Markus Leippold : Citation Profile


Are you Markus Leippold?

Universität Zürich
Swiss Finance Institute

7

H index

7

i10 index

316

Citations

RESEARCH PRODUCTION:

10

Articles

5

Papers

RESEARCH ACTIVITY:

   10 years (1999 - 2009). See details.
   Cites by year: 31
   Journals where Markus Leippold has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 4 (1.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple204
   Updated: 2020-02-22    RAS profile: 2011-09-19    
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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 (11)

Realdon, Marco (10)

Realdon, Marco (8)

Scaillet, Olivier (7)

Monfort, Alain (7)

Parolya, Nestor (6)

gourieroux, christian (6)

Boyarchenko, Nina (5)

Basso, Antonella (5)

Pegoraro, Fulvio (5)

Miao, Jianjun (4)

Cites to:

Hodrick, Robert (10)

Bekaert, Geert (8)

Campbell, John (7)

Backus, David (6)

Wu, Liuren (6)

Jarrow, Robert (4)

Marshall, David (4)

Vanini, Paolo (3)

Trojani, Fabio (3)

Shiller, Robert (3)

Telmer, Chris (3)

Main data


Where Markus Leippold has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Finance / University Library of Munich, Germany3

Recent works citing Markus Leippold (2018 and 2017)


YearTitle of citing document
2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2017Concurrent Credit Portfolio Losses. (2017). Sicking, Joachim ; Schafer, Rudi ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1604.06917.

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2018Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information. (2018). Masoudy, Farouq Abdulaziz. In: Papers. RePEc:arx:papers:1801.06966.

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2017Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, José. In: Staff Working Papers. RePEc:bca:bocawp:17-30.

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2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18.

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2017Probability-of-default curve calibration and validation of internal rating systems. (2017). Nehrebecka, Natalia. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-35.

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2017Loan pricing under estimation risk. (2017). Richard, Neuberg ; Lauren, Hannah . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:69-87:n:4.

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2018Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading. (2018). Imke, Redeker ; Ralf, Wunderlich. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:1-21:n:1.

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2017Uncertainty shocks, asset supply and pricing over the business cycle. (2017). Schneider, Martin ; Ilut, Cosmin ; Bianchi, Francesco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11950.

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2019Intersectoral default contagion: A multivariate Poisson autoregression analysis. (2019). Maggi, Mario ; Escribano, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:376-400.

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2018Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:109-128.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2019Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model. (2019). Wu, Linjia ; Li, Chenxu. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:768-779.

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2018Prediction of company failure: Past, present and promising directions for the future. (2018). Jayasekera, Ranadeva . In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:196-208.

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2017Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium. (2017). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:100-106.

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2017Time-consistent mean–variance asset–liability management with random coefficients. (2017). Wei, Jiaqin ; Wang, Tianxiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:84-96.

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2018Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. (2018). Li, Danping ; Zeng, Yan ; Shen, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:72-86.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2017Confidence, bond risks, and equity returns. (2017). Zhao, Guihai. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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2019Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment. (2019). He, Yuanping ; Liu, Haifei ; Wang, Jiepeng ; Chen, Tingqiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:458-480.

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2019Information authenticity, spreading willingness and credit risk contagion – A dual-layer network perspective. (2019). Feng, Hairong ; Gu, Jing ; Yang, Yang ; Qian, Qian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119314438.

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2019Asset pricing with time varying pessimism and rare disasters. (2019). Wu, Ji ; Liu, Hening ; Kong, Dongmin ; Zhang, Jian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:165-175.

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2018A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Meldrum, Andrew C ; Andreasen, Martin M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

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2018Extreme Portfolio Loss Correlations in Credit Risk. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:72-:d:158439.

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2018Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions. (2018). Liu, Haifei ; Xiao, Binqing ; Chen, Tingqiang. In: Complexity. RePEc:hin:complx:1843792.

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2018Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory. (2018). Kandhai, Drona ; Sourabh, Sumit ; Anagnostou, Ioannis. In: Complexity. RePEc:hin:complx:6076173.

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2019NORTA for portfolio credit risk. (2019). Tran, Quang Khoi ; Channouf, Nabil ; Ben-Ameur, Hatem ; Ayadi, Mohamed A. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2829-8.

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2018Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Zhang, Yuanyuan ; Guo, Sini ; Li, Xiang. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

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2017Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks. (2017). Pan, Jian ; Xiao, Qingxian. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:3:d:10.1007_s00186-017-0580-6.

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2017Essays on robust asset pricing. (2017). Horvath, Ferenc. In: Other publications TiSEM. RePEc:tiu:tiutis:e54d7b33-1f27-4b0e-9f84-f96636a04c1e.

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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
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
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article101
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
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This paper has another version. Agregated cites: 101
paper
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
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article37
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: 37
paper
2006Equilibrium impact of value-at-risk regulation In: Journal of Economic Dynamics and Control.
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article18
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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article29
2007A simple model of credit contagion In: Journal of Banking & Finance.
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article51
2005Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models In: Review of Derivatives Research.
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article1
2008Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies.
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article47
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: 47
paper
2009The Valuation of American Options with Stochastic Stopping Time Constraints In: Applied Mathematical Finance.
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article0
2002Design and Estimation of Quadratic Term Structure Models In: Finance.
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paper31
1999The Potential Approach to Bond and Currency Pricing In: Finance.
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paper1

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