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)
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)
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)
We analyze risk premia in credit and equity markets by exploring the joint cross-section of credit default swaps (CDS) and stocks for US firms from 2001 to 2010. Structural models imply that (risk-adjusted) excess returns in both markets are driven by the relation between a firm's risk-neutral and real-world default probability. We extract information about(More)
This article considers three standard asset pricing models with adaptive a g e n ts and stochastic dividends. The models only diier in the parameters to be estimated. We assume that only limited information is used to construct estimators. Therefore, parameters are not estimated consistently. More precisely, we assume that the parameters are estimated by(More)
In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the corresponding stationary distribution of the number of states.(More)
This paper provides a generalization of the theory of shareholder monitoring, originally developed by Admati, Pfleiderer, and Zechner (1994). An activist shareholder can trade with a finite number of strategic passive investors. If there are only a few investors, then their strategic behavior leads to an allocation of shares that increases the activist(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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