Leopold Sögner

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A previous version of this paper was circulated as " Jumps and Recovery Rates Inferred from Corporate CDS Premia ". We are thankful to FIRM@WU for access to their high-performance computing resources as well as friendly support, and to Dow Jones for providing us with complete ICB sector information. We are indebted to and an anonymous referee for many(More)
The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the affect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the sampler. We apply the sampler to simulated data and to some(More)
This paper discusses practical Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma laws. Estimation is based on a parameterization which is derived from the Rosi´nski representation, and has the advantage of being a non-centered parameterization. The parameterization is based on a marked point process, living on the(More)
Rustam Ibragimov and Peter Tufano. Moreover, we are grateful to anonymous referees for helpful comments. Abstract This article presents joint econometric analysis of interest rate risk, issuer-specific risk (credit risk) and bond-specific risk (liquidity risk) in a reduced-form framework. We estimate issuer-specific and bond-specific risk from corporate(More)
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