All Publications

ZORA Publication List

Publications

• Conference or Workshop item

  • 2020

    • Mishra, R., Gupta, D., & Leippold, M. (2020, November 20). Generating Fact Checking Summaries for Web Claims The 2020 Conference on Empirical Methods in Natural Language Processing (EMNLP 2020), online.

• Dissertation

  • 2024

    • Svaton, M. (2024). Essays in volatility (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-260073
    • Rillaerts, J. (2024). Three essays in empirical finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-258534

  • 2022

    • Ulrych, U. (2022). Applications of statistical learning in quantitative finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-218312

  • 2021

    • Ramelli, S. (2021). Finance in the climate crisis: preferences, policies, and prospects (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-206110
    • Stang, F. (2021). Essays on arbitrage pricing theory and contagion in a financial network (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-206334

  • 2020

    • Schärer, S. P. (2020). Three Essays on Financial Engineering (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-189931

  • 2018

    • Bernardi, S. (2018). Three essays on regulatory, market, and estimation risk (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-159522

  • 2014

    • Matthys, F. (2014). Three essays in quantitative finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-204390

  • 2013

    • Putintseva, M. (2013). Three essays on forecasting and information acquisition in finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-164206

  • 2009

    • Rohner, P. (2009). Asset pricing implications of delegated portfolio management and benchmarking (Dissertation, University of Zurich)

  • 2006

    • Morger, F. (2006). International Asset Allocationand Hidden Regime Switching (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-236331

  • 2005

    • Blöchlinger, A. (2005). Econometric advancements in market and credit risk modeling (Dissertation, University of Zurich)

• Master's Thesis

  • 2024

    • Can Türetken, A. (2024). An Adversarial Attack Approach on Financial LLMs Driven by Embedding-Similarity Optimization (Master’s thesis, University of Zurich) https://doi.org/10.5167/uzh-262354
    • Holzheu, K. (2024). Financial advisors and the willingness to pay for sustainable finance products by private investors (Master’s thesis, University of Zurich) https://doi.org/10.5167/uzh-261882

• Monograph

  • 2012

    • Leippold, M. (2012). Zeitreihenanalyse in Finanzmärkten : Eine Einführung. bookboon.com.

  • 1999

    • Leippold, M. (1999). International term structure models: global models of interest rate and foreign exchange rate risk Haupt.

• Newspaper Article

  • 2018

    • Leippold, M., & Rüegg, R. (2018, December 3). Besser als der Ruf Schweizer Versicherung - Monatsmagazin für Assekuranz, Finanzen und Vorsorge, n/a.

• Published Research Report

  • 2024

    • Leippold, M. (2024). The Role of AI in Transforming Financial Practices (SFI Public Discussion Note). Swiss Finance Institute. https://www.sfi.ch/en/publications/sfi-pdn-role-of-ai-20241112

• Scientific Publication in Electronic Form

  • 2022

    • Leippold, M., Wagner, A., Deng, M., & Wang, Q. (2022). What stock price reactions to the Russia-Ukraine war tell us about the energy transition https://voxeu.org/article/what-stock-price-reactions-russia-ukraine-war-tell-us-about-energy-transition

• Working Paper

  • 2023

    • Hoepner, A. G. F., Klausmann, J., Leippold, M., & Rillaerts, J. (2023). Beyond climate: the impact of biodiversity, water, and pollution on the CDS term structure (Swiss Finance Institute Research Paper).
    • Wagner, A., Deng, M., Leippold, M., & Wang, Q. (2023). War and Policy: Investor Expectations on the Net-Zero Transition (No. 22–29; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4080181
    • Leippold, M. (2023). Sentiment spin: attacking financial sentiment with GPT-3 (No. 23–11; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4337182

  • 2022

    • Leippold, M., & Wolff, V. L. (2022). Stock Market Liquidity, Monetary Policy and the Business Cycle (No. 22–93; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4286698
    • Leippold, M., Hershcovich, D., Webersinke, N., Kraus, M., & Bingler, J. A. (2022). Towards climate awareness in NLP research (2205.05071; ArXiv.Org). https://doi.org/10.48550/arXiv.2205.05071
    • Berntsen, P., & Leippold, M. (2022). The Monetary Benefit of Tokenizing Renewable Energy (No. 4219222; SSRN). https://doi.org/10.2139/ssrn.4219222
    • Leippold, M., & Matthys, F. (2022). Economic Policy Uncertainty and the Yield Curve (No. 22–36; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.2669500

  • 2020

    • Kölbel, J., Leippold, M., Rillaerts, J., & Wang, Q. (2020). Does the CDS market reflect regulatory climate risk disclosures? (No. 3616324; SSRN). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3616324
    • De Nard, G., Hediger, S., & Leippold, M. (2020). Subsampled Factor Models for Asset Pricing: The Rise of Vasa (No. 3557957; SSRN). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3557957
    • Leippold, M., & He, Y. (2020). Short-run Risk, Business Cycle, and the Value Premium (No. 3519985; SSRN). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3519985

  • 2019

    • Leippold, M., & Svatoň, M. (2019). Trend and reversal of idiosyncratic volatility revisited (No. 3321678; Critical Finance Review). https://doi.org/10.2139/ssrn.3321678
    • Bernardi, S., Leippold, M., & Lohre, H. (2019). Second-Order Risk of Alternative Risk Parity Strategies (No. 3090624; SSRN). https://doi.org/10.2139/ssrn.3090624

  • 2018

    • Yang, H., & Leippold, M. (2018). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models (No. 2856948; SSRN).
    • Leippold, M., & Vasiljevic, N. (2018). Option-Implied Intra-Horizon Value-at-Risk (No. 2804702; SSRN). https://doi.org/10.2139/ssrn.2804702

  • 2017

    • Leippold, M., & Matthys, F. (2017). Government Policy Uncertainty and the Yield Curve (No. 2664116; SSRN). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2664116

  • 2016

    • Leippold, M., & Vasiljevic, N. (2016). Option-Implied Intra-Horizon Risk and First-Passage Disentanglement (No. 2804702; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2804702

  • 2015

    • Bardgett, C., Gourier, E., & Leippold, M. (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (No. 13–40; Swiss Finance Institute Research Paper). http://www.elisegourier.com/uploads/3/7/9/6/37964671/bardgett_gourier_leippold_vix_paper.pdf

  • 2013

    • Leippold, M., Bloechlinger, A., & Maire, B. (2013). Are ratings the worst form of credit assessment apart from all the others? (No. 12–09; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2012277
    • Leippold, M., & Su, L. (2013). Collateral Smile (No. 11–51; Swiss Finance Institute Research Paper Series). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1956449&download=yes
    • Calvet, L. E., Fisher, A. J., & Leippold, M. (2013). What’s Beneath the Surface? Option Pricing with Multifrequency Latent States (969/2013; HEC Paris Research Paper). https://doi.org/10.1016/j.jeconom.2015.02.034
    • Leippold, M., & Ibraimi, M. (2013). The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty (No. 2257882; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2257882

  • 2012

    • Stromberg, J., & Leippold, M. (2012). Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions (No. 12–23; SFI Research Paper Series). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2065375##

Pagination