Journal Publications

ZORA Publication List

Publications

• 2020

  • Leippold, Markus; He, Yunhao (2020). Short-run risk, business cycle, and the value premium. Journal of Economic Dynamics and Control, 120:103993.
  • Leippold, Markus; Rüegg, Roger (2020). How rational and competitive is the market for mutual funds?. Review of Finance, 24(3):579-613.
  • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2020). Second-Order Risk of Alternative Risk Parity Strategies. Journal of Risk, 21(3):1-25.
  • Leippold, Markus; Vasiljevic, Nikola (2020). Option-Implied Intrahorizon Value at Risk. Management Science, 66(1):397-414.

• 2019

  • Leippold, Markus; Yang, Hanlin (2019). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models. Econometrics and Statistics, 12:25-41.
  • Bardgett, Chris; Gourier, Elise; Leippold, Markus (2019). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Journal of Financial Economics, 131(3):593-618.

• 2018

  • Rüegg, Roger; Leippold, Markus (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?. European financial management, 24(5):829-855.
  • Bloechlinger, Andreas; Leippold, Markus (2018). Are ratings the worst form of credit assessment apart from all the others?. Journal of Financial and Quantitative Analysis, 53(1):299-334.
  • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2018). Maximum diversification strategies along commodity risk factors. European financial management, 24(1):53-78.

• 2017

  • Leippold, Markus; Stromberg, Jacob (2017). Strategic technology adoption and hedging under incomplete markets. Journal of Banking and Finance, 81:181-199.
  • Leippold, Markus; Vasiljevic, Nikola (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. Journal of Banking and Finance, 77:78-94.
  • Leippold, Markus; Schärer, Steven (2017). Discrete-time option pricing with stochastic liquidity. Journal of Banking and Finance, 75:1-16.

• 2015

  • Leippold, Markus; Su, Lujing (2015). Collateral smile. Journal of Banking and Finance, 58:15 - 28.
  • Calvet, Laurent E; Fearnley, Marcus; Fisher, Adlai J; Leippold, Markus (2015). What is beneath the surface? Option pricing with multifrequency latent states. Journal of Econometrics, 187(2):498-511.

• 2014

  • Leippold, Markus; Lohre, Harald (2014). The Dispersion Effect in International Stock Returns. Journal of Empirical Finance, 29:331-342.
  • Leippold, Markus; Strømberg, Jacob (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube. Journal of Financial Economics, 111(1):224-250.

• 2012

  • Leippold, Markus; Rohner, Philippe (2012). Equilibrium implications of delegated asset management under benchmarking. Review of Finance, 16(4):935-984.
  • Leippold, Markus; Lohre, Harald (2012). Data snooping and the global accrual anomaly. Applied Financial Economics, 22(7):509-535.
  • Leippold, Markus; Cheng, Jun; Ibraimi, Meriton; Zhang, Jin 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(5):7'8-715.
  • Leippold, Markus; Lohre, Harald (2012). International price and earnings momentum. The European Journal of Finance, 18(6):535-573.

• 2011

  • Leippold, Markus; Bloechlinger, Andreas (2011). A new goodness of fit test for event forecasting and its application to credit default. Management Science, 57(3):487-505.
  • Leippold, Markus; Trojani, Fabio; Vanini, Paolo (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities. Quantitative Finance, 11(10):1535-1546.

Pagination