All Publications

ZORA Publication List

Publications

Journal Article
- 2023
  - Leippold, Markus (2023). Sentiment spin: Attacking financial sentiment with GPT-3. Finance Research Letters, 55(B):103957.
  - Leippold, Markus; Yang, Hanlin (2023). Mixed-Frequency Predictive Regressions. Journal of Forecasting:Epub ahead of print.
  - Leippold, Markus (2023). Thus spoke GPT-3: Interviewing a large-language model on climate finance. Finance Research Letters, 53:103617.
- 2022
  - De Nard, Gianluca; Hediger, Simon; Leippold, Markus (2022). Subsampled Factor Models for Asset Pricing: The Rise of Vasa. Journal of Forecasting, 41(6):1217-1247.
  - Leippold, Markus; Wang, Qian; Zhou, Wenyu (2022). Machine-Learning in the Chinese Factor Zoo. Journal of Financial Economics, 145(2):64-82.
  - Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; Wang, Qian (2022). Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure. Journal of Financial Econometrics:Epub ahead of print.
  - Leippold, Markus; Matthys, Felix (2022). Economic Policy Uncertainty and the Yield Curve. Review of Finance, 26(4):751-797.
  - Bingler, Julia Anna; Kraus, Mathias; Leippold, Markus; Webersinke, Nicolas (2022). Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures. Finance Research Letters, 47:102776.
  - Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus (2022). Let’s Get Physical: Comparing Metrics of Physical Climate Risk. Finance Research Letters, 46:102406.
- 2021
  - Leippold, Markus; Rüegg, Roger (2021). Fama–French Factor Timing: The Long-Only Integrated Approach. European financial management, 27(4):666-700.
- 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.
  - Leippold, Markus; Svaton, Michal (2019). Trend and reversal of idiosyncratic volatility revisited. Critical Finance Review:Epub ahead of print.
  - 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.
- 2010
  - Egloff, Daniel; Leippold, Markus; Wu, Liuren (2010). The term structure of variance swap rates and optimal variance swap investments. Journal of Financial and Quantitative Analysis, 45(5):1279-1310.
  - Leippold, Markus; Egloff, Daniel (2010). Quantile Estimation with Adaptive Importance Sampling. Annals of Statistics, 38(2):1244-1278.
- 2009
  - Leippold, Markus; Egloff, Daniel (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3):287-305.
- 2008
  - Leippold, Markus; Vanini, Paolo; Trojani, Fabio (2008). Learning and Asset Pricing under Uncertainty. Review of Financial Studies, 21(6):2565-2597.
- 2007
  - Egloff, Daniel; Leippold, Markus; Vanini, Paolo (2007). A simple model of credit contagion. Journal of Banking and Finance, 31(8):2475-2492.
  - Syz, Jürg; Leippold, Markus (2007). Trend derivatives: pricing, hedging, and application to executive stock options. Journal of Futures Markets, 27(2):151-186.
  - Leippold, Markus; Wu, Liuren (2007). Design and estimation of multi-currency quadratic models. Review of Finance, 11(2):167-207.
- 2006
  - Vanini, Paolo; Ebnoether, Silvan; Leippold, Markus (2006). Optimal credit limit management under different information regimes. Journal of Banking and Finance, 30:463-487.
  - Blöchlinger, Andreas; Leippold, Markus (2006). The economic benefit of powerful credit scoring. Journal of Banking and Finance, 30:851-873.
  - Vanini, Paolo; Trojani, Fabio; Leippold, Markus (2006). Equilibrium impact of value-at-risk regulation. Journal of Economic Dynamics and Control, 30:1277-1313.
- 2005
  - Leippold, Markus; Vanini, Paolo (2005). The Quantification of Operational Risk. Journal of Risk, 8(1):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, Fabio; Leippold, Markus; Vanini, Paolo (2004). A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities. Journal of Economic Dynamics and Control, 28(6):1079-1113.
  - Leippold, Markus; Wiener, Zvi (2004). Efficient Trinomial Trees for Short Rate Models. Review of Derivatives Research, 7:213-239.
- 2003
  - Leippold, Markus; Wu, Liuren (2003). Design and Estimation of Quadratic Term Structure Models. Review of Finance, 7(1):47-73.
- 2002
  - Leippold, Markus; Vanini, Paolo (2002). Half as many cheers - the multiplier reviewed. Wilmott Magazine, 2:104-107.
  - Leippold, Markus; Wu, L (2002). Asset Pricing under the Quadratic Class. Journal of Financial and Quantitative Analysis, 37(2):271-295.

Pagination