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 0 428 7 9 14 1,789
A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives 0 0 0 5 2 3 6 50
Are Ratings the Worst Form of Credit Assessment Apart from All the Others? 0 0 0 3 2 3 5 29
Asset Pricing Under The Quadratic Class 1 1 1 396 4 9 24 872
Collateral Smile 0 0 0 8 0 1 3 45
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 3 3 15 1,322
Discrete-Time Option Pricing with Stochastic Liquidity 0 0 0 11 1 2 10 65
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets 0 0 5 7 3 6 28 58
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 0 0 0 8 3 5 18 56
Learning and Asset Prices under Ambiguous Information 0 0 0 183 2 4 12 597
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model 0 0 0 9 2 4 14 70
Strategic Technology Adoption and Hedging under Incomplete Markets 0 1 1 25 1 3 7 23
The Potential Approach to Bond and Currency Pricing 0 0 0 488 3 4 8 1,604
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube 0 0 0 20 1 5 11 26
What's Beneath the Surface? Option Pricing with Multifrequency Latent States 0 0 1 27 3 3 8 90
Total Working Papers 1 2 8 2,098 37 64 183 6,696
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 0 0 1 27 2 3 9 113
A geometric approach to multiperiod mean variance optimization of assets and liabilities 0 0 0 113 2 2 8 474
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’ 0 0 0 6 3 4 7 74
A simple model of credit contagion 0 0 1 124 1 2 13 367
Are Ratings the Worst Form of Credit Assessment Except for All the Others? 0 0 0 12 2 3 8 59
Asset Pricing under the Quadratic Class 0 0 0 45 2 2 13 143
Collateral smile 0 0 0 4 2 2 8 33
Data snooping and the global accrual anomaly 0 0 0 12 1 1 8 75
Design and Estimation of Quadratic Term Structure Models 0 0 0 2 3 4 6 23
Discrete-time option pricing with stochastic liquidity 0 0 0 16 2 6 13 78
Economic benefit of powerful credit scoring 0 0 1 171 4 5 15 431
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models 0 0 0 212 3 5 11 688
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 56 1 3 11 206
How Rational and Competitive Is the Market for Mutual Funds?* 1 1 1 14 2 4 11 51
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 0 0 1 20 2 5 21 127
International price and earnings momentum 0 0 1 38 2 2 10 115
Learning and Asset Prices Under Ambiguous Information 0 1 1 85 4 8 17 236
Maximum diversification strategies along commodity risk factors 0 0 0 10 2 4 13 52
Multiperiod mean-variance efficient portfolios with endogenous liabilities 0 0 0 1 1 4 9 22
Optimal credit limit management under different information regimes 0 0 1 85 2 3 10 296
Particle filtering, learning, and smoothing for mixed-frequency state-space models 0 0 0 7 2 4 6 32
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model 0 0 0 6 3 4 9 48
Short-run risk, business cycle, and the value premium 0 0 1 6 4 7 18 47
Statistics, Econometrics and Forecasting. Arnold Zellner 0 0 0 23 4 4 6 75
Strategic technology adoption and hedging under incomplete markets 0 1 1 15 1 2 6 56
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 1 2 53 1 2 11 182
The Valuation of American Options with Stochastic Stopping Time Constraints 0 0 0 25 0 0 4 109
The dispersion effect in international stock returns 0 0 0 5 2 2 10 49
The mixed vs the integrated approach to style investing: Much ado about nothing? 0 0 1 9 0 2 9 38
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube 0 0 0 37 3 6 16 157
Trend derivatives: Pricing, hedging, and application to executive stock options 0 0 0 2 3 3 8 15
What is beneath the surface? Option pricing with multifrequency latent states 0 1 1 11 1 9 18 107
Total Journal Articles 1 5 15 1,255 67 117 342 4,605
1 registered items for which data could not be found
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Statistics updated 2026-05-06