Markus Leippold : Citation Profile

Universität Zürich
Swiss Finance Institute

11

H index

12

i10 index

717

Citations

RESEARCH PRODUCTION:

34

Articles

16

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 34
   Journals where Markus Leippold has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 9 (1.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple204
   Updated: 2025-12-20    RAS profile: 2022-01-13    
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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 (14)

Realdon, Marco (12)

Realdon, Marco (10)

Dew-Becker, Ian (10)

Scaillet, Olivier (9)

Giglio, Stefano (8)

Monfort, Alain (7)

gourieroux, christian (7)

Parolya, Nestor (6)

Ait-Sahalia, Yacine (6)

Basso, Antonella (5)

Cites to:

Campbell, John (11)

Hodrick, Robert (6)

Wolf, Michael (6)

Trojani, Fabio (6)

Duffie, Darrell (5)

Valkanov, Rossen (4)

Jarrow, Robert (4)

Shiller, Robert (4)

vanini, paolo (4)

Bansal, Ravi (4)

French, Kenneth (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
Journal of Financial and Quantitative Analysis3
Review of Finance3
European Financial Management2
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 (2025 and 2024)

YearTitle of citing document
2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024On the number of terms in the COS method for European option pricing. (2024). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012.

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2024Failure of Fourier pricing techniques to approximate the Greeks. (2024). Behrens, Tobias ; Junike, Gero. In: Papers. RePEc:arx:papers:2306.08421.

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2025Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Cheng, Xue ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2404.16295.

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2024A robust stochastic control problem with applications to monotone mean-variance problems. (2024). Chen, Yuyang ; Hua, Tianjiao ; Luo, Peng. In: Papers. RePEc:arx:papers:2408.08595.

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2025Pricing time-capped American options using Least Squares Monte Carlo method. (2025). Palmowski, Zbigniew ; Stcepniak, Pawel. In: Papers. RePEc:arx:papers:2503.01040.

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2025Modeling portfolio loss distribution under infectious defaults and immunization. (2025). Farina, Gianluca ; Torri, Gabriele ; Giacometti, Rosella. In: Papers. RePEc:arx:papers:2503.03306.

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2025Fast Learning in Quantitative Finance with Extreme Learning Machine. (2025). Liu, Shuaiqiang ; Cheng, Xue. In: Papers. RePEc:arx:papers:2505.09551.

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2025Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options. (2025). Wysocki, Maciej. In: Papers. RePEc:arx:papers:2508.16598.

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2025Pricing American options time-capped by a drawdown event in a L\evy market. (2025). Stcepniak, Pawel ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2508.20677.

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2025Pricing American Options Time-Capped by a Drawdown Event. (2025). Stcepniak, Pawel ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2509.00999.

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2025Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743.

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2025The Shadow Rate Model: Let’s Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014.

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2024Modeling 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.

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2025Time-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.

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2025Real investment decision under CRRA utility: The flow payoff case. (2025). Yin, Xiaoqing ; Wang, Haijun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s016518892500096x.

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2024Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075.

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2024Pricing 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.

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2024Does 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.

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2025Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield. (2025). He, Xin-Jiang ; Chen, Meiling ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000646.

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2024Estimating 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.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). Rodrigues, Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024Variance 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.

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2025Portfolio 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.

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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2025Profit-based uncertainty estimation with application to credit scoring. (2025). Ergu, Daji ; Kou, Gang ; Xu, Yong. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:2:p:303-316.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2025Bankruptcy prediction with fractional polynomial transformation of financial ratios. (2025). Taoushianis, Zenon. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:2:p:690-702.

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2024Variance dynamics and term structure of the natural gas market. (2024). Wei, Xinyang ; Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882.

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2025The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. (2025). Li, Han ; Ignatieva, Katja ; Gmez, Fabio ; Bgin, Jean-Franois. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001197.

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2025A closed-form formula for pricing exchange options with regime switching stochastic volatility and stochastic liquidity. (2025). Lin, Sha ; Wei, Wenting ; He, Xin-Jiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002467.

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2024Factor models for Chinese A-shares. (2024). Swinkels, Laurens ; Zhou, Weili ; Hanauer, Matthias X ; Jansen, Maarten. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300491x.

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2024Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Ma, Feng ; Lu, Fei ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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2024Market volatility and the trend factor. (2024). Xiong, Zhitao ; Xu, Weike ; Sun, Minxing ; Gu, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324006251.

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2024Robust asset-liability management games for n players under multivariate stochastic covariance models. (2024). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:67-98.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2024Ambiguity and private investors’ behavior after forced fund liquidations. (2024). Meyer, Steffen ; Uhr, Charline. In: Journal of Financial Economics. RePEc:eee:jfinec:v:156:y:2024:i:c:s0304405x24000722.

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2024Modeling 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.

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2024Optimal 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.

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2024Vulnerable options with regime switching and stochastic liquidity. (2024). Lu, Tuantuan ; Lin, Sha ; He, Xin-Jiang ; Pasricha, Puneet. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001364.

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2024Does air pollution affect the accrual anomaly in the Chinese capital market? From the perspective of investment adjustment strategy. (2024). Hu, Shuya ; Wang, Shengnian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000606.

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2024Credit scoring: Does XGboost outperform logistic regression?A test on Italian SMEs. (2024). Zedda, Stefano. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001909.

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2024Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis. (2024). Asiri, Maram S ; Hasan, Fakhrul ; Aljohani, Bader M ; Fadul, Abubaker ; Alkhathami, Abdulrahman D. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400206x.

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2025Local Estimation for Option Pricing: Improving Forecasts with Market State Information. (2025). Oh, Dong Hwan ; Kim, Hyung Joo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-76.

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2024Approximate Closed-Form Solutions for Pricing Zero-Coupon Bonds in the Zero Lower Bound Framework. (2024). Rakotondratsimba, Yves ; Jun, Jae-Yun. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:17:p:2690-:d:1466771.

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2024Quantitative Portfolio Management: Review and Outlook. (2024). Yew, Rand Kwong ; Senescall, Michael. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2897-:d:1479653.

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2025Investment universe-level returns to scale and active fund management. (2025). Rpetveit, Andreas. In: Discussion Papers. RePEc:hhs:nhhfms:2025_014.

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2024A term structure interest rate model with the Brownian bridge lower bound. (2024). Kikuchi, Kentaro. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00439-4.

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2025What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y.

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2024Unlocking the black box: Non-parametric option pricing before and during COVID-19. (2024). Gradojevic, Nikola ; Kukolj, Dragan. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04578-7.

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2024On horizon-consistent mean-variance portfolio allocation. (2024). Severino, Federico ; Rotondi, Francesco ; Ortu, Fulvio ; Cerreia-Vioglio, Simone. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04798-x.

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2024Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle. (2024). Guyon, Julien. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00524-y.

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2024On the linkage of momentum and reversal – evidence from the G7 stock markets. (2024). Luczak, Adalbert ; Keiber, Karl Ludwig ; Hofmann, Daniel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:48:y:2024:i:3:d:10.1007_s12197-024-09676-9.

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2024Age-dependent robust strategic asset allocation with inflation–deflation hedging demand. (2024). Kusuda, Koji ; Kikuchi, Kentaro. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00369-9.

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2024Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility. (2024). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:1:d:10.1007_s11009-024-10072-3.

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2025On the dynamics of a SIR model for a financial risk contagion. (2025). Aliano, Mauro ; Canan, Lucianna ; Ciano, Tiziana ; Ragni, Stefania ; Ferrara, Massimiliano. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:2:d:10.1007_s11135-024-02009-2.

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2024Joint calibration of S&P 500 and VIX options under local stochastic volatility models. (2024). Zhou, Zhiqiang ; Xu, Wei ; Rubtsov, Alexey. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:273-310.

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2024Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database. (2024). Wallmeier, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:854-875.

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2025Illuminating the Pricing Kernels: Short‐Term and Long‐Term Index Option Returns. (2025). Li, Bingxin ; Ou, Fangzheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1795-1817.

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2025USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras. (2025). Sakemoto, Ryuta ; Obata, Takahiro ; Yamaguchi, Kohei ; Shirokawa, Hiroaki. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:3:p:208-223.

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2025A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity. (2025). Chen, Hang ; Lin, Sha. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:5:p:429-440.

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2025Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration. (2025). Cui, Zhenyu ; Xu, Wei ; Dong, Bing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:547-568.

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2025Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Ye, Yifan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:612-636.

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2025Skewness Premium for Short‐Term Exposure to Squared Market Returns. (2025). Wallmeier, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1091-1099.

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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]		article4
2018The mixed vs the integrated approach to style investing: Much ado about nothing? In: European Financial Management.
[Full Text][Citation analysis]		article6
2011Collateral Smile In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2015Collateral smile.(2015) In: Journal of Banking & Finance.
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This paper has nother 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.
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This paper has nother 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]		paper3
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 nother version. Agregated cites: 3		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]		paper62
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 nother version. Agregated cites: 62		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 nother version. Agregated cites: 62		paper
2015Strategic Technology Adoption and Hedging under Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2017Strategic technology adoption and hedging under incomplete markets.(2017) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 8		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 nother version. Agregated cites: 6		article
2016Discrete-Time Option Pricing with Stochastic Liquidity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper18
2017Discrete-time option pricing with stochastic liquidity.(2017) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 18		article
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article122
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
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This paper has nother version. Agregated cites: 122		paper
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article112
2018Are Ratings the Worst Form of Credit Assessment Except for All the Others? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article8
2013Whats Beneath the Surface? Option Pricing with Multifrequency Latent States In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper8
2015What is beneath the surface? Option pricing with multifrequency latent states.(2015) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 8		article
2020Short-run risk, business cycle, and the value premium In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article55
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 nother version. Agregated cites: 55		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]		article3
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]		article3
2006Economic benefit of powerful credit scoring In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article43
2007A simple model of credit contagion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article60
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]		article3
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]		article1
2020How Rational and Competitive Is the Market for Mutual Funds?* In: Review of Finance.
[Full Text][Citation analysis]		article6
2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
[Full Text][Citation analysis]		article44
2002Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance.
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2008Learning and Asset Prices Under Ambiguous Information In: The Review of Financial Studies.
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2005Learning and Asset Prices under Ambiguous Information.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
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2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets In: Working Papers.
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2012Data snooping and the global accrual anomaly In: Applied Financial Economics.
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2009The Valuation of American Options with Stochastic Stopping Time Constraints In: Applied Mathematical Finance.
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2012International price and earnings momentum In: The European Journal of Finance.
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2011Multiperiod mean-variance efficient portfolios with endogenous liabilities In: Quantitative Finance.
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2007Trend derivatives: Pricing, hedging, and application to executive stock options In: Journal of Futures Markets.
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1999The Potential Approach to Bond and Currency Pricing In: Finance.
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