Markus Leippold

Cited by

	All	Since 2017
Citations	3092	1284
h-index	26	21
i10-index	50	36

280

140

210

20022003200420052006200720082009201020112012201320142015201620172018201920202021202215 25 45 58 73 115 99 135 129 162 169 159 185 179 191 181 208 180 196 273 239

Public access

View all

32 articles

3 articles

available

not available

Based on funding mandates

Co-authors

Paolo VaniniUniversity of BaselVerified email at unibas.ch
Fabio TrojaniProfessor of Finance (University of Geneva), AXA Chair (University of Turin), Senior Chair (SFI)Verified email at alphacruncher.com
Liuren WuProfessor of Economics and Finance, Baruch CollegeVerified email at baruch.cuny.edu
Harald LohreExecutive Director of Research, RobecoVerified email at robeco.com
Roger RüeggHead of Quant Multi-Asset, Swisscanto by Zürcher KantonalbankVerified email at zkb.ch
Qian WangVerified email at uzh.ch
Mathias KrausFAU Erlangen-NurembergVerified email at fau.de
Julia Anna BinglerETH ZurichVerified email at ethz.ch
Elise GourierESSEC Business SchoolVerified email at essec.edu
Julian Fritz KölbelUniversity of St Gallen / MIT SloanVerified email at unisg.ch
Felix MatthysInstituto Tecnológico Autónomo de MéxicoVerified email at itam.mx
Zvi WienerThe Hebrew University of JerusalemVerified email at mail.huji.ac.il
Massimiliano CiaramitaGoogleVerified email at google.com
Jordan Boyd-GraberAssociate Professor, University of MarylandVerified email at umiacs.umd.edu
Hanlin YangUndisclosedVerified email at bf.uzh.ch
Jordy RillaertsPhD student, University of Zurich (UZH), Swiss Finance Institute (SFI)Verified email at bf.uzh.ch
Jannis BulianGoogleVerified email at cl.cam.ac.uk
Thomas DiggelmannSquirroVerified email at squirro.com
Steven SchaererUniversity of ZurichVerified email at uzh.ch
Alexander F. WagnerUniversity of ZurichVerified email at bf.uzh.ch

Markus Leippold

University of Zurich, Department of Banking and Finance

Verified email at bf.uzh.ch - Homepage

Finance Financial Economics Mathematical Finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Asset pricing under the quadratic class M Leippold, L Wu Journal of Financial and Quantitative Analysis 37 (2), 271-295, 2002	334	2002
Economic benefit of powerful credit scoring A Blöchlinger, M Leippold Journal of Banking & Finance 30 (3), 851-873, 2006	232	2006
The term structure of variance swap rates and optimal variance swap investments D Egloff, M Leippold, L Wu Journal of Financial and Quantitative Analysis 45 (5), 1279-1310, 2010	228	2010
A geometric approach to multiperiod mean variance optimization of assets and liabilities M Leippold, F Trojani, P Vanini Journal of Economic Dynamics and Control 28 (6), 1079-1113, 2004	224	2004
A simple model of credit contagion D Egloff, M Leippold, P Vanini Journal of Banking & Finance 31 (8), 2475-2492, 2007	154	2007
Learning and asset prices under ambiguous information M Leippold, F Trojani, P Vanini The Review of Financial Studies 21 (6), 2565-2597, 2008	148	2008
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets C Bardgett, E Gourier, M Leippold Journal of Financial Economics 131 (3), 593-618, 2019	139	2019
Design and estimation of quadratic term structure models M Leippold, L Wu Review of Finance 7 (1), 47-73, 2003	123	2003
The quantification of operational risk M Leippold, P Vanini Available at SSRN 481742, 2003	110	2003
Design and estimation of multi-currency quadratic models M Leippold, L Wu Review of Finance 11 (2), 167-207, 2007	72	2007
Equilibrium impact of value-at-risk regulation M Leippold, F Trojani, P Vanini Journal of Economic Dynamics and Control 30 (8), 1277-1313, 2006	67	2006
Data snooping and the global accrual anomaly M Leippold, H Lohre Applied Financial Economics 22 (7), 509-535, 2012	63	2012
International price and earnings momentum M Leippold, H Lohre The European Journal of Finance 18 (6), 535-573, 2012	52	2012
Quantile estimation with adaptive importance sampling D Egloff, M Leippold The Annals of Statistics 38 (2), 1244-1278, 2010	48	2010
Variance risk dynamics, variance risk premia, and optimal variance swap investments M Leippold, L Wu, D Egloff EFA 2006 Zurich Meetings Paper, 2007	48	2007
Asset pricing with matrix jump diffusions M Leippold, F Trojani Available at SSRN 1572576, 2010	46	2010
Encyclopedia of alternative investments GN Gregoriou CRC Press, 2008	35	2008
Multiperiod mean-variance efficient portfolios with endogenous liabilities M Leippold, F Trojani, P Vanini Quantitative Finance 11 (10), 1535-1546, 2011	34	2011
Climate-fever: A dataset for verification of real-world climate claims T Diggelmann, J Boyd-Graber, J Bulian, M Ciaramita, M Leippold arXiv preprint arXiv:2012.00614, 2020	33	2020
Economic policy uncertainty and the yield curve M Leippold, F Matthys Swiss Finance Institute Research Paper, 2022	31	2022

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors