Leopold Sögner

Department of Economics and Finance, IHS Vienna

and Vienna Graduate School of Finance

Tel.: +43-1-59991 -182

Current Research



OeNB Anniversary Fund projects



Major Fields

Financial Economics, Econometrics, Quantitative Finance.

Academic Degrees

1993: Mag. rer.soc.oec. at Vienna University of Economics and Business Administration
1997: Dr. rer.soc.oec. at Vienna University of Economics and Business Administration
2003: Universitäts-Dozent at Vienna University of Technology


"Asset Pricing Under Asymmetric Information'',  with C. Haefke, Central European Journal of Operations Research, 2000, Vol. 8, 143 - 161.

''Adaptive Erwartungsbildung und Finanzmarktdynamik'', with T. Dangl, E. Dockner, A. Gaunersdorfer, A. Pfister and G. Strobl, Zeitschrift für betriebswirtschaftliche Forschung, 2001, Vol. 53, 339 - 365.

''Okun's Law: Does the Austrian Unemployment - GDP Relationship exhibit Structural Breaks?'', Empirical Economics, 2001, Vol. 26, pp.  553 - 564.

''Consistent Expectations Equilibria and Learning in a Stock Market'',  with J. Mitlöhner, Journal of Economic Dynamics and Control, 2002,Vol. 26/2, 171 - 185.

''An Analysis on the Structural Stability of Okun's Law - A Cross Country Study'',  with A. Stiassny, Applied Economics, 2002, Vol. 14, 1775 - 1787.

''Stochastic Equilibrium: Learning by Exponential Smoothing'', with K. Pötzelberger, Journal of Economic Dynamics and Control, 2003, Vol. 27/10, 1743 - 1770.

''Sample Autocorrelation Learning in a Capital Market Model'', with K. Pötzelberger, Journal of Economic Behavior and Organization, 2004, Vol. 53/2, 215-236.

''The Jarrow/Turnbull default risk model: Evidencefrom the German market'', with M. Frühwirth, European Journal of Finance, 2006, Vol. 12/2, 107-135.

''Economic growth and the incidence of  occupational injuries: a long time analysis among Austrian employees between 1955 and 2004'', with A. Barth, R. Winker, E. Ponocny-Seliger, I. Ponocny, Wiener klinische Wochenschrift, 2007, Vol. 119, 5-6, 158-163.

''Maintenance Cost and the Determination of Usage Tariffs for the Austrian Railroad System'', with G. Munduch, A. Pfister, A. Stiassny, Zeitschrift für Betriebswirtschaft, 2008, Vol. 78/4, 423-438.

''Bayesian Estimation of the Heston Stochastic Volatility Model'', with S. Frühwirth-Schnatter, Communications in Dependability and Quality Management, (CDQM), 4/2008, Vol. 11/4, 5-25.

''Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law'', with S. Frühwirth-Schnatter, Annals of the Institute of Statistical Mathematics, 2009, Vol. 61/1, 159-179.

''The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market'', with M. Frühwirth and P. Schneider, European Financial Management, 2010, Vol. 16/4, 658-685.

''The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk'', with Paul Schneider and Tanja Veza, Journal of Financial and Quantitative Analysis, 2010, Vol. 45, 1517-1547.


''Socioeconomic Factors and Suicide An Analysis of 18 Industrialized Countries for the Years 1983 Through 2007'', with Alfred Barth, Timo Gnambs, Michael Kundi, Andreas Reiner and Robert Winker, Journal of Occupational and Environmental Medicine, 2011,  Vol. 53/3, 313-317.

''Priors and Bayesian Parameter Estimation of Affine Term Structure Models'', Journal of Computational Economics and Econometrics, 2014,

Vol. 4, No. 3/4, 288-319.

''Bayesian Learning, Shutdown and Convergence''. Mathematical Social Sciences, 2015, Vol. 75, 27-43.

''Weather and SAD Related Mood Effects on the Financial Market'', with M. Frühwirth. The Quarterly Review of Economics and Finance, 2015, Vol. 57,  11 - 31.


``A new strategy for Robbins' problem of optimal stopping'', with M. Meier, Journal of Applied Probability, 2017, Vol. 54, 331 - 336.


``An Exploratory Analysis on the Risk to be Offended on the Internet'', with S. Kirchner, Archives of Data Analysis, Series A, 2018, Vol. 3(1), 1 - 26.


``Parameter Estimation and Inference with Spatial Lags and Cointegration'', with J. Mutl, Econometric Reviews, 2019, Vol. 38(6), 597-635. [doi =10.1080/07474938.2017.1382803]


“GMM Estimation of Affine Term Structure Models”, with J. Hlouskova, Econometrics and Statistics, 2020, Vol. 13, pp. 2-15. []


“Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets”, with J. Reynolds and M. Wagner. Central European Journal of Economic Modelling and Econometrics, Vol. 13(2), pp. 105-146. [DOI: 10.24425/cejeme.2021.137358]


''Financial instability and economic activity'', with Ines Fortin and Jaroslava Hlouskova, Empirica, 2023, Vol. 50, pp. 481-521. []


''Hunting for Superstars'', with M. Meier, Mathematics and Financial Economics, forthcoming. []