- Ludger Hentschel, 2003, Errors in implied volatility estimation.", Journal of Financial and Quantitative Analysis 38:779--810. (Abstract)
- Ludger Hentschel and S.P. Kothari, 2001, "Are corporations reducing or taking risks with derivatives?" Journal of Financial and Quantitative Analysis 36: 93--118. (Abstract)
- Ludger Hentschel and Clifford W. Smith, Jr., 1997, "Derivatives regulation: Implications for central banks." Journal of Monetary Economics 40: 305--346. (Abstract)
- Ludger Hentschel and Clifford W. Smith, Jr., 1997, "Risks in derivatives markets: Implications for the insurance industry." Journal of Risk and Insurance 64: 323--345. (Abstract)
- Ludger Hentschel, 1995, "All in the family: Nesting symmetric and asymmetric GARCH models." Journal of Financial Economics 39: 71--104. (Abstract)
- Ludger Hentschel and Clifford W. Smith, Jr., 1995, "Controlling risks in derivatives markets." Journal of Financial Engineering 4: 101--125. (Abstract)
- Ludger Hentschel and Clifford W. Smith, Jr., 1994, "Risk and regulation in derivatives markets." Journal of Applied Corporate Finance, Fall, 7: 8--21. (Abstract)
- Journal of Applied Corporate Finance, The Best of 1988--1994 Collection.
- Derivatives Handbook: Risk Management and Control, Robert J. Schwartz and Clifford W. Smith, Jr., eds., (John Wiley and Sons, New York, NY), 1997, 3--21.
- John Y. Campbell and Ludger Hentschel, 1992, "No news is good news: An asymmetric model of changing volatility in stock returns." Journal of Financial Economics 31: 281--331. (Abstract)
- For many papers, the last version prior to publication can be downloaded from this page in Adobe Acrobat format. (Abstracts are small text files.)
These papers are not identical to the published papers.
- Many final edits and corrections were made in the galley proofs of the published papers and these improvements are not reflected in the posted versions. For several of these papers, final graphics were produced by the publishers and may not be available at all, or may differ significantly from the graphics included in the posted version.
When at all possible, the interested reader should obtain the published version of these papers.
Increasingly, journals offer subscribers electronic access to published papers. Here are some links to journals that contain my papers and offer services of this type. Some of my papers predate the earliest electronically available papers at these journals, but I strongly encourage interested readers to check these archives for my recent papers: