Markus Leippold : Citation Profile


Are you Markus Leippold?

Universität Zürich
Swiss Finance Institute

9

H index

9

i10 index

467

Citations

RESEARCH PRODUCTION:

34

Articles

16

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 22
   Journals where Markus Leippold has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 9 (1.89 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple204
   Updated: 2021-03-01    RAS profile: 2020-11-24    
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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:

Wu, Liuren (13)

Realdon, Marco (10)

Realdon, Marco (8)

Monfort, Alain (7)

Scaillet, Olivier (7)

gourieroux, christian (6)

Parolya, Nestor (6)

Basso, Antonella (5)

Alexander, Carol (5)

Pegoraro, Fulvio (5)

Boyarchenko, Nina (5)

Cites to:

Campbell, John (10)

Hodrick, Robert (6)

Wolf, Michael (6)

Trojani, Fabio (5)

Duffie, Darrell (5)

Backus, David (4)

Shiller, Robert (4)

Jarrow, Robert (4)

Vanini, Paolo (3)

gourieroux, christian (3)

Wu, Liuren (3)

Main data


Where Markus Leippold has published?


Journals with more than one article published# docs
Journal of Banking & Finance7
Journal of Economic Dynamics and Control4
Review of Finance3
Journal of Financial and Quantitative Analysis3
European Financial Management2
Management Science2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute8
Finance / University Library of Munich, Germany3

Recent works citing Markus Leippold (2021 and 2020)


YearTitle of citing document
2020Polynomial term structure models. (2016). Tehranchi, Michael R. ; Cheng, SI. In: Papers. RePEc:arx:papers:1504.03238.

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2021Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2020Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing. (2020). Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.09911.

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2020Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2005.06782.

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2020Mean-variance-utility portfolio selection with time and state dependent risk aversion. (2020). He, Xin-Jiang ; Yang, Ben-Zhang ; Zhu, Song-Ping. In: Papers. RePEc:arx:papers:2007.06510.

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2020Background Risk and Small-Stakes Risk Aversion. (2020). Pomatto, Luciano ; Mu, Xiaosheng ; Tamuz, Omer ; Strack, Philipp. In: Papers. RePEc:arx:papers:2010.08033.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020Dynamically consistent alpha‐maxmin expected utility. (2020). Riedel, Frank ; Lin, Qian ; Beissner, Patrick. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1073-1102.

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2020Interest Rate Model with Investor Attitude and Text Mining (Published in IEEE Access). (2020). Takahashi, Akihiko ; Saito, Taiga ; Nishimura, Kiyohiko G ; Nakatani, Souta. In: CARF F-Series. RePEc:cfi:fseres:cf479.

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2020On booms that never bust: Ambiguity in experimental asset markets with bubbles. (2020). Kujal, Praveen ; Corgnet, Brice ; Hernan-Gonzalez, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919301514.

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2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980.

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2020An investment-based explanation for the dispersion anomaly. (2020). Min, Byoung-Kyu ; Roh, Tai-Yong. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304215.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Up- and downside variance risk premia in global equity markets. (2020). Thimme, Julian ; Omachel, Marcel ; Kapraun, Julia ; Held, Matthias . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301412.

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2020Pricing options under simultaneous stochastic volatility and jumps: A simple closed-form formula without numerical/computational methods. (2020). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317492.

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2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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2020A Quasi-Closed-Form Solution for the Valuation of American Put Options. (2020). Viegas, Cristina ; Azevedo-Pereira, Jose . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:4:p:62-:d:430231.

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2020Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?. (2020). Satchell, Stephen ; Yao, Juan ; Liu, Shuang. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:98-:d:358918.

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2020A Review of the Post-Earnings-Announcement Drift. (2020). Fink, Josef. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-04.

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2021Machine Learning or Econometrics for Credit Scoring: Lets Get the Best of Both Worlds *. (2020). Hurlin, Christophe ; Tokpavi, Sessi ; Hue, Sullivan ; Dumitrescu, Elena . In: Working Papers. RePEc:hal:wpaper:hal-02507499.

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2020Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market. (2020). Wiwatanapataphee, Benchawan ; Wu, Yonghong ; Yang, YU. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00360-6.

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2020Model and estimation risk in credit risk stress tests. (2020). Grundke, Peter ; Tuchscherer, Michael ; Pliszka, Kamil. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00840-5.

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2020.

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2020Conic quantization: stochastic volatility and market implied liquidity. (2020). Schoutens, Wim ; Fiorin, Lucio. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:4:p:531-542.

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2020Interest Rate Model With Investor Attitude and Text Mining. (2020). Takahashi, Akihiko ; Saito, Taiga ; Nishimura, Kiyohiko G ; Nakatani, Souta. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1152.

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2020Does Bitcoin Improve Investment Portfolio Efficiency?. (2020). Turovtseva, Daria ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2020-42.

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2020Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534.

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2020Enhancing managerial equity incentives with moving average payoffs. (2020). Tian, Yisong S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1562-1583.

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2020Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices. (2020). Cao, Jiling ; Zhang, Wenjun ; Ruan, Xinfeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:945-973.

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2021Volatility?of?volatility risk in the crude oil market. (2021). Zhao, Yang ; Xu, Yahua ; Touranirad, Alireza ; Roh, Taiyong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:245-265.

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2020Provisions for bank deposit withdrawals and portfolio selection. (2020). Perera, Ryle S. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786319500373.

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Works by Markus Leippold:


YearTitleTypeCited
2005Statistics, Econometrics and Forecasting. Arnold Zellner In: Journal of the American Statistical Association.
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article0
2018Maximum diversification strategies along commodity risk factors In: European Financial Management.
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article3
2018The mixed vs the integrated approach to style investing: Much ado about nothing? In: European Financial Management.
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article1
2011Collateral Smile In: Swiss Finance Institute Research Paper Series.
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paper1
2015Collateral smile.(2015) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 1
article
2011A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives In: Swiss Finance Institute Research Paper Series.
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paper3
2012A remark on Lin and Changs paper ‘Consistent modeling of S&P 500 and VIX derivatives’.(2012) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 3
article
2012Are Ratings the Worst Form of Credit Assessment Apart from All the Others? In: Swiss Finance Institute Research Paper Series.
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paper0
2012Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube In: Swiss Finance Institute Research Paper Series.
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paper1
2014Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube.(2014) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 1
article
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets In: Swiss Finance Institute Research Paper Series.
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paper12
2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets.(2019) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 12
article
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 12
paper
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 12
paper
2015Strategic Technology Adoption and Hedging under Incomplete Markets In: Swiss Finance Institute Research Paper Series.
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paper2
2017Strategic technology adoption and hedging under incomplete markets.(2017) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 2
article
2015Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model In: Swiss Finance Institute Research Paper Series.
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paper4
2017Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model.(2017) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 4
article
2016Discrete-Time Option Pricing with Stochastic Liquidity In: Swiss Finance Institute Research Paper Series.
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paper9
2017Discrete-time option pricing with stochastic liquidity.(2017) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 9
article
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
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article104
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
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This paper has another version. Agregated cites: 104
paper
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
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article73
2018Are Ratings the Worst Form of Credit Assessment Except for All the Others? In: Journal of Financial and Quantitative Analysis.
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article2
2013Whats Beneath the Surface? Option Pricing with Multifrequency Latent States In: HEC Research Papers Series.
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paper3
2015What is beneath the surface? Option pricing with multifrequency latent states.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 3
article
2020Short-run risk, business cycle, and the value premium In: Journal of Economic Dynamics and Control.
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article0
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
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article42
2002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities.(2002) In: FAME Research Paper Series.
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This paper has another version. Agregated cites: 42
paper
2006Equilibrium impact of value-at-risk regulation In: Journal of Economic Dynamics and Control.
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article18
2019Particle filtering, learning, and smoothing for mixed-frequency state-space models In: Econometrics and Statistics.
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article0
2014The dispersion effect in international stock returns In: Journal of Empirical Finance.
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article2
2006Optimal credit limit management under different information regimes In: Journal of Banking & Finance.
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article0
2006Economic benefit of powerful credit scoring In: Journal of Banking & Finance.
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article30
2007A simple model of credit contagion In: Journal of Banking & Finance.
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article53
2011A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults In: Management Science.
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article1
2020Option-Implied Intrahorizon Value at Risk In: Management Science.
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article0
2005Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models In: Review of Derivatives Research.
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article1
2012Equilibrium Implications of Delegated Asset Management under Benchmarking In: Review of Finance.
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article0
2020How Rational and Competitive Is the Market for Mutual Funds?* In: Review of Finance.
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article0
2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
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article31
2002Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance.
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This paper has another version. Agregated cites: 31
paper
2008Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies.
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article49
2005Learning and Asset Prices under Ambiguous Information.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
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This paper has another version. Agregated cites: 49
paper
2012Data snooping and the global accrual anomaly In: Applied Financial Economics.
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article8
2009The Valuation of American Options with Stochastic Stopping Time Constraints In: Applied Mathematical Finance.
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article0
2012International price and earnings momentum In: The European Journal of Finance.
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article9
2011Multiperiod mean-variance efficient portfolios with endogenous liabilities In: Quantitative Finance.
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article1
2007Trend derivatives: Pricing, hedging, and application to executive stock options In: Journal of Futures Markets.
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article3
1999The Potential Approach to Bond and Currency Pricing In: Finance.
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paper1

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