Markus Leippold
Markus Leippold
University of Zurich, Department of Banking and Finance
Verified email at - Homepage
Cited by
Cited by
Asset pricing under the quadratic class
M Leippold, L Wu
Journal of Financial and Quantitative Analysis 37 (2), 271-295, 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 45 (5), 1279-1310, 2010
Economic benefit of powerful credit scoring
A Blöchlinger, M Leippold
Journal of Banking & Finance 30 (3), 851-873, 2006
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
A simple model of credit contagion
D Egloff, M Leippold, P Vanini
Journal of Banking & Finance 31 (8), 2475-2492, 2007
Learning and asset prices under ambiguous information
M Leippold, F Trojani, P Vanini
The Review of Financial Studies 21 (6), 2565-2597, 2008
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
Design and estimation of quadratic term structure models
M Leippold, L Wu
Review of Finance 7 (1), 47-73, 2003
The quantification of operational risk
M Leippold, P Vanini
Available at SSRN 481742, 2003
Design and estimation of multi-currency quadratic models
M Leippold, L Wu
Review of Finance 11 (2), 167-207, 2007
Equilibrium impact of value-at-risk regulation
M Leippold, F Trojani, P Vanini
Journal of Economic Dynamics and Control 30 (8), 1277-1313, 2006
Data snooping and the global accrual anomaly
M Leippold, H Lohre
Applied Financial Economics 22 (7), 509-535, 2012
International price and earnings momentum
M Leippold, H Lohre
The European Journal of Finance 18 (6), 535-573, 2012
Machine learning in the Chinese stock market
M Leippold, Q Wang, W Zhou
Journal of Financial Economics 145 (2), 64-82, 2022
Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures
JA Bingler, M Kraus, M Leippold, N Webersinke
Finance Research Letters, 102776, 2022
Quantile estimation with adaptive importance sampling
D Egloff, M Leippold
The Annals of Statistics 38 (2), 1244-1278, 2010
Variance risk dynamics, variance risk premia, and optimal variance swap investments
M Leippold, L Wu, D Egloff
EFA 2006 Zurich Meetings Paper, 2007
Asset pricing with matrix jump diffusions
M Leippold, F Trojani
Available at SSRN 1572576, 2010
Climate-fever: A dataset for verification of real-world climate claims
T Diggelmann, J Boyd-Graber, J Bulian, M Ciaramita, M Leippold
arXiv preprint arXiv:2012.00614, 2020
Ask BERT: How regulatory disclosure of transition and physical climate risks affects the CDS term structure
JF Kölbel, M Leippold, J Rillaerts, Q Wang
Swiss Finance Institute Research Paper, 2020
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