Markus Leippold : Citation Profile


Are you Markus Leippold?

Universität Zürich
Swiss Finance Institute

10

H index

11

i10 index

591

Citations

RESEARCH PRODUCTION:

34

Articles

16

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 28
   Journals where Markus Leippold has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 9 (1.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple204
   Updated: 2022-11-19    RAS profile: 2022-01-13    
   Missing citations? Add them    Incorrect content? Let us know

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 (12)

Realdon, Marco (10)

Scaillet, Olivier (9)

Dew-Becker, Ian (8)

Giglio, Stefano (7)

gourieroux, christian (7)

Monfort, Alain (7)

Parolya, Nestor (6)

Carr, Peter (6)

Ait-Sahalia, Yacine (6)

Cites to:

Campbell, John (10)

Wolf, Michael (6)

Hodrick, Robert (6)

Trojani, Fabio (6)

Duffie, Darrell (5)

Backus, David (4)

Carr, Peter (4)

Shiller, Robert (4)

Bansal, Ravi (4)

Jarrow, Robert (4)

vanini, paolo (4)

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 (2022 and 2021)


YearTitle of citing document
2022Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Background Risk and Small-Stakes Risk Aversion. (2020). Pomatto, Luciano ; Mu, Xiaosheng ; Tamuz, Omer ; Strack, Philipp. In: Papers. RePEc:arx:papers:2010.08033.

Full description at Econpapers || Download paper

2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

Full description at Econpapers || Download paper

2022Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030.

Full description at Econpapers || Download paper

2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

Full description at Econpapers || Download paper

2022Model diagnostics of discrete data regression: a unifying framework using functional residuals. (2022). Liu, Dungang ; Lin, Zewei. In: Papers. RePEc:arx:papers:2207.04299.

Full description at Econpapers || Download paper

2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

Full description at Econpapers || Download paper

2021Passive funds affect prices: evidence from the most ETF-dominated asset classes. (2021). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:952.

Full description at Econpapers || Download paper

2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

Full description at Econpapers || Download paper

2021Presidential Address: How Much “Rationality” Is There in Bond?Market Risk Premiums?. (2021). Singleton, Kenneth J. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1611-1654.

Full description at Econpapers || Download paper

2021Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

Full description at Econpapers || Download paper

2022Precise option pricing by the COS method—How to choose the truncation range. (2022). Pankrashkin, Konstantin ; Junike, Gero. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:421:y:2022:i:c:s0096300322000212.

Full description at Econpapers || Download paper

2021A review of the Post-Earnings-Announcement Drift. (2021). Fink, Josef. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303750.

Full description at Econpapers || Download paper

2022Real options, risk aversion and markets: A corporate finance perspective. (2022). Ewald, Christian-Oliver ; Taub, Bart. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000074.

Full description at Econpapers || Download paper

2021Strategic technology switching under risk aversion and uncertainty. (2021). Chronopoulos, Michail ; Sendstad, Lars Hegnes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s0165188920300865.

Full description at Econpapers || Download paper

2021Entrepreneurial decisions with idiosyncratic risk and unknown profitability. (2021). Wang, Haijun ; Zhang, Wenlong. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002005.

Full description at Econpapers || Download paper

2021Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, Andrés ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370.

Full description at Econpapers || Download paper

2021A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model. (2021). Zhu, Chunhui ; Zhang, Yuanyuan ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001479.

Full description at Econpapers || Download paper

2022Pricing vulnerable options with stochastic liquidity risk. (2022). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002278.

Full description at Econpapers || Download paper

2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

Full description at Econpapers || Download paper

2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

Full description at Econpapers || Download paper

2021Simulation smoothing for nowcasting with large mixed-frequency VARs. (2021). Ankargren, Sebastian ; Joneus, Paulina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:97-113.

Full description at Econpapers || Download paper

2021Should regulators always be transparent? a bank run experiment. (2021). Kaplan, Todd R ; Fonseca, Miguel A ; Choo, Lawrence ; Chakravarty, Surajeet. In: European Economic Review. RePEc:eee:eecrev:v:136:y:2021:i:c:s0014292121001173.

Full description at Econpapers || Download paper

2021A one-sided Vysochanskii-Petunin inequality with financial applications. (2021). Strobel, Frank ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:374-377.

Full description at Econpapers || Download paper

2022Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model. (2022). Hong, YI ; Jin, Xing. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:975-985.

Full description at Econpapers || Download paper

2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

Full description at Econpapers || Download paper

2021The economics of the financial market for volatility trading. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300252.

Full description at Econpapers || Download paper

2022Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000550.

Full description at Econpapers || Download paper

2021Ambiguity attitudes and the leverage cycle. (2021). Patella, Valeria ; Faia, Ester ; Bassanin, Marzio. In: Journal of International Economics. RePEc:eee:inecon:v:129:y:2021:i:c:s0022199621000131.

Full description at Econpapers || Download paper

2021Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129.

Full description at Econpapers || Download paper

2021An efficient method for pricing foreign currency options. (2021). Zhang, Shuonan ; Jin, Chenglu ; Yu, Lean ; Zhou, Hanxian ; Chen, Rongda. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000147.

Full description at Econpapers || Download paper

2021Modeling persistent interest rates with double-autoregressive processes. (2021). Hansen, Anne Lundgaard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002545.

Full description at Econpapers || Download paper

2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

Full description at Econpapers || Download paper

2021Hedging macroeconomic and financial uncertainty and volatility. (2021). Kelly, Bryan ; Giglio, Stefano ; Dew-Becker, Ian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:23-45.

Full description at Econpapers || Download paper

2022Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. (2022). TILFANI, Oussama ; Krištoufek, Ladislav ; Ferreira, Paulo ; el Boukfaoui, My Youssef ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008037.

Full description at Econpapers || Download paper

2022Implied volatility information of Chinese SSE 50 ETF options. (2022). Huang, Zhenhuan ; Yuan, Jianglei ; Liu, Dehong ; Wu, Lingke. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:609-624.

Full description at Econpapers || Download paper

2021Ambiguity, Long-Run Risks, and Asset Prices. (2021). Wei, Bin. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:93476.

Full description at Econpapers || Download paper

2022The Bias Analysis of Oil and Gas Companies’ Credit Ratings Based on Textual Risk Disclosures. (2022). Yao, Yinhong ; Han, Chen ; Wei, LU. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:7:p:2390-:d:778908.

Full description at Econpapers || Download paper

2022Which Curve Fits Best: Fitting ROC Curve Models to Empirical Credit-Scoring Data. (2022). Kochaski, Baej. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:184-:d:919507.

Full description at Econpapers || Download paper

2021Scoring Models and Credit Risk: The Case of Cooperative Banks in Poland. (2021). Chrzanowska, Justyna ; Ciukaj, Radosaw ; Kil, Krzysztof. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:132-:d:593296.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Robust consumption policy with the desire for wealth accumulation. (2022). Gong, Siwen ; Niu, Yingjie ; Wang, Yuanping. In: Review of Economics of the Household. RePEc:kap:reveho:v:20:y:2022:i:3:d:10.1007_s11150-021-09551-0.

Full description at Econpapers || Download paper

2021Testing stock market contagion properties between large and small stock markets. (2021). Su, EnDer. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00942-5.

Full description at Econpapers || Download paper

2022Estimating corporate bankruptcy forecasting models by maximizing discriminatory power. (2022). Taoushianis, Zenon ; Martzoukos, Spiros H ; Charalambous, Chris. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00995-0.

Full description at Econpapers || Download paper

2022The relation between earnings and price momentum: Does it vary across regimes?. (2022). Osmer, Eric ; Wei, Peihwang ; Zheng, Yao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01021-z.

Full description at Econpapers || Download paper

2021Bottom-up versus top-down factor investing: an alpha forecasting perspective. (2021). Heinrich, Lars ; Zurek, Martin. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:1:d:10.1057_s41260-020-00188-9.

Full description at Econpapers || Download paper

2022Dividend predictability and higher moment risk premia. (2022). Al-Jaaf, Aty. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00244-y.

Full description at Econpapers || Download paper

2021On management risk and price in the mutual fund industry: style and performance distribution analysis. (2021). Mingo-Lopez, Diego Victor ; Soler-Dominguez, Amparo ; Matallin-Saez, Juan Carlos. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:1:d:10.1057_s41283-021-00072-9.

Full description at Econpapers || Download paper

2021Machine Learning and Credit Risk: Empirical Evidence from SMEs. (2021). Tarantino, Barbara ; Tanda, Alessandra ; Filomeni, Stefano ; Cerchiello, Paola ; Bitetto, Alessandro. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0201.

Full description at Econpapers || Download paper

2022Equilibrium efficiency with secured and unsecured assets. (2022). Villalba, Mauricio J ; Araujo, Aloisio. In: Economic Theory. RePEc:spr:joecth:v:73:y:2022:i:4:d:10.1007_s00199-021-01343-y.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021Forecasting value at risk and conditional value at risk using option market data. (2021). Sala, Carlo ; Molino, Annalisa. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1190-1213.

Full description at Econpapers || Download paper

2021Cointegration, information transmission, and the lead?lag effect between industry portfolios and the stock market. (2021). Wied, Dominik ; Taamouti, Abderrahim ; Penalva, Jose ; Troster, Victor. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1291-1309.

Full description at Econpapers || Download paper

2022A comparative study of combining tree?based feature selection methods and classifiers in personal loan default prediction. (2022). Zhou, Zach Zhizhong ; Guo, Weidong. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:6:p:1248-1313.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:559-576.

Full description at Econpapers || Download paper

2021VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:785-810.

Full description at Econpapers || Download paper

2022A Skellam market model for loan prime rate options. (2022). Zhao, Hongbiao ; Zhang, Kai ; Chen, Zhanyu . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:3:p:525-551.

Full description at Econpapers || Download paper

2022Power?type derivatives for rough volatility with jumps. (2022). Xia, Weixuan ; Wang, Liang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1369-1406.

Full description at Econpapers || Download paper

Works by Markus Leippold:


YearTitleTypeCited
2005Statistics, Econometrics and Forecasting. Arnold Zellner In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article0
2018Maximum diversification strategies along commodity risk factors In: European Financial Management.
[Full Text][Citation analysis]
article3
2018The mixed vs the integrated approach to style investing: Much ado about nothing? In: European Financial Management.
[Full Text][Citation analysis]
article2
2011Collateral Smile In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper1
2015Collateral smile.(2015) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper7
2012A 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 another version. Agregated cites: 7
article
2012Are Ratings the Worst Form of Credit Assessment Apart from All the Others? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper7
2012Time-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]
paper2
2014Time-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 another version. Agregated cites: 2
article
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper30
2019Inferring 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 another version. Agregated cites: 30
article
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2015Strategic Technology Adoption and Hedging under Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper6
2017Strategic technology adoption and hedging under incomplete markets.(2017) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2015Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper6
2017Pricing 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 another version. Agregated cites: 6
article
2016Discrete-Time Option Pricing with Stochastic Liquidity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper10
2017Discrete-time option pricing with stochastic liquidity.(2017) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article112
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 112
paper
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article96
2018Are Ratings the Worst Form of Credit Assessment Except for All the Others? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article6
2013Whats Beneath the Surface? Option Pricing with Multifrequency Latent States In: HEC Research Papers Series.
[Full Text][Citation analysis]
paper6
2015What is beneath the surface? Option pricing with multifrequency latent states.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2020Short-run risk, business cycle, and the value premium In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article0
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article46
2002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities.(2002) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
2006Equilibrium impact of value-at-risk regulation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article18
2019Particle filtering, learning, and smoothing for mixed-frequency state-space models In: Econometrics and Statistics.
[Full Text][Citation analysis]
article1
2014The dispersion effect in international stock returns In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article2
2006Optimal credit limit management under different information regimes In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article2
2006Economic benefit of powerful credit scoring In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article39
2007A simple model of credit contagion In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article53
2011A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults In: Management Science.
[Full Text][Citation analysis]
article3
2020Option-Implied Intrahorizon Value at Risk In: Management Science.
[Full Text][Citation analysis]
article2
2005Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models In: Review of Derivatives Research.
[Full Text][Citation analysis]
article1
2012Equilibrium Implications of Delegated Asset Management under Benchmarking In: Review of Finance.
[Full Text][Citation analysis]
article0
2020How Rational and Competitive Is the Market for Mutual Funds?* In: Review of Finance.
[Full Text][Citation analysis]
article3
2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
[Full Text][Citation analysis]
article41
2002Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2008Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies.
[Full Text][Citation analysis]
article53
2005Learning 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 another version. Agregated cites: 53
paper
2012Data snooping and the global accrual anomaly In: Applied Financial Economics.
[Full Text][Citation analysis]
article9
2009The Valuation of American Options with Stochastic Stopping Time Constraints In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article1
2012International price and earnings momentum In: The European Journal of Finance.
[Full Text][Citation analysis]
article11
2011Multiperiod mean-variance efficient portfolios with endogenous liabilities In: Quantitative Finance.
[Full Text][Citation analysis]
article8
2007Trend derivatives: Pricing, hedging, and application to executive stock options In: Journal of Futures Markets.
[Full Text][Citation analysis]
article3
1999The Potential Approach to Bond and Currency Pricing In: Finance.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team