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Citations of
Markus Leippold

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Siddiqi, Hammad, 2009. "Ambiguity, Infra-Marginal Investors, and Market Prices," MPRA Paper 13514, University Library of Munich, Germany. [Downloadable!]
    3. Claudio Campanale, . "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics. [Downloadable!] (restricted)
    4. Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009. [Downloadable!]

  2. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA. [Downloadable!]

    Cited by:

    1. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
      Other versions:
    2. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
      Other versions:
    3. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York. [Downloadable!]
    4. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    6. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society. [Downloadable!]
    7. Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York. [Downloadable!]
    8. Marco Realdon, 2006. "Equity Valuation Under Stochastic Interest Rates," Discussion Papers 06/12, Department of Economics, University of York. [Downloadable!]
    9. Don H. Kim, 2008. "Zero bound, option-implied PDFs, and term structure models," Finance and Economics Discussion Series 2008-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    10. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA. [Downloadable!]
    11. Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York. [Downloadable!]
    12. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements. [Downloadable!]
    13. Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, EconWPA. [Downloadable!]
    14. Li Chen & H. Vincent Poor, 2003. "Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates," Finance 0303008, EconWPA. [Downloadable!]
    15. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance 0207010, EconWPA, revised 05 Sep 2002. [Downloadable!]

  3. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
    Published as:

    Cited by:

    1. Gaspar, Raquel M. & Schmidt, Thorsten, 2005. "Quadratic Portfolio Credit Risk models with Shot-noise Effects," Working Paper Series in Economics and Finance 616, Stockholm School of Economics. [Downloadable!]
    2. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Documents de Travail 223, Banque de France. [Downloadable!]
      Other versions:
    3. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
      Other versions:
    4. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
      Other versions:
    6. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York. [Downloadable!]
    7. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    8. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA. [Downloadable!]
    9. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    10. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO. [Downloadable!]
    11. Luca Benati, . "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England. [Downloadable!]
    12. Niels Rom-Poulsen, 2007. "Semi-analytical MBS Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 463-498, May. [Downloadable!] (restricted)
    13. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA. [Downloadable!]
    14. Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York. [Downloadable!]
    15. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA. [Downloadable!]
    16. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
      Other versions:
    17. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements. [Downloadable!]
    18. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society. [Downloadable!]
    19. Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, EconWPA. [Downloadable!]
    20. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
      Other versions:
    21. Li Chen & H. Vincent Poor, 2003. "Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates," Finance 0303008, EconWPA. [Downloadable!]
    22. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Documents de Travail 191, Banque de France. [Downloadable!]
      Other versions:
    23. Gaspar, Raquel M., 2004. "General Quadratic Term Structures of Bond, Futures and Forward Prices," Working Paper Series in Economics and Finance 559, Stockholm School of Economics. [Downloadable!]

  4. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, EconWPA. [Downloadable!]

    Cited by:

    1. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
      Other versions:
    2. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA. [Downloadable!]

Articles

  1. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(6), pages 2565-2597, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August. [Downloadable!] (restricted)

    Cited by:

    1. Antonella Basso & Riccardo Gusso, 2008. "A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio," Working Papers 162, Department of Applied Mathematics, University of Venice. [Downloadable!]
    2. Fabio Gobbi & Cecilia Mancini, 2006. "Identifying the covariation between the diffusion parts and the co-jumps given discrete observations," Quantitative Finance Papers math/0610621, arXiv.org, revised Jul 2008. [Downloadable!]
    3. Diana Barro & Antonella Basso, 2006. "A credit contagion model for loan portfolios in a network of firms with spatial interaction," Working Papers 143, Department of Applied Mathematics, University of Venice. [Downloadable!]
    4. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October. [Downloadable!] (restricted)
    5. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, University of Venice. [Downloadable!]
    6. Didier Rulli\`ere & Diana Dorobantu, 2009. "An extension of Davis and Lo's contagion model," Quantitative Finance Papers 0904.1653, arXiv.org. [Downloadable!]
    7. Diana Barro & Antonella Basso, 2008. "Credit contagion in a network of firms with spatial interaction," Working Papers 186, Department of Applied Mathematics, University of Venice. [Downloadable!]

  3. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August. [Downloadable!] (restricted)

    Cited by:

    1. Enrico De Giorgi, . "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers iewwp185, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    2. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March. [Downloadable!] (restricted)

    Cited by:

    1. Janet Mitchell & Patrick Van Roy, 2007. "Failure prediction models : performance, disagreements, and internal rating systems," Research series 200712-18, National Bank of Belgium. [Downloadable!]
    2. Juha-Pekka Niinimäki & Tuomas Takalo, 2007. "Benchmarking and Comparing Entrepreneurs with Incomplete Information," Finnish Economic Papers, Finnish Economic Association, vol. 20(2), pages 91-107, Autumn. [Downloadable!]

  5. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 271-295, June. [Downloadable!]
    Other versions:

    See citations under working paper version above.

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This page was last updated on 2009-12-17.

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