Paul Schneider

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Christian WagnerProfessor of Finance, WU Vienna University of Economics and BusinessVerified email at wu.ac.at
LUCIO SARNOCambridge Judge Business School, University of CambridgeVerified email at jbs.cam.ac.uk
Fabio TrojaniProfessor of Finance (University of Geneva), AXA Chair (University of Turin), Senior Chair (SFI)Verified email at alphacruncher.com
Roman KozhanProfessor of Finance, University of WarwickVerified email at wbs.ac.uk
Anthony NeubergerProfessor of Finance, Cass Business School, City University of LondonVerified email at city.ac.uk
Josef ZechnerProfessor for Finance, WU Vienna University of Economics and BusinessVerified email at wu.ac.at
Eberhard MayerhoferUniversity of LimerickVerified email at ul.ie
Damir FilipovicEPFL, Swiss Finance InstituteVerified email at epfl.ch
Professor Aleksandar MijatovicDepartment of Statistics, The University of WarwickVerified email at warwick.ac.uk
Prof. Caio AlmeidaDepartment of Economics, Princeton UniversityVerified email at princeton.edu

Paul Schneider

Professor of Quantitative Methods, University of Lugano

Verified email at usi.ch - Homepage

Asset Pricing Econometrics Statistics


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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	263	2013
Low‐risk anomalies? P Schneider, C Wagner, J Zechner The Journal of Finance 75 (5), 2673-2718, 2020	187	2020
Properties of foreign exchange risk premiums L Sarno, P Schneider, C Wagner Journal of Financial Economics 105 (2), 279-310, 2012	171	2012
Density approximations for multivariate affine jump-diffusion processes D Filipović, E Mayerhofer, P Schneider Journal of Econometrics 176 (2), 93-111, 2013	153	2013
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 45 (6), 1517-1547, 2010	92	2010
The economic value of predicting bond risk premia L Sarno, P Schneider, C Wagner Journal of Empirical Finance 37, 247-267, 2016	84	2016
Fear trading P Schneider, F Trojani Swiss Finance Institute Research Paper, 2015	54	2015
Divergence and the Price of Uncertainty P Schneider, F Trojani Journal of Financial Econometrics 17 (3), 341-396, 2019	48	2019
(Almost) model‐free recovery P Schneider, F Trojani The Journal of Finance 74 (1), 323-370, 2019	44	2019
Generalized risk premia P Schneider Journal of Financial Economics 116 (3), 487-504, 2015	41	2015
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	38	2010
An anatomy of the market return P Schneider Journal of Financial Economics 132 (2), 325-350, 2019	31	2019
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	20	2008
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	16	2014
Empirical asset pricing with nonlinear risk premia A Mijatović, P Schneider Journal of Financial Econometrics 12 (3), 479-506, 2014	11	2014
Flexing the default barrier G Dorfleitner, P Schneider, T Veža Quantitative Finance 11 (12), 1729-1743, 2011	11	2011
Globally optimal parameter estimates for nonlinear diffusions A Mijatović, P Schneider	4	2010
An Anatomy of the Equity Premium P Schneider Swiss Finance Institute, 2016	3*	2016

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