Journal Publications

ZORA Publication List

Publications

• 2014

  • Leippold, M., & Strømberg, J. (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube Journal of Financial Economics, 111, 224–250. https://doi.org/10.1016/j.jfineco.2013.08.016

• 2012

  • Leippold, M., Cheng, J., Ibraimi, M., & Zhang, J. E. (2012). A remark on Lin’s and Chang’s pager “Consistent modelling of S&P500 and VIX derivatives.” Journal of Economic Dynamics and Control, 36, 7'8-715. https://doi.org/10.1016/j.jedc.2012.01.002
  • Leippold, M., & Lohre, H. (2012). Data snooping and the global accrual anomaly Applied Financial Economics, 22, 509–535. https://doi.org/10.1080/09603107.2011.631892
  • Leippold, M., & Rohner, P. (2012). Equilibrium implications of delegated asset management under benchmarking Review of Finance, 16, 935–984. https://doi.org/10.1093/rof/rfq036
  • Leippold, M., & Lohre, H. (2012). International price and earnings momentum The European Journal of Finance, 18, 535–573. https://doi.org/10.1080/1351847X.2011.628683

• 2011

  • Leippold, M., & Bloechlinger, A. (2011). A new goodness of fit test for event forecasting and its application to credit default Management Science, 57, 487–505. https://doi.org/10.1287/mnsc.1100.1283
  • Leippold, M., Trojani, F., & Vanini, P. (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities Quantitative Finance, 11, 1535–1546. https://doi.org/10.1080/14697680902950813

• 2010

  • Egloff, D., Leippold, M., & Wu, L. (2010). The term structure of variance swap rates and optimal variance swap investments Journal of Financial and Quantitative Analysis, 45, 1279–1310. https://doi.org/10.1017/S0022109010000463
  • Leippold, M., & Egloff, D. (2010). Quantile Estimation with Adaptive Importance Sampling Annals of Statistics, 38, 1244–1278. https://doi.org/10.1214/09-AOS745

• 2009

  • Leippold, M., & Egloff, D. (2009). American Options with Stochastic Stopping Time Constraints Applied Mathematical Finance, 16, 287–305. https://doi.org/10.1080/13504860802645706

• 2008

  • Leippold, M., Vanini, P., & Trojani, F. (2008). Learning and Asset Pricing under Uncertainty Review of Financial Studies, 21, 2565–2597. http://rfs.oxfordjournals.org/content/21/6/2565.short

• 2007

  • Egloff, D., Leippold, M., & Vanini, P. (2007). A simple model of credit contagion Journal of Banking and Finance, 31, 2475–2492. https://doi.org/10.1016/j.jbankfin.2006.10.023
  • Syz, J., & Leippold, M. (2007). Trend derivatives: pricing, hedging, and application to executive stock options Journal of Futures Markets, 27, 151–186. https://doi.org/10.1002/fut.20233
  • Leippold, M., & Wu, L. (2007). Design and estimation of multi-currency quadratic models Review of Finance, 11, 167–207. https://doi.org/10.1093/rof/rfl002

• 2006

  • Vanini, P., Trojani, F., & Leippold, M. (2006). Equilibrium impact of value-at-risk regulation Journal of Economic Dynamics and Control, 30, 1277–1313. https://doi.org/10.1016/j.jedc.2005.04.008
  • Blöchlinger, A., & Leippold, M. (2006). The economic benefit of powerful credit scoring Journal of Banking and Finance, 30, 851–873. https://doi.org/10.1016/j.jbankfin.2005.07.014
  • Vanini, P., Ebnoether, S., & Leippold, M. (2006). Optimal credit limit management under different information regimes Journal of Banking and Finance, 30, 463–487. https://doi.org/10.1016/j.jbankfin.2005.04.018

• 2005

  • Leippold, M., & Vanini, P. (2005). The Quantification of Operational Risk Journal of Risk, 8, 59–85.

• 2004

  • Leippold, Markus; Wiener, Zvi (2004). Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models Review of Derivatives Research, 7(3):213-239.
  • Trojani, F., Leippold, M., & Vanini, P. (2004). A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities Journal of Economic Dynamics and Control, 28, 1079–1113. https://doi.org/10.1016/S0165-1889(03)00067-8

Pagination