Markus Leippold

University of Zurich

Rämistrasse 71

Zürich, CH-8006

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

69

DOWNLOADS
Rank 425

SSRN RANKINGS

Top 425

in Total Papers Downloads

64,148

SSRN CITATIONS
Rank 4,363

SSRN RANKINGS

Top 4,363

in Total Papers Citations

145

CROSSREF CITATIONS

164

Ideas:
“  Climate Finance  ”

Scholarly Papers (69)

1.
Downloads 5,823 ( 1,792)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,823 (1,869)

Abstract:

Loading...

non-standard errors, multi-analyst approach, liquidity

2.
Downloads 4,256 ( 3,258)
Citation 14

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Markus Leippold and Paolo Vanini
University of Zurich and University of Basel
Downloads 4,256 (3,203)
Citation 14

Abstract:

Loading...

Operational Risk Management, Stochastic Systems, Diversification, Profitability

The Quantification of Operational Risk

Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Paolo Vanini and Markus Leippold
University of Basel and University of Zurich

Abstract:

Loading...

quantification of operational risk, functional dependencies, node, stochastic risk factors, analytical methocs, numerical methocs, capital allocation, stability, risk figures, network structured, topological diversification, dynamic diversification

3.

Cheap Talk and Cherry-Picking: What ClimateBert has to say on Corporate Climate Risk Disclosures

Number of pages: 8 Posted: 03 Mar 2021
Julia Anna Bingler, Mathias Kraus and Markus Leippold
Council on Economic Policies (CEP), University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich
Downloads 3,900 (3,772)
Citation 1

Abstract:

Loading...

Climate-risk disclosure, voluntary reporting, TCFD recommendations,\\ natural language processing

4.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Markus Leippold, Liuren Wu and Daniel Egloff
University of Zurich, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,414 (8,327)
Citation 14

Abstract:

Loading...

Return variance swap, equity index options, term structure

The Russia-Ukraine War and Climate Policy Expectations: Evidence from the Stock Market

Swiss Finance Institute Research Paper No. 22-29
Number of pages: 50 Posted: 11 Apr 2022 Last Revised: 13 Jul 2022
Ming Deng, Markus Leippold, Alexander F. Wagner and Qian Wang
University of Zurich - Department of Banking and Finance, University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 2,330 (8,670)

Abstract:

Loading...

Climate transition risk, energy, ESG, event study, inflation, resilience, Russia-Ukraine war, stock returns

6.

Algorithms Behind Term Structure Models of Interest Rates Ii: The Hull-White Trinomial Tree of Interest Rates

Hebrew University Working Paper No. int071899
Number of pages: 17 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,268 (9,186)

Abstract:

Loading...

7.

A Simple Model of Credit Contagion

EFA 2004 Maastricht Meetings
Number of pages: 55 Posted: 05 Jan 2004 Last Revised: 18 Dec 2008
Markus Leippold, Daniel Egloff and Paolo Vanini
University of Zurich, QuantAlea GmbH and University of Basel
Downloads 2,108 (10,378)
Citation 16

Abstract:

Loading...

Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall

8.

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and University of Geneva
Downloads 2,020 (11,173)
Citation 21

Abstract:

Loading...

Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model

9.

Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure

Swiss Finance Institute Research Paper No. 21-19, Journal of Financial Econometrics, forthcoming
Number of pages: 55 Posted: 15 Jul 2020 Last Revised: 06 Jul 2022
University of Zurich, Department of Banking and Finance, University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 1,760 (13,942)
Citation 3

Abstract:

Loading...

climate risk disclosure, CDS spreads, 10-K filings, physical risks, transition risks, BERT model.

10.

From Operational Risk to Operational Excellence

Number of pages: 18 Posted: 20 Jul 2003
Paolo Vanini, Markus Leippold and Barbara Doebeli
University of Basel, University of Zurich and Swiss National Bank, International Monetary Relations
Downloads 1,692 (14,803)

Abstract:

Loading...

Profitability, Operational Risk Management, IT-networks, Stochastic Systems

11.

Machine-Learning in the Chinese Stock Market

Number of pages: 88 Posted: 18 Feb 2021 Last Revised: 12 Jul 2021
Markus Leippold, Qian Wang and Wenyu Zhou
University of Zurich, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 1,672 (15,099)
Citation 1

Abstract:

Loading...

Chinese stock market, factor investing, machine learning, model selection

12.

Algorithms Behind Term Structure Models of Interest Rates: I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model

Number of pages: 22 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,587 (16,297)
Citation 1

Abstract:

Loading...

Cheap Talk in Corporate Climate Commitments: The effectiveness of climate initiatives

Swiss Finance Institute Research Paper No. 22-54
Number of pages: 60 Posted: 28 Feb 2022 Last Revised: 21 Jun 2022
Council on Economic Policies (CEP), University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Zurich and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 816 (42,481)

Abstract:

Loading...

Corporate climate disclosures, voluntary reporting, commitments, TCFD recommendations, textual analysis, natural language processing

Cheap Talk in Corporate Climate Commitments: The Role of Active Institutional Ownership, Signaling, Materiality, and Sentiment

Swiss Finance Institute Research Paper No. 22-01
Number of pages: 59 Posted: 05 Jan 2022
Council on Economic Policies (CEP), University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Zurich and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 358 (117,487)

Abstract:

Loading...

Corporate climate disclosures, voluntary reporting, commitments, TCFD recommendations, textual analysis, natural language processing.

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich
Downloads 987 (32,340)
Citation 23

Abstract:

Loading...

S&P 500 and VIX joint modeling, option pricing, particle

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2016 Last Revised: 18 Jan 2021
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich
Downloads 183 (229,154)
Citation 27

Abstract:

Loading...

S&P 500 and VIX joint modeling, volatility dynamics, particle filter, variance risk premium

15.

Value-at-Risk and Other Risk Measures

Number of pages: 35 Posted: 17 Mar 2015 Last Revised: 23 May 2016
Markus Leippold
University of Zurich
Downloads 1,143 (26,586)

Abstract:

Loading...

Value-at-Risk, Spectral Risk Measures, Markowitz optimization

16.

The Anatomy of Factor Momentum

Number of pages: 73 Posted: 06 Feb 2020 Last Revised: 18 Jun 2021
Markus Leippold and Hanlin Yang
University of Zurich and affiliation not provided to SSRN
Downloads 1,142 (26,696)

Abstract:

Loading...

Factor momentum, time-series predictability, factor timing portfolio, buy-and-hold portfolio

17.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,126 (27,187)

Abstract:

Loading...

18.

Economic Benefit of Powerful Credit Scoring

Number of pages: 42 Posted: 31 Jan 2005
Andreas Bloechlinger and Markus Leippold
University of Applied Sciences Northwestern Switzerland and University of Zurich
Downloads 1,115 (27,605)
Citation 2

Abstract:

Loading...

Bank loan pricing, credit scoring, discriminatory power, Receiver Operating Characteristic (ROC)

19.

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Number of pages: 34 Posted: 21 May 2003
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,096 (28,285)
Citation 2

Abstract:

Loading...

Short Rate Models, Trinomial Trees, Forward Measure

20.

Equilibrium Impact of Value-at-Risk Regulation

Number of pages: 64 Posted: 14 Nov 2002
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and University of Geneva
Downloads 1,077 (28,970)
Citation 10

Abstract:

Loading...

Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory

21.

How Rational and Competitive is the Market for Mutual Funds?

Number of pages: 58 Posted: 06 Feb 2018 Last Revised: 06 Jun 2019
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 962 (34,035)
Citation 3

Abstract:

Loading...

active investing, index investing, mutual funds, robust alpha test

22.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 953 (34,516)
Citation 6

Abstract:

Loading...

23.
Downloads 905 ( 37,116)
Citation 12

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 27 Sep 2008 Last Revised: 18 Jan 2021
Markus Leippold and Fabio Trojani
University of Zurich and University of Geneva
Downloads 712 (50,611)
Citation 8

Abstract:

Loading...

affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve modeling

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 03 Apr 2010
Markus Leippold and Fabio Trojani
University of Zurich and University of Geneva
Downloads 193 (218,656)
Citation 16

Abstract:

Loading...

Affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve models

Data Snooping and the Global Accrual Anomaly

EFA 2007 Ljubljana Meetings Paper
Number of pages: 43 Posted: 21 Mar 2008 Last Revised: 12 Oct 2010
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 865 (38,956)
Citation 16

Abstract:

Loading...

Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

Data Snooping and the Global Accrual Anomaly

Applied Financial Economics, Vol. 22, No. 7, 2012
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Robeco Quantitative Investments and University of Zurich

Abstract:

Loading...

accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

25.

Let’s Get Physical: Comparing Metrics of Physical Climate Risk

Number of pages: 17 Posted: 20 Apr 2021 Last Revised: 17 Jun 2021
Linda Isabella Hain, Julian F Kölbel and Markus Leippold
University of Zurich - Department of Banking and Finance, University of Zurich, Department of Banking and Finance and University of Zurich
Downloads 847 (40,655)
Citation 2

Abstract:

Loading...

Climate change, physical risk scores, disagreement, model uncertainty

26.

How Index Futures and ETFs Affect Stock Return Correlations

Number of pages: 53 Posted: 21 Jun 2015 Last Revised: 24 Aug 2016
Markus Leippold, Lujing Su and Alexandre Ziegler
University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 845 (40,864)
Citation 9

Abstract:

Loading...

Asset correlations, limits to arbitrage, ETFs, futures

International Price and Earnings Momentum

Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 17 Sep 2012
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 837 (40,786)
Citation 5

Abstract:

Loading...

Earnings Momentum, Price Momentum, Market Efficiency, Multiple Hypotheses Testing, Information Uncertainty, Liquidity

International Price and Earnings Momentum

European Journal of Finance, Vol. 18, No. 5-6, 2012, pp. 535-573
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Robeco Quantitative Investments and University of Zurich

Abstract:

Loading...

earnings momentum, price momentum, market efficiency, multiple hypothesis testing, information uncertainty, liquidity

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 12 Mar 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 830 (41,241)
Citation 1

Abstract:

Loading...

commodity strategies, risk-based portfolio construction, risk parity, diversification

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 26 Posted: 19 Jan 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 6 (865,026)
Citation 5

Abstract:

Loading...

commodity strategies, diversification, risk‐based portfolio construction, risk parity

29.

Fama–French Factor Timing: The Long-Only Integrated Approach

Number of pages: 50 Posted: 28 Jun 2019 Last Revised: 08 Sep 2020
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 829 (41,866)
Citation 1

Abstract:

Loading...

Factor timing, equity style timing, integrated approach, momentum

30.

Sustainable Finance Literacy and the Determinants of Sustainable Investing

Swiss Finance Institute Research Paper No. 22-02
Number of pages: 48 Posted: 01 Jan 2022 Last Revised: 05 Jan 2022
Massimo Filippini, Markus Leippold and Tobias Wekhof
ETH Zürich, University of Zurich and ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich
Downloads 805 (43,860)

Abstract:

Loading...

Sustainable finance literacy, sustainable finance products, ESG, household finance, open-ended questions, gender gap

Learning and Asset Prices Under Ambiguous Information

University of St.Gallen Economics Discussion Paper No. 2005-03
Number of pages: 66 Posted: 23 Sep 2004
Paolo Vanini, Markus Leippold and Fabio Trojani
University of Basel, University of Zurich and University of Geneva
Downloads 802 (43,181)
Citation 18

Abstract:

Loading...

Financial equilibria, knightian uncertainty, model misspecification, robust decision making

Learning and Asset Prices Under Ambiguous Information

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2565-2597, 2008
Posted: 15 Dec 2008
Markus Leippold, Fabio Trojani and Paolo Vanini
University of Zurich, University of Geneva and University of Basel

Abstract:

Loading...

G1, G11, G12

32.

Optimal Credit Limit Management Under Different Information Regimes

Number of pages: 29 Posted: 12 Oct 2003
Markus Leippold, Paolo Vanini and Silvan Ebnöther
University of Zurich, University of Basel and Zurich Cantonal Bank
Downloads 740 (48,731)

Abstract:

Loading...

Credit risk management, optimal limit policy, partial information, adverse selection

33.

Economic Policy Uncertainty and the Yield Curve

Swiss Finance Institute Research Paper No. 22-36, Forthcoming, Review of Finance
Number of pages: 58 Posted: 07 Oct 2015 Last Revised: 27 Apr 2022
Markus Leippold and Felix Matthys
University of Zurich and ITAM
Downloads 729 (49,786)
Citation 7

Abstract:

Loading...

Term structure, yield volatility curve, hump-shaped volatility, policy uncertainty, bond risk premia

34.

American Options with Stopping Time Constraints

Number of pages: 19 Posted: 12 Sep 2005
Daniel Egloff, Markus Leippold and Walter Farkas
QuantAlea GmbH, University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 711 (51,385)
Citation 1

Abstract:

Loading...

American options, optimal stopping under constraints, out-performance options, management options

35.

A New Goodness-of-Fit Test for Event Forecasting and its Application to Credit Default Models

Number of pages: 49 Posted: 20 Feb 2007 Last Revised: 25 Oct 2010
Andreas Bloechlinger and Markus Leippold
University of Applied Sciences Northwestern Switzerland and University of Zurich
Downloads 689 (53,594)

Abstract:

Loading...

Out-of-Sample Validation, Probability Calibration, Hosmer-Lemeshow Statistic, Bernoulli Mixture Models, Credit Risk

36.

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Number of pages: 25 Posted: 07 Apr 2005
QuantAlea GmbH, University of Zurich, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 673 (55,226)
Citation 7

Abstract:

Loading...

Credit risk, Monte Carlo simulation, importance sampling, stochastic approximation, Robbins-Monro

37.

Are Ratings the Worst Form of Credit Assessment Apart from All the Others?

Swiss Finance Institute Research Paper No. 12-09
Number of pages: 62 Posted: 28 Feb 2012 Last Revised: 27 Jun 2016
Andreas Bloechlinger and Markus Leippold
University of Applied Sciences Northwestern Switzerland and University of Zurich
Downloads 653 (57,374)
Citation 5

Abstract:

Loading...

credit rating agencies, distance to default, z-score, zeta-score, default prediction

The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?

Number of pages: 43 Posted: 19 Dec 2016 Last Revised: 14 Aug 2017
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 611 (61,751)
Citation 1

Abstract:

Loading...

factor investing, integrated and mixed approach, value, momentum, low volatility

The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?

European Financial Management, Vol. 24, Issue 5, pp. 829-855, 2018
Number of pages: 27 Posted: 16 Nov 2018
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 1 (933,540)

Abstract:

Loading...

factor investing, integrated and mixed approach, value, momentum, low volatility

39.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 596 (64,488)
Citation 10

Abstract:

Loading...

Independent currency variation, Quadratic model, Term structure, Exchange rate, Uncovered interest rate parity, Unscented Kalman Filter

40.

Design and Estimation of Quadratic Term Structure Models

ISB Working Paper No. 2002-3
Number of pages: 39 Posted: 20 Jul 2002
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 559 (69,923)
Citation 14

Abstract:

Loading...

quadratic model, term structure, positive interest rates, humps, expectation hypothesis, GMM

41.

Efficient Portfolios with Endogenous Liabilities

Swiss Banking Institute Working Paper No. WP L3
Number of pages: 26 Posted: 23 Apr 2003
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and University of Geneva
Downloads 557 (70,268)
Citation 2

Abstract:

Loading...

Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra

42.

Don't Rely on VAR

Euromoney, November 2004
Number of pages: 5 Posted: 18 Apr 2007
Markus Leippold
University of Zurich
Downloads 539 (73,233)

Abstract:

Loading...

Value at Risk, Regulation

43.

Trend Derivatives: Pricing, Hedging, and Application to Executive Stock Options

Number of pages: 44 Posted: 18 Aug 2005
Markus Leippold and Juerg M. Syz
University of Zurich and Diener Syz Real Estate
Downloads 510 (78,384)
Citation 3

Abstract:

Loading...

Time diversification, regression, trend derivatives, executive stock option plans

44.

Subsampled Factor Models for Asset Pricing: The Rise of Vasa

Number of pages: 64 Posted: 14 Apr 2020 Last Revised: 02 Nov 2020
Gianluca De Nard, Simon Hediger and Markus Leippold
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 501 (80,131)
Citation 1

Abstract:

Loading...

Large-dimensional factor models, machine learning, return prediction, subagging, subsampling.

45.

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013
Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014
EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich
Downloads 499 (80,533)
Citation 4

Abstract:

Loading...

Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing

46.

Collateral Smile

Swiss Finance Institute Research Paper No. 11-51
Number of pages: 45 Posted: 08 Nov 2011 Last Revised: 29 Sep 2014
Markus Leippold and Lujing Su
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 437 (94,178)
Citation 4

Abstract:

Loading...

collateral requirements, funding costs, volatility smile, option pricing

47.

Half as Many Cheers - the Multiplier Reviewed

Number of pages: 4 Posted: 02 Jun 2003
Paolo Vanini and Markus Leippold
University of Basel and University of Zurich
Downloads 428 (96,534)

Abstract:

Loading...

48.

Quantile Estimation with Adaptive Importance Sampling

Number of pages: 39 Posted: 25 Jul 2007 Last Revised: 03 Nov 2009
Daniel Egloff and Markus Leippold
QuantAlea GmbH and University of Zurich
Downloads 403 (103,428)
Citation 2

Abstract:

Loading...

Quantile Estimation, Adaptive Importance Sampling, Credit Risk, Stochastic Approximation

49.

Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube

Swiss Finance Institute Research Paper No. 12-23
Number of pages: 68 Posted: 24 May 2012 Last Revised: 22 May 2013
Markus Leippold and Jacob Stromberg
University of Zurich and Swiss Finance Institute
Downloads 386 (108,774)
Citation 5

Abstract:

Loading...

LIBOR market models, time-changed Lévy process, caps volatilities, swaption cube, unscented Kalman filter

50.

The Dispersion Effect in International Stock Returns

Journal of Empirical Finance, Vol. 29, December 2014, pp. 331–342
Number of pages: 25 Posted: 01 Jun 2008 Last Revised: 28 Aug 2015
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 378 (111,322)
Citation 2

Abstract:

Loading...

International Dispersion Effect, Information Uncertainty, Liquidity

51.

The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification

Number of pages: 9 Posted: 09 Sep 2005
Markus Leippold and Juerg M. Syz
University of Zurich and Diener Syz Real Estate
Downloads 332 (128,455)

Abstract:

Loading...

Time Diversification, Regression, PIN Risk

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, 2019, Vol. 21(3), pp. 1-25
Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 12 Mar 2021
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 280 (152,580)

Abstract:

Loading...

Estimation Risk, Second-Order Risk, Portfolio Construction, Risk Parity, Diversification

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, Forthcoming
Number of pages: 25 Posted: 04 Feb 2019
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 1 (933,540)
  • Add to Cart

Abstract:

Loading...

estimation risk, second-order risk, portfolio construction, risk parity, diversification

53.

Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Swiss Finance Institute Research Paper No. 15-08
Number of pages: 43 Posted: 03 Mar 2015 Last Revised: 04 Mar 2015
Markus Leippold and Nikola Vasiljevic
University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 278 (154,392)
Citation 8

Abstract:

Loading...

American options, early exercise premium, hyper-exponential jump-diffusion model, maturity randomization, jump-diffusion disentanglement.

54.

Equilibrium Implications of Delegated Asset Management Under Benchmarking

Number of pages: 50 Posted: 21 Nov 2008 Last Revised: 31 Mar 2012
Markus Leippold, Philippe Rohner and Philippe Rohner
University of Zurich and University of Zurich - Swiss Banking Institute (ISB)University of Zurich - Department of Banking and Finance
Downloads 273 (157,294)
Citation 1

Abstract:

Loading...

Portfolio Delegation, Benchmarking, General Equilibrium, Equity Risk Premia

55.

Fundamental Theorem of Asset Pricing on Measurable Spaces Under Uncertainty

Number of pages: 22 Posted: 02 May 2013 Last Revised: 12 May 2013
Markus Leippold and Meriton Ibraimi
University of Zurich and University of Zurich - Swiss Banking Institute (ISB)
Downloads 265 (162,118)
Citation 1

Abstract:

Loading...

Fundamental Theorem of Asset Pricing, uncertainty, multiple priors

56.

Option-Implied Intra-Horizon Value-at-Risk

Number of pages: 60 Posted: 06 Jul 2016 Last Revised: 11 May 2018
Markus Leippold and Nikola Vasiljevic
University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 214 (199,033)
Citation 1

Abstract:

Loading...

value at risk, intra-horizon risk, displaced mixed-exponential model, first-passage disentanglement, option-implied estimates

57.

Discrete-Time Option Pricing with Stochastic Liquidity

Swiss Finance Institute Research Paper No. 16-15
Number of pages: 46 Posted: 08 Mar 2016 Last Revised: 07 Sep 2016
Markus Leippold and Steven Schaerer
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 207 (205,367)
Citation 4

Abstract:

Loading...

Market Liquidity; Bid-Ask Spreads; Option Pricing; Stochastic Liquidity; Conic Finance

58.

A Remark on Lin and Chang's Paper 'Consistent Modeling of S&P 500 and VIX Derivatives'

Swiss Finance Institute Research Paper No. 11-54
Number of pages: 21 Posted: 17 Nov 2011
Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 205 (207,211)

Abstract:

Loading...

VIX option pricing, affine jump di usion, characteristic function

59.

A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures

Number of pages: 25 Posted: 09 Oct 2014 Last Revised: 19 May 2015
Meriton Ibraimi, Markus Leippold and Felix Stang
University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 194 (217,780)

Abstract:

Loading...

Fundamental Theorem of Asset Pricing, uncertainty, multiple prior, P-arbitrage.

60.

Strategic Technology Adoption and Hedging under Incomplete Markets

Swiss Finance Institute Research Paper No. 14-73
Number of pages: 53 Posted: 18 Oct 2014 Last Revised: 06 Jan 2015
Markus Leippold and Jacob Stromberg
University of Zurich and Swiss Finance Institute
Downloads 185 (226,933)

Abstract:

Loading...

Real Options; Incomplete Markets; Technology Adoption; Optimal Portfolio Choice; Hedging

61.

Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models

Number of pages: 39 Posted: 22 Oct 2016 Last Revised: 18 Jan 2021
Markus Leippold and Hanlin Yang
University of Zurich and affiliation not provided to SSRN
Downloads 179 (233,432)
Citation 2

Abstract:

Loading...

Mixed-frequency, State-space Models, Particle Filtering, Particle Learning, Smoothing, Parameter Estimation, Real-time Learning, Confounded Learning

62.

Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise

Number of pages: 40 Posted: 29 May 2015 Last Revised: 31 May 2015
Markus Leippold and Felix Matthys
University of Zurich and ITAM
Downloads 170 (243,930)

Abstract:

Loading...

Endogeneous regime switching, microstructure noise, realized volatility, endogeneity plot.

63.

Trend and Reversal of Idiosyncratic Volatility Revisited

Critical Finance Review
Number of pages: 57 Posted: 14 Feb 2019 Last Revised: 03 Nov 2020
Markus Leippold and Michal Svaton
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 160 (256,732)

Abstract:

Loading...

Idiosyncratic Volatility, Measurement Error, Bid-Ask Bounce, Asynchronicity

64.

Short-run Risk, Business Cycle, and the Value Premium

Number of pages: 72 Posted: 09 Feb 2020 Last Revised: 22 Sep 2020
Yunhao He and Markus Leippold
University of Zurich and University of Zurich
Downloads 94 (377,598)

Abstract:

Loading...

Long-run and Short-run consumption risk, value premium, business cycle, portfolio selection, stochastic covariance

65.

Optimal Conic Execution Strategies with Stochastic Liquidity

Number of pages: 44 Posted: 27 Feb 2018 Last Revised: 02 Mar 2018
Markus Leippold and Steven Schaerer
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 86 (398,798)

Abstract:

Loading...

Optimal Execution; Conic Finance; Stochastic Liquidity; Dynamic Programming

66.

Generating Fact Checking Summaries for Web Claims

EMNLP W-NUT 2020 : Conference on Empirical Methods in Natural Language Processing (EMNLP)
Number of pages: 8 Posted: 12 Dec 2020
Rahul Mishra, Dhruv Gupta and Markus Leippold
University of Stavanger, affiliation not provided to SSRN and University of Zurich
Downloads 42 (563,299)

Abstract:

Loading...

67.

MuSeM: Detecting Incongruent News Headlines using Mutual Attentive Semantic Matching

IEEE 2020 International Conference on Machine Learning and Applications (ICMLA)
Number of pages: 9 Posted: 03 Dec 2020
Rahul Mishra, Piyush Yadav, Remi Calizzano and Markus Leippold
University of Stavanger, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Zurich
Downloads 24 (672,399)

Abstract:

Loading...

68.

A Remark on Lin and Chang's Paper ‘Consistent Modeling of S&P 500 and Vix Derivatives’

Journal of Economic Dynamics and Control, Vol. 36, No. 5, 2012
Posted: 03 Oct 2012
Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Otago, Otago Business School, Department of Accountancy and Finance

Abstract:

Loading...

VIX option pricing, affine jump diffusion, characteristic function

69.

Asset Pricing Under the Quadratic Class

Posted: 27 Oct 2002
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

Loading...