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

18

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SSRN CITATIONS
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1

CROSSREF CITATIONS

18

Scholarly Papers (18)

1.

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 562 (52,786)
Citation 1

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

2.

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 535 (56,235)
Citation 1

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Heston model, MCMC, parameterization, stochastic volatility

3.

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 375 (86,425)

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

4.

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 346 (94,749)

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

5.

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 - Faculty of Business, Economics, and Statistics, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 270 (123,892)

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portfolio policy, expected utility, risk aversion, prospect theory

6.

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
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and Department of Economics, University of Klagenfurt
Downloads 225 (149,531)
Citation 1

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

7.

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 148 (215,999)

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

8.

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 69 (361,379)

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Mood Effects, Weather Effects, Seasonal Affective Disorder

9.

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 59 (391,426)

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Affine term-structure models, GMM

10.

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 59 (391,426)

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Learning, Convergence

11.

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 53 (411,750)

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Optimal stopping, Robbins' problem

12.

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 52 (415,264)

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Cyber-Crime, Cluster Analysis, Internet Victimization

13.

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 38 (470,370)

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

14.

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 - Faculty of Business, Economics, and Statistics, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 32 (498,323)

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portfolio policy, expected utility, risk aversion, prospect theory

15.

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 26 (530,553)

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

16.

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 4 (678,244)

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Applied Mathematics, Modelling and Simulation, Applied_mathematics/0206016

17.

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

European Financial Management, Vol. 16, Issue 4, pp. 658-685, September 2010
Number of pages: 28 Posted: 24 Aug 2010
Manfred Frühwirth, Paul Schneider and Leopold Sögner
affiliation not provided to SSRN, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 2 (696,584)
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18.

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 - Faculty of Business, Economics, and Statistics, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 0 (726,980)
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expected utility, portfolio policy, prospect theory, risk aversion