Paul Schneider
Paul Schneider
Professor of Quantitative Methods, University of Lugano
Adresse e-mail validée de usi.ch - Page d'accueil
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The skew risk premium in the equity index market
R Kozhan, A Neuberger, P Schneider
The Review of Financial Studies 26 (9), 2174-2203, 2013
1612013
Properties of foreign exchange risk premiums
L Sarno, P Schneider, C Wagner
Journal of Financial Economics 105 (2), 279-310, 2012
1282012
Density approximations for multivariate affine jump-diffusion processes
D Filipović, E Mayerhofer, P Schneider
Journal of Econometrics 176 (2), 93-111, 2013
1192013
The economic role of jumps and recovery rates in the market for corporate default risk
P Schneider, L Sögner, T Veža
Journal of Financial and Quantitative Analysis, 1517-1547, 2010
792010
Low‐Risk Anomalies?
P Schneider, C Wagner, J Zechner
The Journal of Finance, 2017
632017
Fear trading
P Schneider, F Trojani
Swiss Finance Institute Research Paper, 2015
402015
The economic value of predicting bond risk premia
L Sarno, P Schneider, C Wagner
Journal of Empirical Finance 37, 247-267, 2016
362016
Generalized risk premia
P Schneider
Journal of Financial Economics 116 (3), 487-504, 2015
352015
Bayesian inference for discretely sampled Markov processes with closed-form likelihood expansions
O Stramer, M Bognar, P Schneider
Journal of Financial Econometrics 8 (4), 450-480, 2010
302010
Divergence and the Price of Uncertainty
P Schneider, F Trojani
Journal of Financial Econometrics 17 (3), 341-396, 2019
292019
(Almost) model‐free recovery
P Schneider, F Trojani
The Journal of Finance 74 (1), 323-370, 2019
202019
Pricing options with Green's functions when volatility, interest rate and barriers depend on time
G Dorfleitner, P Schneider, K Hawlitschek, A Buch
Quantitative finance 8 (2), 119-133, 2008
172008
The economic value of predicting bond risk premia: Can anything beat the expectations hypothesis
L Sarno, P Schneider, C Wagner
Cass Business School and Centre for Economic Policy Research (CEPR) Working …, 2014
152014
An anatomy of the market return
P Schneider
Journal of Financial Economics 132 (2), 325-350, 2019
82019
Flexing the default barrier
G Dorfleitner, P Schneider, T Veža
Quantitative Finance 11 (12), 1729-1743, 2011
82011
Flexing the default barrier
G Dorfleitner, P Schneider, T Veža
Quantitative Finance 11 (12), 1729-1743, 2011
82011
Empirical asset pricing with nonlinear risk premia
A Mijatović, P Schneider
Journal of Financial Econometrics 12 (3), 479-506, 2014
62014
An Anatomy of the Equity Premium
P Schneider
Swiss Finance Institute, 2016
3*2016
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