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Markus Leippold

Global rank #4995 94%

Institution: Universität Zürich

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.isb.unizh.ch/institut/staff/leippold.markus/

First Publication: 2002

Most Recent: 2020

RePEc ID: ple204 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.67 6.03 0.00 7.37
All Time 0.00 2.85 14.91 0.00 20.61

Publication Statistics

Raw Publications 21
Coauthorship-Adjusted Count 17.84

Publications (21)

Year Article Journal Tier Authors
2020 How Rational and Competitive Is the Market for Mutual Funds?* Review of Finance B 2
2020 Short-run risk, business cycle, and the value premium Journal of Economic Dynamics and Control B 2
2019 Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets Journal of Financial Economics A 3
2018 Are Ratings the Worst Form of Credit Assessment Except for All the Others? Journal of Financial and Quantitative Analysis B 2
2017 Strategic technology adoption and hedging under incomplete markets Journal of Banking & Finance B 2
2017 Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model Journal of Banking & Finance B 2
2017 Discrete-time option pricing with stochastic liquidity Journal of Banking & Finance B 2
2015 What is beneath the surface? Option pricing with multifrequency latent states Journal of Econometrics A 4
2015 Collateral smile Journal of Banking & Finance B 2
2014 Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube Journal of Financial Economics A 2
2012 Equilibrium Implications of Delegated Asset Management under Benchmarking Review of Finance B 2
2012 A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’ Journal of Economic Dynamics and Control B 4
2010 The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments Journal of Financial and Quantitative Analysis B 3
2008 Learning and Asset Prices Under Ambiguous Information The Review of Financial Studies A 3
2007 A simple model of credit contagion Journal of Banking & Finance B 3
2006 Equilibrium impact of value-at-risk regulation Journal of Economic Dynamics and Control B 3
2006 Economic benefit of powerful credit scoring Journal of Banking & Finance B 2
2006 Optimal credit limit management under different information regimes Journal of Banking & Finance B 3
2004 A geometric approach to multiperiod mean variance optimization of assets and liabilities Journal of Economic Dynamics and Control B 3
2003 Design and Estimation of Quadratic Term Structure Models Review of Finance B 2
2002 Asset Pricing under the Quadratic Class Journal of Financial and Quantitative Analysis B 2