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)

11

H index

11

i10 index

449

Citations

RESEARCH PRODUCTION:

29

Articles

20

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 28
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 28 (5.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2020-05-16    RAS profile: 2020-04-16    
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Relations with other researchers


Works with:

EECKHOUDT, LOUIS (4)

Ait-Sahalia, Yacine (2)

Yang, Xiye (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 (8)

Linders, Daniël (6)

Dhaene, Jan (6)

Merigó, José M. (6)

Swanson, Norman (5)

Kalnina, Ilze (5)

Gzyl, Henryk (5)

Masih, Abul (5)

AROURI, Mohamed (4)

Caporin, Massimiliano (4)

Cites to:

Goovaerts, Marc (75)

Dhaene, Jan (37)

Schmeidler, David (26)

Chateauneuf, Alain (25)

EECKHOUDT, LOUIS (14)

Ait-Sahalia, Yacine (11)

Quiggin, John (9)

Marinacci, Massimo (9)

Cohen, Michèle (9)

Nordhaus, William (8)

Weitzman, Martin (8)

Main data


Where Roger J. A. Laeven has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics15
Journal of Econometrics4
Mathematics of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
Tinbergen Institute Discussion Papers / Tinbergen Institute3

Recent works citing Roger J. A. Laeven (2020 and 2019)


YearTitle of citing document
2019A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:1612.00828.

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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2020Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645.

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2019Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2020Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:1904.13257.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2019Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying. In: Papers. RePEc:arx:papers:1912.06426.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2018Higher order risk attitudes and prevention under different timings of loss. (2018). Masuda, Takehito ; Lee, Eungik. In: ISER Discussion Paper. RePEc:dpr:wpaper:1034.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2019Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?. (2019). Racicot, François-Éric ; Mesly, Olivier ; Chkir, Imed. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:11-31.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2019Dynamic portfolio allocation with time-varying jump risk. (2019). Wang, Yudong ; Wu, Chongfeng ; Zhou, Chunyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

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2019How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures. (2019). Wu, Xin ; Huang, Wenli ; Wang, Qiyu ; Zhang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244.

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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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2018The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179.

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2019Budget-constrained optimal insurance without the nonnegativity constraint on indemnities. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:22-39.

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2019An optimization approach to adaptive multi-dimensional capital management. (2019). Delsing, G A ; Winands, E. M. M., ; Spreij, P. J. C., ; Mandjes, M. R. H., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:87-97.

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2019Optimal initial capital induced by the optimized certainty equivalent. (2019). Nishide, Katsumasa ; Asano, Takao ; Arai, Takuji. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125.

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2019Dynamic capital allocation with irreversible investments. (2019). Zanjani, George ; Ping, Xiaohu ; Kamiya, Shinichi ; Bauer, Daniel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:138-152.

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2019Mean-risk portfolio management with bankruptcy prohibition. (2019). Zeng, J ; Yam, S. C. P., ; Wong, K C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:153-172.

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2019Analysis of risk bounds in partially specified additive factor models. (2019). Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:115-121.

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2019Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions. (2019). Kim, So-Yeun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:145-157.

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2019On a family of risk measures based on proportional hazards models and tail probabilities. (2019). Sordo, Miguel A ; Psarrakos, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:232-240.

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2019Dynamic risk measures for processes via backward stochastic differential equations. (2019). Wang, Shijie ; Shi, Xuejun ; Ji, Ronglin ; Zhou, Jinming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:43-50.

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2019Risk-adjusted Bowley reinsurance under distorted probabilities. (2019). Zhang, Yiying ; Phillip, Sheung Chi ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:64-72.

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2019On a family of risk measures based on largest claims. (2019). Sordo, M A ; Pigueiras, G ; Castao-Martinez, A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:92-97.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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2019Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142.

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2019Optimal robust insurance with a finite uncertainty set. (2019). Hu, Junlei ; Asimit, Alexandru V ; Xie, Yuantao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:67-81.

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2019Stochastic ordering of Gini indexes for multivariate elliptical risks. (2019). Kim, Jeongsim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:151-158.

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2019Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion. (2019). Zeng, Yan ; Shen, Yang ; Zhao, Hui ; Zhang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:159-180.

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2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory. (2019). Barigou, Karim ; Dhaene, Jan ; Delong, Ukasz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:196-208.

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2019Optimal XL-insurance under Wasserstein-type ambiguity. (2019). Ch, Georg ; Birghila, Corina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:30-43.

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2019Budget-constrained optimal insurance with belief heterogeneity. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:79-91.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019Expected shortfall and portfolio management in contagious markets. (2019). nicolosi, marco ; Kokholm, Thomas ; Buccioli, Alice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:100-115.

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2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

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2019Financial contagion and economic development: An epidemiological approach. (2019). Bucci, Alberto ; Marsiglio, Simone ; Liuzzi, Danilo ; la Torre, Davide. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:211-228.

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2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

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2019Do idiosyncratic jumps matter?. (2019). Zekhnini, Morad ; Kapadia, Nishad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:666-692.

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2019I shouldn’t eat this donut: Self-control, body weight, and health in a life cycle model. (2019). Strulik, Holger. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:14:y:2019:i:c:s2212828x18300707.

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2019Aristotle vs. Ringelmann: On superlinear production in open source software. (2019). Sornette, Didier ; Maillart, Thomas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:964-972.

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2019A jump model for credit default swaps with hierarchical clustering. (2019). Zeitsch, Peter J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:737-775.

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2020Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Xu, Weidong ; Shrestha, Keshab ; Pan, Dongtao ; Ma, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315110.

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2020Investment and financing for SMEs with bank-tax interaction and public-private partnerships. (2020). Chen, Biao ; Song, Dandan ; Luo, Pengfei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:163-172.

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2019Change-point inference on volatility in noisy Itô semimartingales. (2019). Madensoy, Mehmet ; Bibinger, Markus. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:12:p:4878-4925.

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2019Estimation of the stochastic leverage effect using the Fourier transform method. (2019). Curato, Imma Valentina. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3207-3238.

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2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

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2020A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. (2019). Zhao, Hongbiao ; Jang, Jiwook ; Dassios, Angelos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102043.

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2019US Equity Tail Risk and Currency Risk Premia. (2019). Xiao, Xiao ; Londono, Juan M ; Fan, Zhenzhen. In: International Finance Discussion Papers. RePEc:fip:fedgif:1253.

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2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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2019A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance. (2019). Zhao, Hongbiao ; Jang, Jiwook ; Dassios, Angelos. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:103-:d:276169.

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2020General Compound Hawkes Processes in Limit Order Books. (2020). Huffman, Aiden ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:28-:d:332592.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2019Optimal nuclear liability insurance. (2019). Picard, Pierre ; Louaas, Alexis. In: Working Papers. RePEc:hal:wpaper:hal-01996648.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2020Asian options pricing in Hawkes-type jump-diffusion models. (2020). Sgarra, Carlo ; Brignone, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1.

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2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

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2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

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2019Time-consistency of risk measures: how strong is such a property?. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Mastrogiacomo, Elisa . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00233-2.

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2019Behavioral premium principles. (2019). Pianca, Paolo ; Nardon, Martina . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00246-x.

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2019Reliability analysis of load-sharing systems with memory. (2019). Wang, Dewei ; Park, Chanseok ; Jiang, Chendi. In: Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data. RePEc:spr:lifeda:v:25:y:2019:i:2:d:10.1007_s10985-018-9425-8.

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2019The effect of possible EU diversification requirements on the risk of banks sovereign bond portfolios. (2019). Paterlini, Sandra ; Giuzio, Margherita ; Craig, Ben. In: ESRB Working Paper Series. RePEc:srk:srkwps:201989.

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2019Insurance premium calculation under continuous cumulative prospect theory. (2019). Nardon, Martina ; Pianca, Paolo. In: Working Papers. RePEc:ven:wpaper:2019:03.

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2019Pricing variance swaps under the Hawkes jump‐diffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655.

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2020Pricing VIX options with volatility clustering. (2020). Ma, Yong ; Li, Shenghong ; Jing, BO. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:928-944.

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2019Quantifying the transmission of European sovereign default risk. (2019). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Preprints. RePEc:zbw:esprep:193632.

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2019Equilibrium asset pricing in networks with mutually exciting jumps. (2014). Schlag, Christian ; Konermann, Patrick ; Branger, Nicole ; Meinerding, Christoph. In: SAFE Working Paper Series. RePEc:zbw:safewp:74.

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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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paper3
2016Robust optimal risk sharing and risk premia in expanding pools.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2018Dual Moments and Risk Attitudes In: Papers.
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paper1
2017Risk Apportionment: The Dual Story In: Papers.
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paper2
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
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This paper has another version. Agregated cites: 2
article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
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paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article19
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
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article24
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
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paper0
2020Dependent microstructure noise and integrated volatility estimation from high-frequency data.(2020) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 0
article
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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article33
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
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article1
2020Expected utility and catastrophic risk in a stochastic economy–climate model In: Journal of Econometrics.
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article9
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Discussion Paper.
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This paper has another version. Agregated cites: 9
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2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
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article32
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