Markus Leippold

University of Zurich - Department of Banking and Finance

Professor

Plattenstrasse 14

Zürich, 8032

Switzerland

University of Zurich - Faculty of Economics, Business Administration and Information Technology

Professor

Plattenstrasse 14

Zürich, 8032

Switzerland

SCHOLARLY PAPERS

65

DOWNLOADS
Rank 539

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Top 539

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47,949

SSRN CITATIONS
Rank 4,343

SSRN RANKINGS

Top 4,343

in Total Papers Citations

146

CROSSREF CITATIONS

170

Scholarly Papers (65)

1.
Downloads 4,093 ( 2,868)
Citation 14

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Markus Leippold and Paolo Vanini
University of Zurich - Department of Banking and Finance and University of Basel
Downloads 4,093 (2,817)
Citation 14

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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 - Department of Banking and Finance

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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

2.

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 - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,401 (7,064)
Citation 14

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Return variance swap, equity index options, term structure

3.

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 - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,196 (8,177)

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4.

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 - Department of Banking and Finance, QuantAlea GmbH and University of Basel
Downloads 2,089 (8,872)
Citation 16

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

5.

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

Number of pages: 23 Posted: 03 Mar 2021
Julia Anna Bingler, Mathias Kraus and Markus Leippold
ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich - Department of Banking and Finance
Downloads 2,005 (9,576)
Citation 1

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

6.

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 - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 2,004 (9,516)
Citation 20

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

7.

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 - Department of Banking and Finance and Swiss National Bank, International Monetary Relations
Downloads 1,682 (12,608)

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

8.

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 - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,517 (14,840)
Citation 1

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9.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,124 (23,385)

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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 - Department of Banking and Finance
Downloads 955 (29,154)
Citation 22

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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 - Department of Banking and Finance
Downloads 162 (224,738)
Citation 27

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

11.

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 - Department of Banking and Finance
Downloads 1,092 (24,408)
Citation 2

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

12.

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 - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,090 (24,467)
Citation 2

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Short Rate Models, Trinomial Trees, Forward Measure

13.

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 - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 1,076 (24,918)
Citation 10

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

14.

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 - Department of Banking and Finance and China International Capital Corporation Hong Kong Limited
Downloads 966 (29,148)

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

15.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 947 (29,954)
Citation 6

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16.

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 - Department of Banking and Finance
Downloads 915 (31,466)

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

17.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 882 (33,094)
Citation 3

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

18.
Downloads 861 ( 34,221)
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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 679 (46,665)
Citation 7

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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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 182 (203,101)
Citation 16

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

19.
Downloads 855 ( 34,542)
Citation 16

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 - Department of Banking and Finance and Invesco
Downloads 855 (34,023)
Citation 16

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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
Invesco and University of Zurich - Department of Banking and Finance

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

20.

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

Swiss Finance Institute Research Paper No. 21-19
Number of pages: 81 Posted: 15 Jul 2020 Last Revised: 09 Apr 2021
University of Zurich, Department of Banking and Finance, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 838 (35,562)

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

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 - Department of Banking and Finance and Invesco
Downloads 818 (36,183)
Citation 5

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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
Invesco and University of Zurich - Department of Banking and Finance

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

22.
Downloads 799 ( 37,927)
Citation 19

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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 799 (37,383)
Citation 19

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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 - Department of Banking and Finance, Swiss Finance Institute and University of Basel

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G1, G11, G12

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 - Department of Banking and Finance and Invesco
Downloads 793 (37,768)
Citation 1

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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 - Department of Banking and Finance and Invesco
Downloads 3 (790,101)
Citation 5
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commodity strategies, diversification, risk‐based portfolio construction, risk parity

24.

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 - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 751 (41,262)
Citation 9

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Asset correlations, limits to arbitrage, ETFs, futures

25.

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 - Department of Banking and Finance, University of Basel and Zurich Cantonal Bank
Downloads 727 (43,121)

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

26.

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 - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 726 (43,523)
Citation 1

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

27.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 722 (43,523)
Citation 1

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Factor timing, equity style timing, integrated approach, momentum

28.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 702 (45,189)
Citation 1

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

29.

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 - Department of Banking and Finance
Downloads 680 (47,210)

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

30.

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Number of pages: 25 Posted: 07 Apr 2005
QuantAlea GmbH, University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 665 (48,678)
Citation 7

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

31.

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 - Department of Banking and Finance
Downloads 636 (51,501)
Citation 5

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

32.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 595 (56,127)
Citation 10

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

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 576 (57,716)
Citation 1

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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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 1 (814,249)
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factor investing, integrated and mixed approach, value, momentum, low volatility

34.

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 - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 556 (61,131)
Citation 14

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

35.

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 - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 554 (61,387)
Citation 2

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

36.

Don't Rely on VAR

Euromoney, November 2004
Number of pages: 5 Posted: 18 Apr 2007
Markus Leippold
University of Zurich - Department of Banking and Finance
Downloads 534 (64,192)

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Value at Risk, Regulation

37.

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 - Department of Banking and Finance
Downloads 530 (65,109)
Citation 1

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Climate change, physical risk scores, disagreement, model uncertainty

38.
Downloads 496 ( 70,451)
Citation 6

Economic Policy Uncertainty and the Yield Curve

Number of pages: 66 Posted: 07 Oct 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 319 (116,573)
Citation 7

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Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

Government Policy Uncertainty and the Yield Curve

Number of pages: 59 Posted: 24 Sep 2015 Last Revised: 23 Aug 2017
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 177 (208,145)
Citation 2

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Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

39.

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 - Department of Banking and Finance and Diener Syz Real Estate
Downloads 488 (71,822)
Citation 3

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

40.

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 - Department of Banking and Finance
Downloads 485 (72,386)
Citation 4

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

41.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 430 (83,621)
Citation 4

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collateral requirements, funding costs, volatility smile, option pricing

42.

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 - Department of Banking and Finance
Downloads 420 (85,936)

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43.

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 - Department of Banking and Finance
Downloads 397 (91,716)
Citation 2

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

44.

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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 379 (96,800)
Citation 5

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

45.

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 - Department of Banking and Finance and Invesco
Downloads 370 (99,449)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

46.

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 - Department of Banking and Finance and Diener Syz Real Estate
Downloads 323 (115,777)

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Time Diversification, Regression, PIN Risk

47.

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 - Department of Banking and Finance
Downloads 317 (118,059)
Citation 1

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

48.

Equilibrium Implications of Delegated Asset Management Under Benchmarking

Number of pages: 50 Posted: 21 Nov 2008 Last Revised: 31 Mar 2012
Markus Leippold and Philippe Rohner
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 271 (139,250)
Citation 1

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Portfolio Delegation, Benchmarking, General Equilibrium, Equity Risk Premia

49.

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 - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 270 (139,759)
Citation 8

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

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 - Department of Banking and Finance and Invesco
Downloads 260 (144,717)

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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 - Department of Banking and Finance and Invesco
Downloads 1 (814,249)
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estimation risk, second-order risk, portfolio construction, risk parity, diversification

51.

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 - Department of Banking and Finance and University of Zurich - Swiss Banking Institute (ISB)
Downloads 260 (145,291)
Citation 1

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Fundamental Theorem of Asset Pricing, uncertainty, multiple priors

52.

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 - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 203 (184,133)
Citation 1

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

53.

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 - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 197 (189,307)

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VIX option pricing, affine jump di usion, characteristic function

54.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 196 (190,178)
Citation 4

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

55.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 192 (193,727)

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

56.

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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 180 (205,075)

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

57.

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 - Department of Banking and Finance and China International Capital Corporation Hong Kong Limited
Downloads 168 (217,639)
Citation 2

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

58.

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 - Department of Banking and Finance and ITAM
Downloads 162 (224,382)

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

59.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 148 (241,964)

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

60.

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 - Department of Banking and Finance
Downloads 86 (354,448)

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

61.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 85 (357,048)

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Optimal Execution; Conic Finance; Stochastic Liquidity; Dynamic Programming

62.

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 - Department of Banking and Finance
Downloads 34 (542,397)

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63.

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 - Department of Banking and Finance
Downloads 13 (679,320)

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64.

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 - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

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VIX option pricing, affine jump diffusion, characteristic function

65.

Asset Pricing Under the Quadratic Class

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

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