Details about Paul Schneider

Access statistics for papers by Paul Schneider.

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

Short-id: psc156

Working Papers

2018

1. Does it Pay to Be an Optimist?
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2016

2. Low risk anomalies?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (9)

2015

3. An Anatomy of the Equity Premium
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
4. Divergence and the Price of Uncertainty
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

2014

5. Generalized Risk Premia
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article Generalized risk premia, Journal of Financial Economics, Elsevier (2015) View citations (15) (2015)

2012

6. Properties of Foreign Exchange Risk Premiums
   Working Paper series, Rimini Centre for Economic Analysis View citations (74)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (37)
   See also Journal Article Properties of foreign exchange risk premiums, Journal of Financial Economics, Elsevier (2012) View citations (68) (2012)

2011

7. Density Approximations For Multivariate Affine Jump-Diffusion Processes
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
   Also in Papers, arXiv.org (2011) View citations (33)
   See also Journal Article Density approximations for multivariate affine jump-diffusion processes, Journal of Econometrics, Elsevier (2013) View citations (56) (2013)

2010

8. Properties of Foreign Exchange Risk Premia
   MPRA Paper, University Library of Munich, Germany View citations (5)

2009

9. Empirical asset pricing with nonlinear risk premia
   Papers, arXiv.org
   See also Journal Article Empirical Asset Pricing with Nonlinear Risk Premia, Journal of Financial Econometrics, Oxford University Press (2014) View citations (3) (2014)

2005

10. Modelling International Bond Markets with Affine Term Structure Models
    Finance, University Library of Munich, Germany View citations (10)

Journal Articles

2019

1. (Almost) Model‐Free Recovery
   Journal of Finance, 2019, 74, (1), 323-370 View citations (8)
2. An anatomy of the market return
   Journal of Financial Economics, 2019, 132, (2), 325-350 View citations (8)

2016

3. The economic value of predicting bond risk premia
   Journal of Empirical Finance, 2016, 37, (C), 247-267 View citations (31)

2015

4. Generalized risk premia
   Journal of Financial Economics, 2015, 116, (3), 487-504 View citations (15)
   See also Working Paper Generalized Risk Premia, Swiss Finance Institute Research Paper Series (2014) View citations (1) (2014)

2014

5. Empirical Asset Pricing with Nonlinear Risk Premia
   Journal of Financial Econometrics, 2014, 12, (3), 479-506 View citations (3)
   See also Working Paper Empirical asset pricing with nonlinear risk premia, Papers (2009) (2009)

2013

6. Density approximations for multivariate affine jump-diffusion processes
   Journal of Econometrics, 2013, 176, (2), 93-111 View citations (56)
   See also Working Paper Density Approximations For Multivariate Affine Jump-Diffusion Processes, Swiss Finance Institute Research Paper Series (2011) View citations (2) (2011)
7. The Skew Risk Premium in the Equity Index Market
   The Review of Financial Studies, 2013, 26, (9), 2174-2203 View citations (102)

2012

8. Properties of foreign exchange risk premiums
   Journal of Financial Economics, 2012, 105, (2), 279-310 View citations (68)
   See also Working Paper Properties of Foreign Exchange Risk Premiums, Working Paper series (2012) View citations (74) (2012)

2011

9. Flexing the default barrier
   Quantitative Finance, 2011, 11, (12), 1729-1743 View citations (3)

2010

10. Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions
    Journal of Financial Econometrics, 2010, 8, (4), 450-480 View citations (13)
11. 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 View citations (28)
12. The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market
    European Financial Management, 2010, 16, (4), 658-685 View citations (4)

2008

13. Pricing options with Green's functions when volatility, interest rate and barriers depend on time
    Quantitative Finance, 2008, 8, (2), 119-133 View citations (6)

2007

14. Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework
    Multinational Finance Journal, 2007, 11, (3-4), 157-178 View citations (2)