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Schneider, Paul's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,001 |
Total
Citations
21 |
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1.
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Kozhan, Roman
University of Warwick, Warwick Business School Neuberger, Anthony
University of Warwick - Warwick Business School Schneider, Paul
University of Lugano - Institute of Finance
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18 Mar 10
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Last Revised:
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28 Nov 12
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996
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1
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skew risk premium, variance risk premium, index options
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2.
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Properties of Foreign Exchange Risk Premiums
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Sarno, Lucio
City University London - Sir John Cass Business School Schneider, Paul
University of Lugano - Institute of Finance Wagner, Christian
Copenhagen Business School
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Posted:
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24 Aug 09
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Last Revised:
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12 Aug 11
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541
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6
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Sarno, Lucio
City University London - Sir John Cass Business School Schneider, Paul
University of Lugano - Institute of Finance Wagner, Christian
Copenhagen Business School
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exchange rates, forward bias, predictability, term structure
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Sarno, Lucio
City University London - Sir John Cass Business School Schneider, Paul
University of Lugano - Institute of Finance Wagner, Christian
Copenhagen Business School
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24 Aug 09
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Last Revised:
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13 Jul 11
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537
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6
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term structure, exchange rates, forward bias, predictability
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3.
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Schneider, Paul
University of Lugano - Institute of Finance Sögner, Leopold
Institute for Advanced Studies (IHS) Veza, Tanja
WU Vienna (Vienna University of Economics and Business)
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19 Mar 08
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Last Revised:
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21 May 09
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486
(26,768)
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8
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credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation
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4.
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Schneider, Paul
University of Lugano - Institute of Finance
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30 Jan 12
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Last Revised:
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04 Jun 12
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330
(43,734)
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Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps
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5.
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Frühwirth, Manfred
Vienna University of Economics and Business Schneider, Paul
University of Lugano - Institute of Finance Sögner, Leopold
Institute for Advanced Studies (IHS)
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27 Feb 06
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Last Revised:
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15 Oct 08
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316
(45,892)
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Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation
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6.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Mayerhofer, Eberhard
Deutsche Bundesbank, Research Centre Schneider, Paul
University of Lugano - Institute of Finance
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26 May 11
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Last Revised:
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17 Mar 13
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315
(46,069)
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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials
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7.
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Schneider, Paul
University of Lugano - Institute of Finance Frühwirth, Manfred
Vienna University of Economics and Business Sögner, Leopold
Institute for Advanced Studies (IHS)
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303
(48,167)
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2
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Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion
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8.
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Sarno, Lucio
City University London - Sir John Cass Business School Schneider, Paul
University of Lugano - Institute of Finance Wagner, Christian
Copenhagen Business School
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| Posted: |
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15 Feb 12
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Last Revised:
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09 Jan 13
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168
(89,292)
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1
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term structure of interest rates, expectations hypothesis, affine models, risk premia
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9.
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Schneider, Paul
University of Lugano - Institute of Finance
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152
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1
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Multivariate Nonlinear Diffusion, Estimation, MCMC
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10.
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Mijatovic, Aleksandar
Imperial College London Schneider, Paul
University of Lugano - Institute of Finance
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01 Nov 09
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Last Revised:
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02 Apr 13
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120
(119,340)
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risk premia, diffusion processes, forecasting
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11.
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Dorfleitner, Gregor
Universität Regensburg Schneider, Paul
University of Lugano - Institute of Finance Veza, Tanja
WU Vienna (Vienna University of Economics and Business)
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107
(130,251)
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1
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credit default swap, structural model, default boundary, the Green function, calibration
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12.
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Schneider, Paul
University of Lugano - Institute of Finance
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14 Dec 12
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Last Revised:
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07 May 13
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99
(137,546)
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Predictability, pricing kernel, model risk, trading strategy, model-free, variance premium, skew premium, kurtosispremium
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13.
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Mijatovic, Aleksandar
Imperial College London Schneider, Paul
University of Lugano - Institute of Finance
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| Posted: |
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19 Mar 08
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Last Revised:
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14 May 09
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66
(176,678)
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1
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Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation
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14.
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Frühwirth, Manfred
affiliation not provided to SSRN Schneider, Paul
University of Lugano - Institute of Finance Sögner, Leopold
Institute for Advanced Studies (IHS)
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2
(339,273)
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