Access Statistics for Markus Leippold

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities 0 0 1 428 0 0 4 1,775
A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives 0 0 0 5 0 1 2 45
Are Ratings the Worst Form of Credit Assessment Apart from All the Others? 0 0 0 3 0 0 0 24
Asset Pricing Under The Quadratic Class 0 0 1 395 0 1 4 849
Collateral Smile 0 0 0 8 0 0 0 42
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 0 1 2 1,308
Discrete-Time Option Pricing with Stochastic Liquidity 0 0 0 11 0 1 1 56
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets 1 1 1 3 1 2 6 32
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 0 0 1 8 0 3 7 41
Learning and Asset Prices under Ambiguous Information 0 0 0 183 0 0 1 585
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model 0 0 0 9 0 0 2 56
Strategic Technology Adoption and Hedging under Incomplete Markets 0 0 0 24 0 0 0 16
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 0 1 1,596
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube 0 0 1 20 0 0 2 15
What's Beneath the Surface? Option Pricing with Multifrequency Latent States 0 0 0 26 1 1 2 83
Total Working Papers 1 1 5 2,091 2 10 34 6,523
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults 1 1 1 27 1 1 1 105
A geometric approach to multiperiod mean variance optimization of assets and liabilities 0 0 0 113 0 0 0 466
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’ 0 0 0 6 0 2 6 69
A simple model of credit contagion 0 1 1 124 2 3 5 357
Are Ratings the Worst Form of Credit Assessment Except for All the Others? 0 0 0 12 0 0 7 51
Asset Pricing under the Quadratic Class 0 0 0 45 0 1 1 131
Collateral smile 0 0 0 4 0 1 1 26
Data snooping and the global accrual anomaly 0 0 0 12 0 0 0 67
Design and Estimation of Quadratic Term Structure Models 0 0 1 2 0 0 1 17
Discrete-time option pricing with stochastic liquidity 0 0 0 16 1 2 2 67
Economic benefit of powerful credit scoring 0 0 1 170 0 2 6 418
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models 0 0 1 212 0 0 1 677
Equilibrium Implications of Delegated Asset Management under Benchmarking 0 0 0 3 0 0 0 27
Equilibrium impact of value-at-risk regulation 0 1 1 56 1 2 4 197
How Rational and Competitive Is the Market for Mutual Funds?* 0 0 2 13 0 0 2 40
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 0 1 2 20 3 5 10 111
International price and earnings momentum 0 1 3 38 0 1 4 106
Learning and Asset Prices Under Ambiguous Information 0 0 1 84 0 1 3 220
Maximum diversification strategies along commodity risk factors 0 0 0 10 0 0 0 39
Multiperiod mean-variance efficient portfolios with endogenous liabilities 0 0 0 1 0 0 1 13
Optimal credit limit management under different information regimes 0 0 0 84 0 0 0 286
Particle filtering, learning, and smoothing for mixed-frequency state-space models 0 0 0 7 0 0 3 26
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model 0 0 0 6 0 1 3 40
Short-run risk, business cycle, and the value premium 0 0 0 5 2 2 4 31
Statistics, Econometrics and Forecasting. Arnold Zellner 0 0 0 23 0 0 1 69
Strategic technology adoption and hedging under incomplete markets 0 0 0 14 1 1 3 51
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 1 3 52 0 3 7 174
The Valuation of American Options with Stochastic Stopping Time Constraints 0 0 0 25 1 1 3 106
The dispersion effect in international stock returns 0 0 0 5 0 0 3 39
The mixed vs the integrated approach to style investing: Much ado about nothing? 0 0 0 8 0 0 3 29
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube 0 0 0 37 0 0 1 141
Trend derivatives: Pricing, hedging, and application to executive stock options 0 0 0 2 0 1 1 8
What is beneath the surface? Option pricing with multifrequency latent states 0 0 1 10 2 2 4 91
Total Journal Articles 1 6 18 1,246 14 32 91 4,295
1 registered items for which data could not be found
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