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 2 428 0 3 5 1,775
A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives 0 0 0 5 1 1 1 44
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 2 395 0 1 5 848
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 1,307
Discrete-Time Option Pricing with Stochastic Liquidity 0 0 0 11 0 0 0 55
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets 0 0 0 2 2 2 5 29
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 1 1 1 8 3 4 5 38
Learning and Asset Prices under Ambiguous Information 0 0 1 183 0 0 2 585
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model 0 0 0 9 0 1 3 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 1 1 1,596
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube 0 0 0 19 0 0 1 13
What's Beneath the Surface? Option Pricing with Multifrequency Latent States 0 0 0 26 0 1 1 82
Total Working Papers 1 1 6 2,089 6 15 31 6,510
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 0 26 0 0 0 104
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 1 6 0 1 4 65
A simple model of credit contagion 0 0 1 123 0 1 3 353
Are Ratings the Worst Form of Credit Assessment Except for All the Others? 0 0 0 12 1 4 7 51
Asset Pricing under the Quadratic Class 0 0 1 45 0 0 1 130
Collateral smile 0 0 0 4 0 0 1 25
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 2 17
Discrete-time option pricing with stochastic liquidity 0 0 0 16 0 0 1 65
Economic benefit of powerful credit scoring 0 0 2 170 0 1 6 416
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models 0 0 1 211 0 0 2 676
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 0 55 0 1 2 195
How Rational and Competitive Is the Market for Mutual Funds?* 0 1 3 13 0 1 3 40
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 0 0 3 19 1 1 6 103
International price and earnings momentum 0 2 3 37 0 2 4 105
Learning and Asset Prices Under Ambiguous Information 0 1 2 84 0 2 3 219
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 0 12
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 1 24
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model 0 0 0 6 0 0 2 39
Short-run risk, business cycle, and the value premium 0 0 0 5 0 0 2 28
Statistics, Econometrics and Forecasting. Arnold Zellner 0 0 0 23 0 0 0 68
Strategic technology adoption and hedging under incomplete markets 0 0 0 14 0 1 1 49
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 2 49 0 1 6 169
The Valuation of American Options with Stochastic Stopping Time Constraints 0 0 1 25 2 2 3 105
The dispersion effect in international stock returns 0 0 0 5 1 1 2 38
The mixed vs the integrated approach to style investing: Much ado about nothing? 0 0 1 8 0 1 4 29
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube 0 0 0 37 1 1 1 141
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 10 0 1 2 89
Total Journal Articles 0 5 23 1,237 6 22 69 4,247
1 registered items for which data could not be found
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Statistics updated 2025-03-03