Leopold Sögner

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Using an extensive cross-section of US corporate CDS this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors(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 Rosiński representation, and has the advantage of being a non-centered parameterization. The parameterization is based on a marked point process, living on the(More)
OBJECTIVE To evaluate the association between socioeconomic factors and suicide rates. METHODS Analysis of time series of suicide rates, gross domestic product, unemployment rates, labor force participation, and divorce rates of 18 countries are analyzed by the application of panel-vector error correction models. Main outcome measures are the association(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)
ZIEL: Das Ziel der vorliegenden Studie bestand darin, den möglichen Einfluss des Wirtschaftswachstums gemessen durch das Bruttoinlandsprodukt auf die Inzidenz von Arbeitsunfällen in Österreich zu untersuchen. METHODIK: Die Beziehung zwischen dem Bruttoinlandsprodukt und Arbeitsunfällen von österreichischen Angestellten wurde zwischen den Jahren 1955 und(More)
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 bond data in the German market. We find that bond-specific risk plays a crucial role in the pricing of corporate(More)
This article considers three standard asset pricing models with adaptive agents and stochastic dividends. The models only di er 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)