Leopold Sögner

Institute for Advanced Studies (IHS)

Josefstädter Straße 39

1080 Vienna

Austria

Vienna Graduate School of Finance (VGSF)

Welthandelsplatz 1

Vienna, 1020

Austria

SCHOLARLY PAPERS

27

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5

CROSSREF CITATIONS

17

Scholarly Papers (27)

1.

Making Parametric Portfolio Policies Work

Number of pages: 32 Posted: 10 Dec 2017 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 708 (69,397)

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portfolio policy, expected utility, risk aversion, prospect theory

2.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 21 May 2009
Paul Schneider, Leopold Sögner and Tanja Veza
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and WU Vienna (Vienna University of Economics and Business)
Downloads 623 (81,587)
Citation 1

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credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation

3.

Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model

Number of pages: 37 Posted: 13 Dec 2007 Last Revised: 12 Mar 2014
Sylvia Fruhwirth-Schnatter and Leopold Sögner
Johannes Kepler University - Department of Applied Statistics and Econometrics and Institute for Advanced Studies (IHS)
Downloads 590 (87,362)
Citation 2

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Heston model, MCMC, parameterization, stochastic volatility

4.

Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets

Number of pages: 47 Posted: 29 Mar 2018 Last Revised: 08 Jul 2020
Julia Reynolds, Leopold Sögner and Martin Wagner
U.S. Securities and Exchange Commission, Institute for Advanced Studies (IHS) and Department of Economics, University of Klagenfurt
Downloads 461 (118,207)
Citation 3

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Triangular Arbitrage Parity, Foreign Exchange Markets, Cryptocurrencies, Cointegration, Monitoring

5.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

EFA 2006 Zurich Meetings
Number of pages: 45 Posted: 27 Feb 2006 Last Revised: 15 Oct 2008
Manfred Frühwirth, Paul Schneider and Leopold Sögner
Vienna University of Economics and Business, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 420 (131,815)

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Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation

6.

Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

Number of pages: 9 Posted: 19 Aug 2005
Paul Schneider, Manfred Frühwirth and Leopold Sögner
University of Lugano - Institute of Finance, Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 393 (142,223)

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Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion

7.

Stock-Oil Comovement: Cash Flows or Discount Rates?

Fisher College of Business Working Paper No. 2022-03-08, Charles A. Dice Center Working Paper No. 2022-8
Number of pages: 62 Posted: 31 Aug 2022 Last Revised: 18 Jan 2024
Ohio State University (OSU) - Fisher College of Business, Vienna University of Economics and Business, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business
Downloads 314 (181,448)

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Equity-Commodity Correlation, Oil Futures, Return Decomposition, Cash Flow News, Oil Production

8.

Online-Appendix to: Making Parametric Portfolio Policies Work

Number of pages: 102 Posted: 06 Mar 2018 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 176 (317,037)

Abstract:

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portfolio policy, expected utility, risk aversion, prospect theory

9.

Priors and Bayesian Parameter Estimation of Affine Term Structure Models

Number of pages: 48 Posted: 23 Dec 2009 Last Revised: 22 Feb 2014
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 175 (318,667)

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Affine term-structure models, MCMC, Near unit root behavior

10.

Extending the Demand System Approach to Asset Pricing

Number of pages: 80 Posted: 11 Dec 2022
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 162 (340,679)

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parametric portfolio policy, expected utility, risk aversion

11.

The Jarrow/Turnbull Default Risk Model Evidence from the German Market

Science Direct Working Paper No S1574-0358(04)70696-6
Number of pages: 26 Posted: 02 Apr 2018
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 159 (346,003)

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Credit Risk, Intensity-based models, Jarrow/Turnbull model, Term Structure of Interest Rates, C52, G12, B13, E43

12.

Performance of Characteristics-Based Portfolio Choice

Number of pages: 62 Posted: 01 Oct 2020
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 143 (377,366)

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portfolio policy, expected utility, risk aversion, simulated data

13.

Weather and SAD Related Mood Effects on the Financial Market

Number of pages: 69 Posted: 05 May 2013 Last Revised: 22 Jul 2015
Manfred Frühwirth and Leopold Sögner
Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 118 (437,321)

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Mood Effects, Weather Effects, Seasonal Affective Disorder

14.

An Exploratory Analysis on the Risk to be Offended on the Internet

Number of pages: 27 Posted: 19 Apr 2019
Susanne Kirchner and Leopold Sögner
Institute for Advanced Studies (IHS) and Institute for Advanced Studies (IHS)
Downloads 107 (470,011)

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Cyber-Crime, Cluster Analysis, Internet Victimization

15.

Financial and Economic Uncertainties and Their Effects on the Economy

Number of pages: 47 Posted: 08 Feb 2023 Last Revised: 12 Jul 2023
Ines Fortin, Jaroslava Hlouskova and Leopold Sögner
Institute for Advanced Studies, Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Downloads 94 (513,138)

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financial uncertainty, economic uncertainty, financial crisis, forecasting

16.

GMM Estimation of Affine Term Structure Models

Number of pages: 34 Posted: 23 Jul 2015 Last Revised: 04 Nov 2019
Jaroslava Hlouskova and Leopold Sögner
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Downloads 94 (513,138)

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Affine term-structure models, GMM

17.

Learning, Convergence and Economic Constraints

Number of pages: 50 Posted: 27 Aug 2010 Last Revised: 19 Jan 2015
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 90 (527,451)

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Learning, Convergence

18.

A New Strategy for Robbins' Problem of Optimal Stopping

Number of pages: 7 Posted: 15 Mar 2014 Last Revised: 05 May 2016
Martin Meier and Leopold Sögner
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Downloads 79 (570,845)

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Optimal stopping, Robbins' problem

19.

Optimal High-Risk Investment

Number of pages: 35 Posted: 08 Sep 2023
Martin Meier, Leopold Sögner and Gregor Kastner
University of Bath, Institute for Advanced Studies (IHS) and University of Klagenfurt
Downloads 72 (601,423)
Citation 1

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Optimal stopping, High-risk investments

20.

Parameter Estimation and Inference with Spatial Lags and Cointegration

Number of pages: 105 Posted: 28 Apr 2013 Last Revised: 14 Aug 2017
Jan Mutl and Leopold Sögner
European Business School (UK) and Institute for Advanced Studies (IHS)
Downloads 62 (650,291)

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dynamic ordinary least squares, cointegration, credit risk, spatial autocorrelation

21.

Bayesian Reconciliation of Return Predictability

Number of pages: 48 Posted: 11 Dec 2022
Vienna Graduate School of Finance (VGSF), Johannes Kepler University - Department of Applied Statistics and Econometrics and Institute for Advanced Studies (IHS)
Downloads 54 (694,514)

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VAR, Return predictability, Bayesian Control Function approach, Shrinkage Priors

22.

Hunting for Superstars

Number of pages: 41 Posted: 05 Oct 2021 Last Revised: 10 May 2022
Martin Meier and Leopold Sögner
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Institute for Advanced Studies (IHS)
Downloads 35 (825,060)

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Economics of Superstars, Optimal Stopping, High-Risk Investments

23.

The Implicit Estimation of Default Intensities and Recovery Rates

Science Direct Working Paper No S1574-0358(04)70262-2
Number of pages: 15 Posted: 13 Mar 2018
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 29 (875,660)

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Applied Mathematics, Modelling and Simulation, Applied_mathematics/0206016

24.

Inflation Forecasting in Turbulent Times

Number of pages: 34 Posted: 15 Dec 2023
Institute for Advanced Studies (IHS), Institute for Advanced Studies, Institute for Advanced Studies (IHS) - Department of Economics & Finance, Institute for Advanced Studies (IHS), University of Vienna and Institute for Advanced Studies (IHS)
Downloads 28 (884,504)

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Bayesian VAR, mixed frequency, forward-filtering-backward-sampling, inflation forecasting

25.

Generic Identifiability for REMIS: The Case of Cointegrated Unit Root VAR

Number of pages: 35 Posted: 08 Apr 2022 Last Revised: 20 Mar 2023
Philipp Gersing, Leopold Sögner and Manfred Deistler
Vienna University of Technology, Institute for Advanced Studies (IHS) and Vienna University of Technology - Institute for Econometrics, Operations Research and Systems Theory
Downloads 24 (921,712)

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Mixed Frequency, REMIS, VAR, Cointegration, Vector Error Correction Model, Identifiability

26.

Hunting for Superstars

Number of pages: 51 Posted: 28 Jun 2022 Last Revised: 24 Aug 2023
Martin Meier and Leopold Sögner
University of Bath and Institute for Advanced Studies (IHS)
Downloads 21 (951,222)

Abstract:

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Economics of Superstars, Optimal Stopping, High-Risk Investments

27.

Making Parametric Portfolio Policies Work

CEPR Discussion Paper No. DP13193
Number of pages: 28 Posted: 24 Sep 2018
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 0 (1,151,656)
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Abstract:

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expected utility, portfolio policy, prospect theory, risk aversion