Markus Leippold
Markus Leippold
University of Zurich, Department of Banking and Finance
Adresse e-mail validée de bf.uzh.ch - Page d'accueil
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Asset pricing under the quadratic class
M Leippold, L Wu
Journal of Financial and Quantitative Analysis, 271-295, 2002
309*2002
The term structure of variance swap rates and optimal variance swap investments
D Egloff, M Leippold, L Wu
Journal of Financial and Quantitative Analysis, 1279-1310, 2010
242*2010
Economic benefit of powerful credit scoring
A Blöchlinger, M Leippold
Journal of Banking & Finance 30 (3), 851-873, 2006
2082006
A geometric approach to multiperiod mean variance optimization of assets and liabilities
M Leippold, F Trojani, P Vanini
Journal of Economic Dynamics and Control 28 (6), 1079-1113, 2004
2052004
A simple model of credit contagion
D Egloff, M Leippold, P Vanini
Journal of Banking & Finance 31 (8), 2475-2492, 2007
1402007
Learning and asset prices under ambiguous information
M Leippold, F Trojani, P Vanini
The Review of Financial Studies 21 (6), 2565-2597, 2008
1342008
Design and estimation of quadratic term structure models
M Leippold, L Wu
Review of Finance 7 (1), 47-73, 2003
1162003
The quantification of operational risk
M Leippold, P Vanini
Available at SSRN 481742, 2003
972003
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
C Bardgett, E Gourier, M Leippold
Journal of Financial Economics 131 (3), 593-618, 2019
852019
Design and estimation of multi-currency quadratic models
M Leippold, L Wu
Review of Finance 11 (2), 167-207, 2007
712007
Equilibrium impact of value-at-risk regulation
M Leippold, F Trojani, P Vanini
Journal of Economic Dynamics and Control 30 (8), 1277-1313, 2006
662006
Data snooping and the global accrual anomaly
M Leippold, H Lohre
Applied Financial Economics 22 (7), 509-535, 2012
572012
Asset pricing with matrix jump diffusions
M Leippold, F Trojani
Available at SSRN 1572576, 2010
51*2010
International price and earnings momentum
M Leippold, H Lohre
The European Journal of Finance 18 (6), 535-573, 2012
412012
Quantile estimation with adaptive importance sampling
D Egloff, M Leippold
The Annals of Statistics 38 (2), 1244-1278, 2010
402010
Maximum diversification strategies along commodity risk factors
S Bernardi, M Leippold, H Lohre
European Financial Management 24 (1), 53-78, 2018
35*2018
Multiperiod mean-variance efficient portfolios with endogenous liabilities
M Leippold, F Trojani, P Vanini
Quantitative Finance 11 (10), 1535-1546, 2011
322011
Encyclopedia of alternative investments
GN Gregoriou
CRC Press, 2008
312008
Economic policy uncertainty and the yield curve
M Leippold, F Matthys
Available at SSRN 2669500, 2015
222015
Are ratings the worst form of credit assessment apart from all the others?
A Blöchlinger, M Leippold
Swiss Finance Institute Research Paper, 2012
21*2012
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