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Details about Paul Schneider

E-mail:
Workplace:Finance Group, Warwick Business School, University of Warwick, (more information at EDIRC)

Access statistics for papers by Paul Schneider.

Last updated 2019-05-13. Update your information in the RePEc Author Service.

Short-id: psc156


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Working Papers

2018

  1. Does it Pay to Be an Optimist?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

2016

  1. Low risk anomalies?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (4)

2015

  1. An Anatomy of the Equity Premium
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Divergence and the Price of Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)

2014

  1. Generalized Risk Premia
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Economics (2015)

2012

  1. Properties of Foreign Exchange Risk Premiums
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (49)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (31)

    See also Journal Article in Journal of Financial Economics (2012)

2011

  1. Density Approximations For Multivariate Affine Jump-Diffusion Processes
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Papers, arXiv.org (2011) Downloads View citations (28)

    See also Journal Article in Journal of Econometrics (2013)

2010

  1. Properties of Foreign Exchange Risk Premia
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2009

  1. Empirical asset pricing with nonlinear risk premia
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Financial Econometrics (2014)

2005

  1. Modelling International Bond Markets with Affine Term Structure Models
    Finance, University Library of Munich, Germany Downloads View citations (9)

Journal Articles

2019

  1. (Almost) Model‐Free Recovery
    Journal of Finance, 2019, 74, (1), 323-370 Downloads
  2. An anatomy of the market return
    Journal of Financial Economics, 2019, 132, (2), 325-350 Downloads View citations (1)

2016

  1. The economic value of predicting bond risk premia
    Journal of Empirical Finance, 2016, 37, (C), 247-267 Downloads View citations (13)

2015

  1. Generalized risk premia
    Journal of Financial Economics, 2015, 116, (3), 487-504 Downloads View citations (10)
    See also Working Paper (2014)

2014

  1. Empirical Asset Pricing with Nonlinear Risk Premia
    Journal of Financial Econometrics, 2014, 12, (3), 479-506 Downloads View citations (2)
    See also Working Paper (2009)

2013

  1. Density approximations for multivariate affine jump-diffusion processes
    Journal of Econometrics, 2013, 176, (2), 93-111 Downloads View citations (34)
    See also Working Paper (2011)
  2. The Skew Risk Premium in the Equity Index Market
    Review of Financial Studies, 2013, 26, (9), 2174-2203 Downloads View citations (45)

2012

  1. Properties of foreign exchange risk premiums
    Journal of Financial Economics, 2012, 105, (2), 279-310 Downloads View citations (39)
    See also Working Paper (2012)

2011

  1. Flexing the default barrier
    Quantitative Finance, 2011, 11, (12), 1729-1743 Downloads

2010

  1. Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions
    Journal of Financial Econometrics, 2010, 8, (4), 450-480 Downloads View citations (13)
  2. The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
    Journal of Financial and Quantitative Analysis, 2010, 45, (6), 1517-1547 Downloads View citations (21)
  3. The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market
    European Financial Management, 2010, 16, (4), 658-685 Downloads View citations (2)

2008

  1. Pricing options with Green's functions when volatility, interest rate and barriers depend on time
    Quantitative Finance, 2008, 8, (2), 119-133 Downloads View citations (4)

2007

  1. Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework
    Multinational Finance Journal, 2007, 11, (3-4), 157-178 Downloads View citations (1)
 
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