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  • 2021

    Non-Standard Errors

    Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johanneson, M., Kirchler, M., Razen, M., Weitzel, U., Abad, D., Abudy, M. M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J. J., Bach, A. & 321 others, Baidoo, E., Bakalli, G., Barbon, A., Bashchenko, O., Bindra, P. C., Bjonnes, G. H., Black, J. R., Black, B. S., Bohorquez, S., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouri, E., Brownlees, C. T., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W. M. Y., Chincarini, L. B., Chordia, T., Chow, S. C., Clapham, B., Colliard, J-E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., De Blasis, R., De Nard, G., Declerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., Van Dijk, M. A., Dim, C., Dimpfl, T., Dong, Y. J., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A. H., Dzieliński, M., Eksi, A., El Kalak, I., ter Ellen, S., Eugster, N., Evans, M. D. D., Farrell, M., Félez-Viñas, E., Ferrara, G., FERROUHI, E. M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F. A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L. R., Gomez, T., Gorbenko, A., Güçbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J-B., Hautsch, N., He, X-Z. T., Heath, D., Hediger, S., Hendershott, T. J., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., van Kervel, V., Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J. P., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Kwan, A., Lajaunie, Q., Lam, F. Y. E. C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, M. H., Liew, C. Y., Lindner, T., Linton, O. B., Liu, J., Liu, A., Llorente-Alvarez, J-G., Lof, M., Lohr, A., Longstaff, F. A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D. C., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Nordén, L. L., O'Neill, P., Obaid, K., Ødegaard, B. A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual Gascó, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O-A., Prodromou, T., Putnins, T. J., Raizada, G., Rakowski, D. A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Wang, R., Renò, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., RITTMANNSBERGER, T., Rodríguez Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeźnik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K. R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Vaduva, M., Valente, G., Van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., van der Wel, M., Werner, I. M., Westerholm, P. J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W. K., Wrampelmeyer, J., Wu, Z-X., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S., Zhang, S., Zhang, X., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, X., Zoican, M., Zwinkels, R. C. J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D., Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H. C., Yu, Y., Zhao, L., Mi, M. & Bao, L., 24 Nov 2021, In: SSRN Electronic Journal.

    Research output: Contribution to JournalArticleAcademic

  • Price Impact versus Bid-Ask Spreads in the Index Option Market

    Seeger, N. J., 2021, (Accepted/In press) In: Journal of Financial Markets. 100675.

    Research output: Contribution to JournalArticleAcademicpeer-review

  • 2020

    VIX derivatives, hedging and vol-of-vol risk

    Kaeck, A. & Seeger, N. J., 1 Jun 2020, In: European Journal of Operational Research. 283, 2, p. 767-782 16 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

    Open Access
    File
    162 Downloads (Pure)
  • 2019

    Option pricing of earnings announcement risks

    Dubinsky, A., Johannes, M., Kaeck, A. & Seeger, N. J., Feb 2019, In: The Review of Financial Studies. 32, 2, p. 646-687 42 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

    Open Access
    File
    141 Downloads (Pure)
  • 2018

    Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns

    Kaeck, A., Rodrigues, P. & Seeger, N. J., May 2018, In: Journal of Economic Dynamics and Control. 90, p. 1-29 29 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

    Open Access
    File
    198 Downloads (Pure)
  • 2017

    Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates

    Fries, C., Nigbur, T. & Seeger, N. J., 2017, In: Journal of Empirical Finance. 42, p. 175-198 24 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

    Open Access
  • Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models

    Kaeck, A., Rodrigues, P. & Seeger, N. J., Oct 2017, In: Journal of Banking and Finance. 83, p. 85-103 19 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

  • Network, market, and book-based systemic risk rankings

    van de Leur, M. C. W., Lucas, A. & Seeger, N. J., May 2017, In: Journal of Banking and Finance. 78, p. 84-90 7 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

  • 2015

    Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

    Seeger, N. J., Rodrigues, P. J. M. & Ignatieva, K., 2015, In: Journal of Business and Economic Statistics. 33, 1, p. 68-75 24 p.

    Research output: Contribution to JournalArticleAcademicpeer-review

    File
    217 Downloads (Pure)
  • 2012

    Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

    Seeger, N. J., Branger, N., Schlag, C. & Krautheim, E., 2012, In: The Journal of Futures Markets. 32, 5, p. 397-430 34 p.

    Research output: Contribution to JournalArticleAcademicpeer-review