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Priors and Bayesian parameter estimation of affine term structure models

Sögner, Leopold - In: International journal of computational economics and … 4 (2014) 3/4, pp. 288-319

Persistent link: https://www.econbiz.de/10010496421

Asset pricing under asymmetric information

Häfke, Christian; Sögner, Leopold - 1997

Persistent link: https://www.econbiz.de/10000955280

Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions

Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: Operations research proceedings 2005 : selected papers …, (pp. 507-512). 2006

Persistent link: https://www.econbiz.de/10003347723

The economic role of jumps and recovery rates in the market for corporate default risk

Schneider, Paul; Sögner, Leopold; Veza, Tanja - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1517-1547

Persistent link: https://www.econbiz.de/10008909155

The risk microstructure of corporate bonds : a case study from the German corporate bond market

Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: European financial management : the journal of the … 16 (2010) 4, pp. 658-685

Persistent link: https://www.econbiz.de/10008658796

The implicit estimation of default intensities and recovery rates

Frühwirth, Manfred; Sögner, Leopold - In: Empirie und Betriebswirtschaft : Entwicklungen und …, (pp. 351-371). 2003

Persistent link: https://www.econbiz.de/10001799635

Bayesian estimation of the Heston volatility model

Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003

Persistent link: https://www.econbiz.de/10001752050

Stochastic equilibrium : learning by exponential smoothing

Pötzelberger, Klaus; Sögner, Leopold - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1743-1770

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Making Parametric Portfolio Policies Work

Gehrig, Thomas - 2019

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov (RFS 2009). For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric...

Persistent link: https://www.econbiz.de/10012900495

Online-Appendix to : Making Parametric Portfolio Policies Work

Gehrig, Thomas - 2019

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov. For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric portfolio policy...

Persistent link: https://www.econbiz.de/10012899919