Working Papers

ZORA Publication List

2023
- Hoepner, Andreas G F; Klausmann, Johannes; Leippold, Markus; Rillaerts, Jordy (2023). Beyond climate: the impact of biodiversity, water, and pollution on the CDS term structure. Swiss Finance Institute Research Paper 23-10, Swiss Finance Institute.
- Wagner, Alexander; Deng, Ming; Leippold, Markus; Wang, Qian (2023). War and Policy: Investor Expectations on the Net-Zero Transition. Swiss Finance Institute Research Paper 22-29, University of Zurich.
- Leippold, Markus (2023). Sentiment spin: attacking financial sentiment with GPT-3. Swiss Finance Institute Research Paper 23-11, Swiss Finance Institut.

2022
- Leippold, Markus; Wolff, Vincent Lars (2022). Stock Market Liquidity, Monetary Policy and the Business Cycle. Swiss Finance Institute Research Paper 22-93, University of Zurich.
- Leippold, Markus; Hershcovich, Daniel; Webersinke, Nicolas; Kraus, Mathias; Bingler, Julia Anna (2022). Towards climate awareness in NLP research. ArXiv.org 2205.05071, Cornell University.
- Berntsen, Philip; Leippold, Markus (2022). The Monetary Benefit of Tokenizing Renewable Energy. SSRN 4219222, University of Zurich.
- Leippold, Markus; Matthys, Felix (2022). Economic Policy Uncertainty and the Yield Curve. Swiss Finance Institute Research Paper 22-36, University of Zurich.

2020
- Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; Wang, Qian (2020). Does the CDS market reflect regulatory climate risk disclosures?. SSRN 3616324, University of Zurich.
- De Nard, Gianluca; Hediger, Simon; Leippold, Markus (2020). Subsampled Factor Models for Asset Pricing: The Rise of Vasa. SSRN 3557957, University of Zurich.
- Leippold, Markus; He, Yunhao (2020). Short-run Risk, Business Cycle, and the Value Premium. SSRN 3519985, University of Zurich.

2019
- Leippold, Markus; Yang, Hanlin (2019). Mixed-Frequency Predictive Regressions. SSRN 3157988, University of Zurich.
- Bernardi, Simone; Leippold, Markus; Lohre, Harald (2019). Second-Order Risk of Alternative Risk Parity Strategies. SSRN 3090624, University of Zurich.

2018
- Yang, Hanlin; Leippold, Markus (2018). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models. SSRN 2856948, University of Zurich.
- Leippold, Markus; Vasiljevic, Nikola (2018). Option-Implied Intra-Horizon Value-at-Risk. SSRN 2804702, University of Zurich.

2017
- Leippold, Markus; Matthys, Felix (2017). Government Policy Uncertainty and the Yield Curve. SSRN 2664116, University of Zurich.

2016
- Leippold, Markus; Vasiljevic, Nikola (2016). Option-Implied Intra-Horizon Risk and First-Passage Disentanglement. SSRN 2804702, University of Zurich.

2015
- Bardgett, Chris; Gourier, Elise; Leippold, Markus (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Swiss Finance Institute Research Paper 13-40, University of Zurich.

2013
- Calvet, Laurent E; Fisher, Adlai J; Leippold, Markus (2013). What's Beneath the Surface? Option Pricing with Multifrequency Latent States. HEC Paris Research Paper 969/2013, University of Zurich.
- Leippold, Markus; Ibraimi, Meriton (2013). The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty. SSRN 2257882, University of Zurich.
- Leippold, Markus; Su, Lujing (2013). Collateral Smile. Swiss Finance Institute Research Paper Series 11-51, University of Zurich.
- Leippold, Markus; Bloechlinger, Andreas; Maire, Basile (2013). Are ratings the worst form of credit assessment apart from all the others?. Swiss Finance Institute Research Paper 12-09, University of Zurich.