Leopold Sögner

Institute for Advanced Studies (IHS)

Josefstädter Straße 39

1080 Vienna

Austria

Vienna Graduate School of Finance (VGSF)

Welthandelsplatz 1

Vienna, 1020

Austria

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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1

CROSSREF CITATIONS

18

Scholarly Papers (21)

1.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 21 May 2009
Paul Schneider, Leopold Sögner and Tanja Veza
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and WU Vienna (Vienna University of Economics and Business)
Downloads 575 (60,873)
Citation 1

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credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation

2.

Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model

Number of pages: 37 Posted: 13 Dec 2007 Last Revised: 12 Mar 2014
Sylvia Fruhwirth-Schnatter and Leopold Sögner
Johannes Kepler University - Department of Applied Statistics and Econometrics and Institute for Advanced Studies (IHS)
Downloads 546 (64,994)
Citation 1

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Heston model, MCMC, parameterization, stochastic volatility

3.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

EFA 2006 Zurich Meetings
Number of pages: 45 Posted: 27 Feb 2006 Last Revised: 15 Oct 2008
Manfred Frühwirth, Paul Schneider and Leopold Sögner
Vienna University of Economics and Business, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 385 (98,758)

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Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation

4.

Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

Number of pages: 9 Posted: 19 Aug 2005
Paul Schneider, Manfred Frühwirth and Leopold Sögner
University of Lugano - Institute of Finance, Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 348 (110,615)

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Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion

5.

Making Parametric Portfolio Policies Work

Number of pages: 32 Posted: 10 Dec 2017 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 318 (122,150)

Abstract:

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portfolio policy, expected utility, risk aversion, prospect theory

6.

Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets

Number of pages: 47 Posted: 29 Mar 2018 Last Revised: 08 Jul 2020
Julia Reynolds, Leopold Sögner and Martin Wagner
U.S. Securities and Exchange Commission, Institute for Advanced Studies (IHS) and Department of Economics, University of Klagenfurt
Downloads 311 (125,466)
Citation 1

Abstract:

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Triangular Arbitrage Parity, Foreign Exchange Markets, Cryptocurrencies, Cointegration, Monitoring

7.

Stock-Oil Comovement: Fundamentals or Financialization?

Number of pages: 45 Posted: 15 Oct 2020 Last Revised: 03 Feb 2021
Vienna Graduate School of Finance (VGSF), WU Vienna University of Economics and Businessaffiliation not provided to SSRN, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business
Downloads 160 (235,012)

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Asset Comovements, Oil Futures, VAR Return Decomposition, Real Economy

8.

Priors and Bayesian Parameter Estimation of Affine Term Structure Models

Number of pages: 48 Posted: 23 Dec 2009 Last Revised: 22 Feb 2014
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 149 (249,219)

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Affine term-structure models, MCMC, Near unit root behavior

9.

The Jarrow/Turnbull Default Risk Model Evidence from the German Market

Science Direct Working Paper No S1574-0358(04)70696-6
Number of pages: 26 Posted: 02 Apr 2018
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 74 (400,365)

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Credit Risk, Intensity-based models, Jarrow/Turnbull model, Term Structure of Interest Rates, C52, G12, B13, E43

10.

Weather and SAD Related Mood Effects on the Financial Market

Number of pages: 69 Posted: 05 May 2013 Last Revised: 22 Jul 2015
Manfred Frühwirth and Leopold Sögner
Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 74 (400,365)

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Mood Effects, Weather Effects, Seasonal Affective Disorder

11.

Performance of Characteristics-Based Portfolio Choice

Number of pages: 62 Posted: 01 Oct 2020
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 71 (409,603)

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portfolio policy, expected utility, risk aversion, simulated data

12.

GMM Estimation of Affine Term Structure Models

Number of pages: 34 Posted: 23 Jul 2015 Last Revised: 04 Nov 2019
Jaroslava Hlouskova and Leopold Sögner
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Downloads 66 (425,863)

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Affine term-structure models, GMM

13.

Learning, Convergence and Economic Constraints

Number of pages: 50 Posted: 27 Aug 2010 Last Revised: 19 Jan 2015
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 59 (450,296)

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Learning, Convergence

14.

An Exploratory Analysis on the Risk to be Offended on the Internet

Number of pages: 27 Posted: 19 Apr 2019
Susanne Kirchner and Leopold Sögner
Institute for Advanced Studies (IHS) and Institute for Advanced Studies (IHS)
Downloads 55 (465,246)

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Cyber-Crime, Cluster Analysis, Internet Victimization

15.

A New Strategy for Robbins' Problem of Optimal Stopping

Number of pages: 7 Posted: 15 Mar 2014 Last Revised: 05 May 2016
Martin Meier and Leopold Sögner
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Downloads 55 (465,246)

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Optimal stopping, Robbins' problem

16.

Online-Appendix to: Making Parametric Portfolio Policies Work

Number of pages: 102 Posted: 06 Mar 2018 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 47 (498,027)

Abstract:

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portfolio policy, expected utility, risk aversion, prospect theory

17.

Parameter Estimation and Inference with Spatial Lags and Cointegration

Number of pages: 105 Posted: 28 Apr 2013 Last Revised: 14 Aug 2017
Jan Mutl and Leopold Sögner
European Business School (UK) and Institute for Advanced Studies (IHS)
Downloads 40 (530,004)

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dynamic ordinary least squares, cointegration, credit risk, spatial autocorrelation

18.

Hunting for Superstars

Number of pages: 36 Posted: 05 Oct 2021
Martin Meier and Leopold Sögner
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Institute for Advanced Studies (IHS)
Downloads 10 (725,071)

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Economics of Superstars, Optimal Stopping, High-Risk Investments

19.

The Implicit Estimation of Default Intensities and Recovery Rates

Science Direct Working Paper No S1574-0358(04)70262-2
Number of pages: 15 Posted: 13 Mar 2018
Leopold Sögner
Institute for Advanced Studies (IHS)
Downloads 5 (764,563)

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Applied Mathematics, Modelling and Simulation, Applied_mathematics/0206016

20.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

European Financial Management, Vol. 16, Issue 4, pp. 658-685, September 2010
Number of pages: 28 Posted: 24 Aug 2010
Manfred Frühwirth, Paul Schneider and Leopold Sögner
affiliation not provided to SSRN, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 2 (789,543)
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21.

Making Parametric Portfolio Policies Work

Number of pages: 28 Posted: 24 Sep 2018
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 0 (818,422)
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expected utility, portfolio policy, prospect theory, risk aversion