Norman J. Seeger   -   Research & Data


Price impact versus bid–ask spreads in the index option market, Kaeck, A., van Kervel, V. & Seeger, N. J., Jun 2022, In: Journal of Financial Markets. 59, Part A, p. 1-22 22 p., 100675.

Non-Standard Errors, Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johanneson, M., Kirchler, M., Razen, M., Weitzel, U., Abad, D., Abudy, 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, , 24 Nov 2021, SSRN.

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.

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.

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.

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.

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.

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.

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.

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.