Markus Leippold

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Economic policy uncertainty and the yield curve Review of Finance	2022-08-26	Paper
Short-run risk, business cycle, and the value premium Journal of Economic Dynamics and Control	2021-11-16	Paper
How rational and competitive is the market for mutual funds? Review of Finance	2021-08-18	Paper
What is beneath the surface? Option pricing with multifrequency latent states Journal of Econometrics	2015-06-08	Paper
Equilibrium implications of delegated asset management under benchmarking Review of Finance	2013-07-04	Paper
Multiperiod mean-variance efficient portfolios with endogenous liabilities Quantitative Finance	2013-03-14	Paper
A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' Journal of Economic Dynamics and Control	2012-05-18	Paper
A new goodness-of-fit test for event forecasting and its application to credit defaults Management Science	2011-06-09	Paper
Quantile estimation with adaptive importance sampling The Annals of Statistics	2010-03-24	Paper
The Valuation of American Options with Stochastic Stopping Time Constraints Applied Mathematical Finance	2009-12-16	Paper
Equilibrium impact of value-at-risk regulation Journal of Economic Dynamics and Control	2008-11-25	Paper
A geometric approach to multiperiod mean variance optimization of assets and liabilities Journal of Economic Dynamics and Control	2008-10-24	Paper
Design and Estimation of Multi-Currency Quadratic Models* Review of Finance	2007-12-12	Paper
Efficient calibration of trinomial trees for one-factor short rate models Review of Derivatives Research	2005-05-17	Paper
Design and Estimation of Quadratic Term Structure Models * Review of Finance	2003-06-09	Paper

Research outcomes over time

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