11
H index
12
i10 index
678
Citations
Markus Leippold : Citation Profile
Universität Zürich | RESEARCH PRODUCTION: 34 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (1999 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Markus Leippold. | Is cited by:
| Cites to:
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Main data
Where Markus Leippold has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 7 |
| Journal of Economic Dynamics and Control | 4 |
| Review of Finance | 3 |
| Journal of Financial and Quantitative Analysis | 3 |
| Journal of Financial Economics | 2 |
| European Financial Management | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 8 |
| Finance / University Library of Munich, Germany | 3 |
Recent works citing Markus Leippold (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper |
| 2024 | How to handle the COS method for option pricing. (2023). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012. Full description at Econpapers || Download paper |
| 2024 | Greeks pitfalls for the COS method in the Laplace model. (2023). Junike, Gero ; Behrens, Tobias. In: Papers. RePEc:arx:papers:2306.08421. Full description at Econpapers || Download paper |
| 2024 | Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Peng, Xianhua ; Cheng, Xue. In: Papers. RePEc:arx:papers:2404.16295. Full description at Econpapers || Download paper |
| 2024 | Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338. Full description at Econpapers || Download paper |
| 2025 | Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012. Full description at Econpapers || Download paper |
| 2024 | Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075. Full description at Econpapers || Download paper |
| 2024 | Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281. Full description at Econpapers || Download paper |
| 2024 | Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. (2024). Chen, Weihua ; Mamon, Rogemar ; Zeng, Pingping ; Xiong, Heng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001463. Full description at Econpapers || Download paper |
| 2024 | Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094. Full description at Econpapers || Download paper |
| 2024 | First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085. Full description at Econpapers || Download paper |
| 2024 | Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212. Full description at Econpapers || Download paper |
| 2025 | Portfolio default losses driven by idiosyncratic risks. (2025). Yang, Yang ; Tong, Zhiwei ; Chen, Shaoying. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:3:p:765-776. Full description at Econpapers || Download paper |
| 2024 | Variance dynamics and term structure of the natural gas market. (2024). Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu ; Wei, Xinyang. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882. Full description at Econpapers || Download paper |
| 2024 | Factor models for Chinese A-shares. (2024). Swinkels, Laurens ; Jansen, Maarten ; Hanauer, Matthias X ; Zhou, Weili. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300491x. Full description at Econpapers || Download paper |
| 2024 | Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Bouri, Elie ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947. Full description at Econpapers || Download paper |
| 2024 | Modeling volatility in dynamic term structure models. (2024). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001491. Full description at Econpapers || Download paper |
| 2024 | Optimal investment for asset–liability management with delay and partial information under Ornstein–Uhlenbeck process. (2024). Yang, Wensheng ; Chen, Dengsheng ; Wang, Chengben. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001537. Full description at Econpapers || Download paper |
| 2024 | Does air pollution affect the accrual anomaly in the Chinese capital market? From the perspective of investment adjustment strategy. (2024). Wang, Shengnian ; Hu, Shuya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000606. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
Works by Markus Leippold:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2005 | Statistics, Econometrics and Forecasting. Arnold Zellner In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
| 2018 | Maximum diversification strategies along commodity risk factors In: European Financial Management. [Full Text][Citation analysis] | article | 4 |
| 2018 | The mixed vs the integrated approach to style investing: Much ado about nothing? In: European Financial Management. [Full Text][Citation analysis] | article | 6 |
| 2011 | Collateral Smile In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Collateral smile.(2015) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2011 | A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2012 | A remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’.(2012) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2012 | Are Ratings the Worst Form of Credit Assessment Apart from All the Others? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2016 | Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 49 |
| 2019 | Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets.(2019) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | article | |
| 2016 | Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
| 2015 | Strategic Technology Adoption and Hedging under Incomplete Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2017 | Strategic technology adoption and hedging under incomplete markets.(2017) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2015 | Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model.(2017) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2016 | Discrete-Time Option Pricing with Stochastic Liquidity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 14 |
| 2017 | Discrete-time option pricing with stochastic liquidity.(2017) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2002 | Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 120 |
| 2002 | Asset Pricing Under The Quadratic Class.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 120 | paper | |
| 2010 | The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 108 |
| 2018 | Are Ratings the Worst Form of Credit Assessment Except for All the Others? In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 8 |
| 2013 | Whats Beneath the Surface? Option Pricing with Multifrequency Latent States In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 7 |
| 2015 | What is beneath the surface? Option pricing with multifrequency latent states.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2020 | Short-run risk, business cycle, and the value premium In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2004 | A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 53 |
| 2002 | A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2006 | Equilibrium impact of value-at-risk regulation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 18 |
| 2019 | Particle filtering, learning, and smoothing for mixed-frequency state-space models In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2014 | The dispersion effect in international stock returns In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 2006 | Optimal credit limit management under different information regimes In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2006 | Economic benefit of powerful credit scoring In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 40 |
| 2007 | A simple model of credit contagion In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 57 |
| 2011 | A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults In: Management Science. [Full Text][Citation analysis] | article | 3 |
| 2020 | Option-Implied Intrahorizon Value at Risk In: Management Science. [Full Text][Citation analysis] | article | 3 |
| 2005 | Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2012 | Equilibrium Implications of Delegated Asset Management under Benchmarking In: Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2020 | How Rational and Competitive Is the Market for Mutual Funds?* In: Review of Finance. [Full Text][Citation analysis] | article | 5 |
| 2003 | Design and Estimation of Quadratic Term Structure Models In: Review of Finance. [Full Text][Citation analysis] | article | 44 |
| 2002 | Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2008 | Learning and Asset Prices Under Ambiguous Information In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 57 |
| 2005 | Learning and Asset Prices under Ambiguous Information.(2005) In: University of St. Gallen Department of Economics working paper series 2005. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
| 2016 | Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Data snooping and the global accrual anomaly In: Applied Financial Economics. [Full Text][Citation analysis] | article | 10 |
| 2009 | The Valuation of American Options with Stochastic Stopping Time Constraints In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2012 | International price and earnings momentum In: The European Journal of Finance. [Full Text][Citation analysis] | article | 14 |
| 2011 | Multiperiod mean-variance efficient portfolios with endogenous liabilities In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2007 | Trend derivatives: Pricing, hedging, and application to executive stock options In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
| 1999 | The Potential Approach to Bond and Currency Pricing In: Finance. [Full Text][Citation analysis] | paper | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team