Roger J. A. Laeven : Citation Profile


Are you Roger J. A. Laeven?

Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)

9

H index

8

i10 index

270

Citations

RESEARCH PRODUCTION:

22

Articles

14

Papers

RESEARCH ACTIVITY:

   12 years (2004 - 2016). See details.
   Cites by year: 22
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 21 (7.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2017-11-18    RAS profile: 2017-03-18    
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Relations with other researchers


Works with:

Muris, Chris (3)

EECKHOUDT, LOUIS (3)

Pelizzon, Loriana (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roger J. A. Laeven.

Is cited by:

Guillen, Montserrat (10)

Goovaerts, Marc (7)

Merigó, José M. (6)

Linders, Daniël (6)

Dhaene, Jan (5)

Masih, Abul (5)

Gzyl, Henryk (5)

Mayoral, Silvia (4)

Siu, Tak Kuen (4)

Pagès, Henri (3)

Mierzejewski, Fernando (3)

Cites to:

Goovaerts, Marc (66)

Dhaene, Jan (29)

Schmeidler, David (20)

Chateauneuf, Alain (15)

Gilboa, Itzhak (12)

Cohen, Michèle (9)

Arrow, Kenneth (8)

Weitzman, Martin (8)

Gollier, Christian (8)

Muris, Chris (8)

EECKHOUDT, LOUIS (7)

Main data


Where Roger J. A. Laeven has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics14
Mathematics of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Roger J. A. Laeven (2017 and 2016)


YearTitle of citing document
2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Scotti, Simone ; Jiao, Ying ; Ma, Chunhua . In: Papers. RePEc:arx:papers:1602.05541.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2016). Henkel, Christof . In: Papers. RePEc:arx:papers:1609.05286.

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2016A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:1612.00828.

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2017General Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy . In: Papers. RePEc:arx:papers:1706.07459.

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2017Hybrid marked point processes: characterisation, existence and uniqueness. (2017). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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2017A risk measure that optimally balances capital determination errors. (2017). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1707.09829.

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2017). Pascucci, Andrea ; la Rovere, Stefano ; Borovykh, Anastasia . In: Papers. RePEc:arx:papers:1710.00231.

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2017Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Hurtado-Guarin, Jorge Luis ; Gamba-Santamaria, Santiago . In: Borradores de Economia. RePEc:bdr:borrec:983.

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2016Coherent Pricing. (2016). Balbas, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:22932.

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2016The Moderating Role of Loan Monitoring on the Relationship between Macroeconomic Variables and Non-performing Loans in Association of Southeast Asian Nations Countries. (2016). Idris, Ismail Tijjani ; Nayan, Sabri . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-5.

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2016Structure learning in Bayesian Networks using regular vines. (2016). Haff, Ingrid Hobak ; Lacal, Virginia ; Frigessi, Arnoldo ; Aas, Kjersti . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:101:y:2016:i:c:p:186-208.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2016What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. (2016). Masih, Abul ; Mansur, A ; Dewandaru, Ginanjar . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:981-996.

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2016A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196.

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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Power, Gabriel J ; Vedenov, Dmitry ; Turvey, Calum ; Eaves, James . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2017The Trade-off Between Income Inequality and Carbon Dioxide Emissions. (2017). Martínez-Zarzoso, Inmaculada ; Klasen, Stephan ; Martinez-Zarzoso, Inmaculada ; Grunewald, Nicole ; Muris, Chris. In: Ecological Economics. RePEc:eee:ecolec:v:142:y:2017:i:c:p:249-256.

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2016Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2016Portfolio optimization with disutility-based risk measure. (2016). Fulga, Cristinca . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:2:p:541-553.

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2016On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

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2016Fat-tailed risk about climate change and climate policy. (2016). Tol, Richard ; Hwang, In Chang ; Hofkes, Marjan ; Chang, IN. In: Energy Policy. RePEc:eee:enepol:v:89:y:2016:i:c:p:25-35.

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2016The 2011 European short sale ban: A cure or a curse?. (2016). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:115-131.

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2016Time-consistent actuarial valuations. (2016). Pelsser, Antoon ; Ghalehjooghi, Ahmad Salahnejhad . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:97-112.

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2016A multivariate extension of the increasing convex order to compare risks. (2016). Sordo, Miguel A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:224-230.

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2016Impact of volatility clustering on equity indexed annuities. (2016). Hainaut, Donatien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:367-381.

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2017Characterization of acceptance sets for co-monotone risk measures. (2017). Rieger, Marc Oliver . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:147-152.

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2017Contagion modeling between the financial and insurance markets with time changed processes. (2017). Hainaut, Donatien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:63-77.

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2017The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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2017An analysis of simultaneous company defaults using a shot noise process. (2017). Egami, M ; Kevkhishvili, R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:135-161.

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2017Citizens, consumers and farm animal welfare: A meta-analysis of willingness-to-pay studies. (2017). Clark, Beth ; Frewer, Lynn J ; Kyriazakis, Ilias ; Panzone, Luca A ; Stewart, Gavin B. In: Food Policy. RePEc:eee:jfpoli:v:68:y:2017:i:c:p:112-127.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2016Hawkes-diffusion process and the conditional probability of defaults in the Eurozone. (2016). Park, Yuen Jung ; Ryu, Doojin ; Kim, Jungmu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:301-310.

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2017From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:447-458.

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2016Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations. (2016). Masih, Abul ; Dewandaru, Ginanjar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:363-377.

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2016Contagion effects in selected European capital markets during the financial crisis of 2007–2009. (2016). Burzala, Milda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:556-571.

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2017Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee. In: CAMA Working Papers. RePEc:een:camaaa:2017-23.

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2016Spaces for agreement: a theory of time-stochastic dominance and an application to climate change. (2016). Matei, Nicoleta ; Dietz, Simon . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:64182.

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2016Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

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2016Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730.

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2016Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul. (2016). Guegan, Dominique ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01391103.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Working Papers. RePEc:hal:wpaper:hal-01275397.

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2017Optimal insurance for catastrophic risk: theory and application to nuclear corporate liability. (2017). Picard, Pierre ; Louaas, Alexis . In: Working Papers. RePEc:hal:wpaper:hal-01527478.

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2016Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul. (2016). Hassani, Bertrand K ; Guegan, Dominique . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16066.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-8.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2017Contagion in cyber security attacks. (2017). Baldwin, Adrian ; Williams, Julian ; Pym, David ; Ioannidis, Christos ; Gheyas, Iffat . In: Journal of the Operational Research Society. RePEc:pal:jorsoc:v:68:y:2017:i:7:d:10.1057_jors.2016.37.

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2016International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Solnik, Bruno ; Watewai, Thaisiri . In: PIER Discussion Papers. RePEc:pui:dpaper:31..

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2016Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi . In: ADBI Working Papers. RePEc:ris:adbiwp:0590.

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2016Multiobjective optimization of credit capital allocation in financial institutions. (2016). Pasia, Joseph M ; Mizgier, Kamil J. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:24:y:2016:i:4:d:10.1007_s10100-015-0384-9.

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2017Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. (2017). Kallblad, Sigrid . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0318-y.

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2017Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7.

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2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. (2017). Madan, D ; Stadje, M ; Pistorius, M. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0339-1.

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2016Spaces for Agreement: A Theory of Time-Stochastic Dominance and an Application to Climate Change. (2016). Matei, Nicoleta ; Dietz, Simon . In: Journal of the Association of Environmental and Resource Economists. RePEc:ucp:jaerec:doi:10.1086/683684.

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2017A Hawkes model of the transmission of European sovereign default risk. (2017). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Conference Papers. RePEc:zbw:esconf:168431.

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2016Systemic risk: Time-lags and persistence. (2016). Kubitza, Christian ; Grundl, Helmut. In: ICIR Working Paper Series. RePEc:zbw:icirwp:2016.

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2016How has sovereign bond market liquidity changed? An illiquidity spillover analysis. (2016). Pelizzon, Loriana ; Schneider, Michael ; Lillo, Fabrizio . In: SAFE Working Paper Series. RePEc:zbw:safewp:151.

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Works by Roger J. A. Laeven:


YearTitleTypeCited
2015Risk Aversion in the Small and in the Large under Rank-Dependent Utility In: Papers.
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paper0
2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools In: Papers.
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paper1
2016Robust optimal risk sharing and risk premia in expanding pools.(2016) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 1
article
2016Dual Moments and Risk Attitudes In: Papers.
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paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article16
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
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article21
2011Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model In: ISER Discussion Paper.
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paper2
2015The probability premium: A graphical representation In: Economics Letters.
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article0
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
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article11
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
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This paper has another version. Agregated cites: 11
paper
2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
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article19
2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
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article16
2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2005Some asymptotic results for sums of dependent random variables, with actuarial applications In: Insurance: Mathematics and Economics.
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article6
2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
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article27
2009Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance In: Insurance: Mathematics and Economics.
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article5
2009Worst VaR scenarios with given marginals and measures of association In: Insurance: Mathematics and Economics.
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article8
2009Worst VaR scenarios: A remark In: Insurance: Mathematics and Economics.
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article4
2010A note on additive risk measures in rank-dependent utility In: Insurance: Mathematics and Economics.
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article6
2010Decision principles derived from risk measures In: Insurance: Mathematics and Economics.
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article17
2011Worst case risk measurement: Back to the future? In: Insurance: Mathematics and Economics.
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article3
2012A note on weighted premium calculation principles In: Insurance: Mathematics and Economics.
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article0
2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
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article0
2015Expected utility and catastrophic consumption risk In: Insurance: Mathematics and Economics.
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article3
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
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article84
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 84
paper
2013Entropy Coherent and Entropy Convex Measures of Risk In: Mathematics of Operations Research.
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article1
2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Discussion Paper.
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This paper has another version. Agregated cites: 1
paper
2014Robust Portfolio Choice and Indifference Valuation In: Mathematics of Operations Research.
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article3
2013Pareto utility In: Theory and Decision.
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article6
2014Expected Utility and Catastrophic Risk In: Tinbergen Institute Discussion Papers.
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paper2
2014Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas In: Discussion Paper.
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2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model In: Discussion Paper.
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paper9
2010Scrap Value Functions in Dynamic Decision Problems In: Discussion Paper.
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paper0
2010Burr Utility In: Discussion Paper.
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paper0
2011Liquidity premium in Solvency II In: Other publications TiSEM.
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paper0

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