66:n:4.

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2017The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman. In: CFS Working Paper Series. RePEc:zbw:cfswop:567.

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2018Pricing sin stocks: Ethical preference vs. risk aversion. (2018). Colonnello, Stefano ; Gioffre, Alessandro ; Curatola, Giuliano. In: SAFE Working Paper Series. RePEc:zbw:safewp:216.

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Works by Thorsten Lehnert:


YearTitleTypeCited
2008Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks In: Oxford Bulletin of Economics and Statistics.
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article15
2001Modelling Scale-Consistent VaR with the Truncated Lévy Flight In: CEPR Discussion Papers.
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paper0
2002An Evaluation Framework for Alternative VaR Models In: CEPR Discussion Papers.
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paper20
2005An evaluation framework for alternative VaR-models.(2005) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 20
article
2005Loss Functions in Option Valuation: A Framework for Model Selection In: CEPR Discussion Papers.
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paper3
2012Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency In: CEPR Discussion Papers.
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paper5
2013Skewness Risk Premium: Theory and Empirical Evidence In: CEPR Discussion Papers.
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paper2
2004Option-based compensation: a survey In: The International Journal of Accounting.
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article3
2010Behavioral heterogeneity in the option market In: Journal of Economic Dynamics and Control.
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article50
2011Modeling structural changes in the volatility process In: Journal of Empirical Finance.
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article6
2004Scale-consistent Value-at-Risk In: Finance Research Letters.
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article1
2013Uncertainty avoidance, risk tolerance and corporate takeover decisions In: Journal of Banking & Finance.
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article18
2008On the determinants of portfolio choice In: Journal of Economic Behavior & Organization.
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article13
2009Loss Functions in Option Valuation: A Framework for Selection In: Management Science.
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article7
2005On style momentum strategies In: Applied Economics Letters.
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article1
2008TIPS and inflation expectations In: Applied Economics Letters.
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article4

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