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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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 554 (48,727)
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 532 (51,263)
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 368 (80,280)

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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 (86,222)

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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 245 (124,920)

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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: 34 Posted: 29 Mar 2018 Last Revised: 01 Apr 2018
Julia Reynolds, Leopold Sögner, Martin Wagner and Dominik Wied
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS), Technical University of Dortmund and University of Cologne
Downloads 174 (172,476)
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 147 (198,916)

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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 65 (342,965)

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Mood Effects, Weather Effects, Seasonal Affective Disorder

9.

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 (360,047)

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Learning, Convergence

10.

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 52 (382,135)

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Optimal stopping, Robbins' problem

11.

GMM Estimation of Affine Term Structure Models

Number of pages: 89 Posted: 23 Jul 2015 Last Revised: 18 Apr 2019
Jaroslava Hlouskova and Leopold Sögner
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Downloads 49 (392,204)

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Affine term-structure models, GMM

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 43 (413,611)

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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 37 (437,222)

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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 23 (505,176)

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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 10 (583,322)

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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 3 (630,895)

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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 (640,706)
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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 (670,915)
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expected utility, portfolio policy, prospect theory, risk aversion