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 1 425 0 0 8 1,767
A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives 0 0 1 5 0 0 4 41
Are Ratings the Worst Form of Credit Assessment Apart from All the Others? 0 0 0 3 0 0 2 24
Asset Pricing Under The Quadratic Class 0 0 0 393 0 0 0 841
Collateral Smile 0 0 0 7 0 0 0 38
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 0 0 0 1,305
Discrete-Time Option Pricing with Stochastic Liquidity 0 1 2 9 1 2 6 50
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets 0 0 0 1 1 2 5 14
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 0 0 0 6 0 1 3 31
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 0 0 2 49 0 2 8 131
Learning and Asset Prices under Ambiguous Information 0 0 2 182 0 0 3 581
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model 0 0 0 9 0 0 0 47
Strategic Technology Adoption and Hedging under Incomplete Markets 0 0 0 23 0 0 0 14
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 0 0 1,594
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube 0 0 1 19 0 1 3 11
What's Beneath the Surface? Option Pricing with Multifrequency Latent States 0 0 1 26 0 0 4 78
Total Working Papers 0 1 10 2,125 2 8 46 6,567


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 0 0 1 26 0 1 6 101
A geometric approach to multiperiod mean variance optimization of assets and liabilities 0 0 0 113 0 1 6 465
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’ 0 0 0 5 0 1 3 58
A simple model of credit contagion 0 0 1 120 0 0 5 344
Are Ratings the Worst Form of Credit Assessment Except for All the Others? 0 0 2 9 1 1 7 41
Asset Pricing under the Quadratic Class 0 0 0 43 1 1 2 127
Collateral smile 0 0 1 3 0 0 3 18
Data snooping and the global accrual anomaly 0 0 0 12 1 2 3 67
Design and Estimation of Quadratic Term Structure Models 0 0 0 1 0 0 1 13
Discrete-time option pricing with stochastic liquidity 0 0 3 15 0 0 5 59
Economic benefit of powerful credit scoring 2 3 14 160 2 5 22 395
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models 1 1 1 209 1 1 1 671
Equilibrium Implications of Delegated Asset Management under Benchmarking 0 0 0 3 0 0 0 27
Equilibrium impact of value-at-risk regulation 0 0 1 54 0 0 2 190
How Rational and Competitive Is the Market for Mutual Funds?* 0 0 3 9 0 1 6 35
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 1 2 6 15 3 7 19 76
International price and earnings momentum 0 0 2 34 0 0 4 99
Learning and Asset Prices Under Ambiguous Information 0 0 0 81 0 1 8 213
Maximum diversification strategies along commodity risk factors 0 0 0 7 1 1 4 33
Multiperiod mean-variance efficient portfolios with endogenous liabilities 0 0 0 1 0 0 1 10
Optimal credit limit management under different information regimes 1 1 2 83 1 2 4 278
Option-Implied Intrahorizon Value at Risk 0 0 1 2 1 1 2 9
Particle filtering, learning, and smoothing for mixed-frequency state-space models 0 1 1 7 0 1 1 19
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model 0 0 0 6 0 0 1 37
Short-run risk, business cycle, and the value premium 0 0 2 4 0 2 6 21
Statistics, Econometrics and Forecasting. Arnold Zellner 0 0 0 23 0 0 3 64
Strategic technology adoption and hedging under incomplete markets 0 1 2 14 0 1 6 48
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 3 46 1 2 8 158
The Valuation of American Options with Stochastic Stopping Time Constraints 0 0 0 24 0 0 1 101
The dispersion effect in international stock returns 0 0 0 3 1 1 4 32
The mixed vs the integrated approach to style investing: Much ado about nothing? 0 0 1 6 0 0 2 19
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube 0 0 2 37 0 0 3 140
Trend derivatives: Pricing, hedging, and application to executive stock options 0 0 0 2 0 0 0 7
What is beneath the surface? Option pricing with multifrequency latent states 0 1 1 8 2 3 4 85
Total Journal Articles 5 10 50 1,185 16 36 153 4,060


Statistics updated 2022-11-05