Markus Leippold : Citation Profile

Are you Markus Leippold?

Universität Zürich
Swiss Finance Institute

11

H index

12

i10 index

668

Citations

RESEARCH PRODUCTION:

34

Articles

16

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 31
   Journals where Markus Leippold has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 9 (1.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple204
   Updated: 2024-12-03    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)

Dew-Becker, Ian (10)

Realdon, Marco (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)

Wolf, Michael (6)

Trojani, Fabio (6)

Hodrick, Robert (6)

Duffie, Darrell (5)

vanini, paolo (4)

Detemple, Jerome (4)

Shiller, Robert (4)

Jarrow, Robert (4)

Valkanov, Rossen (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
Journal of Financial Economics2
European Financial Management2

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 (2024 and 2023)

YearTitle of citing document
2024Reservoir 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.

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2024How to handle the COS method for option pricing. (2023). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2024Greeks pitfalls for the COS method in the Laplace model. (2023). Junike, Gero ; Behrens, Tobias. In: Papers. RePEc:arx:papers:2306.08421.

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2023Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model. (2023). Escobar Anel, Marcos ; Zagst, Rudi ; Kschonnek, Michel ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2306.11158.

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2023A Framework for Treating Model Uncertainty in the Asset Liability Management Problem. (2023). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2310.11987.

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2024Joint 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.

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2023Do decreases in Distance-to-Default predict rating downgrades?. (2023). Singh, Manish ; Aggarwal, Nidhi ; Thomas, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s026499932300370x.

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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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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997.

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2023Portfolio selection with exploration of new investment assets. (2023). Strub, Moris S ; Sornette, Didier ; de Gennaro, Luca. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:773-792.

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2024First 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.

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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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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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2023Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205.

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2023Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229.

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2024Factor 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.

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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 ; Bouri, Elie ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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2023Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (2023). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:251-273.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657.

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2023Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247.

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2024Does 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.

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2023Machine learning and credit risk: Empirical evidence from small- and mid-sized businesses. (2023). Filomeni, Stefano ; Cerchiello, Paola ; Bitetto, Alessandro ; Tarantino, Barbara ; Tanda, Alessandra. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:90:y:2023:i:c:s0038012123002586.

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2023Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market. (2023). Leshchev, Sergei I ; Nazarova, Varvara V. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:230104:p:58-73.

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2023.

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2023.

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2023.

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2023Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities. (2023). Guterding, Daniel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:83-:d:1135421.

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2023Regulation and De-Risking: Theoretical and Empirical Insights. (2023). Gregoriou, Andros ; Haar, Lawrence. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:104-:d:1162304.

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2023Chinese Asset Managers’ Monetary Policy Forecasts and Fund Performance. (2023). Yu, Yang ; Wang, Gang ; Rogers, John ; Ammer, John. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:598-616.

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2023Pricing vulnerable basket spread options with liquidity risk. (2023). Wang, Xingchun ; Tang, Dan ; Dong, Ziming. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-022-09192-0.

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2023Delegated Learning and Contract Commonality in Asset Management*. (2023). Xiaolan, Mindy Z ; Sockin, Michael. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:6:p:1931-1975..

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2023Risk budgeting using a generalized diversity index. (2023). Koumou, Gilles Boevi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00326-z.

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2023Ambiguity aversion: bibliometric analysis and literature review of the last 60 years. (2023). Plessner, Marco ; Meier, Fabian ; Buhren, Christoph. In: Management Review Quarterly. RePEc:spr:manrev:v:73:y:2023:i:2:d:10.1007_s11301-021-00250-9.

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2023Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models. (2023). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10007-4.

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2024.

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2023Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676.

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2023How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J. In: CFR Working Papers. RePEc:zbw:cfrwps:279557.

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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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper47
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 nother version. Agregated cites: 47		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 nother version. Agregated cites: 47		paper
2015Strategic Technology Adoption and Hedging under Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2017Strategic 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
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]		paper14
2017Discrete-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
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article117
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117		paper
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article106
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]		paper7
2015What 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
2020Short-run risk, business cycle, and the value premium In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article52
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 nother version. Agregated cites: 52		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]		article40
2007A simple model of credit contagion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article56
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]		article5
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
2008Learning and Asset Prices Under Ambiguous Information In: The Review of Financial Studies.
[Full Text][Citation analysis]		article56
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 nother version. Agregated cites: 56		paper
2016Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets In: Working Papers.
[Full Text][Citation analysis]		paper3
2012Data snooping and the global accrual anomaly In: Applied Financial Economics.
[Full Text][Citation analysis]		article10
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]		article14
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

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