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)

13

H index

14

i10 index

584

Citations

RESEARCH PRODUCTION:

33

Articles

32

Papers

RESEARCH ACTIVITY:

   17 years (2004 - 2021). See details.
   Cites by year: 34
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 107.    Total self citations: 37 (5.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2021-11-28    RAS profile: 2021-08-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Einmahl, John (4)

Magnus, Jan (2)

EECKHOUDT, LOUIS (2)

Yang, Xiye (2)

Ikefuji, Masako (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 (9)

Dhaene, Jan (7)

Linders, Daniël (6)

Merigó, José M. (6)

Comerford, David (5)

Masih, Abul (5)

Nguyen, Duc Khuong (5)

Gzyl, Henryk (5)

Swanson, Norman (5)

Kalnina, Ilze (5)

Cites to:

Goovaerts, Marc (73)

Dhaene, Jan (35)

Schmeidler, David (30)

EECKHOUDT, LOUIS (19)

Gilboa, Itzhak (18)

Chateauneuf, Alain (17)

Marinacci, Massimo (15)

merton, robert (15)

Ait-Sahalia, Yacine (14)

Magnus, Jan (12)

Quiggin, John (12)

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 Research3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9
Tinbergen Institute Discussion Papers / Tinbergen Institute3

Recent works citing Roger J. A. Laeven (2021 and 2020)


YearTitle of citing document
2021CDS Pricing with Fractional Hawkes Processes. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021018.

Full description at Econpapers || Download paper

2020Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

Full description at Econpapers || Download paper

2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

Full description at Econpapers || Download paper

2020Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. (2020). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2004.11686.

Full description at Econpapers || Download paper

2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

Full description at Econpapers || Download paper

2020Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing. (2020). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:2005.04312.

Full description at Econpapers || Download paper

2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

Full description at Econpapers || Download paper

2020A Bivariate Compound Dynamic Contagion Process for Cyber Insurance. (2020). Jang, Jiwook ; Oh, Rosy. In: Papers. RePEc:arx:papers:2007.04758.

Full description at Econpapers || Download paper

2021Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257.

Full description at Econpapers || Download paper

2020Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. (2020). Donnelly, Catherine ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.16009.

Full description at Econpapers || Download paper

2020Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

Full description at Econpapers || Download paper

2021Monotone additive statistics. (2021). Strack, Philipp ; Mu, Xiaosheng ; Tamuz, Omer ; Pomatto, Luciano. In: Papers. RePEc:arx:papers:2102.00618.

Full description at Econpapers || Download paper

2021Optimal Retirement Time and Consumption with the Variation in Habitual Persistence. (2021). Ye, QI ; Song, Yilun ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2103.16800.

Full description at Econpapers || Download paper

2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

Full description at Econpapers || Download paper

2021Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

Full description at Econpapers || Download paper

2021Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417.

Full description at Econpapers || Download paper

2021Understanding jumps in high frequency digital asset markets. (2021). Sizov, Sergej ; Nagy, Odett ; Saef, Danial ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2110.09429.

Full description at Econpapers || Download paper

2020A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114.

Full description at Econpapers || Download paper

2021Testing the Dismal Theorem. (2021). Tol, Richard ; Anthoff, David. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8939.

Full description at Econpapers || Download paper

2020On linear combination of generalized logistic random variables with an application to financial returns. (2020). Genc, Murat ; Mijanovi, Andjela ; Popovi, Boidar V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:381:y:2020:i:c:s0096300320302800.

Full description at Econpapers || Download paper

2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

Full description at Econpapers || Download paper

2021Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

Full description at Econpapers || Download paper

2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

Full description at Econpapers || Download paper

2021Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114.

Full description at Econpapers || Download paper

2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

Full description at Econpapers || Download paper

2020The dynamic factor network model with an application to international trade. (2020). Koopman, Siem Jan ; Brauning, Falk. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:494-515.

Full description at Econpapers || Download paper

2020High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Entropy based risk measures. (2020). Schlotter, Ruben ; Pichler, Alois. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:223-236.

Full description at Econpapers || Download paper

2021Household Lifetime Strategies under a Self-Contagious Market. (2021). Jin, Zhuo ; Liu, Guo. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:935-952.

Full description at Econpapers || Download paper

2020Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits. (2020). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:52-70.

Full description at Econpapers || Download paper

2021Exogenous factors for order arrivals on the intraday electricity market. (2021). Kiesel, Rudiger ; Kramer, Anke. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000918.

Full description at Econpapers || Download paper

2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

Full description at Econpapers || Download paper

2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

Full description at Econpapers || Download paper

2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

Full description at Econpapers || Download paper

2021Infinitely stochastic micro reserving. (2021). Peta, Michal ; Okhrin, Ostap ; MacIak, Matu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:30-58.

Full description at Econpapers || Download paper

2021Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349.

Full description at Econpapers || Download paper

2021Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Yang, Jingni ; Wakker, Peter P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435.

Full description at Econpapers || Download paper

2020Copula-based Markov process. (2020). Fang, Jun ; Yang, Jingping ; Liu, Yong ; Jiang, Fan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:166-187.

Full description at Econpapers || Download paper

2020On the increasing convex order of generalized aggregation of dependent random variables. (2020). Cheung, Ka Chun ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69.

Full description at Econpapers || Download paper

2020Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

Full description at Econpapers || Download paper

2020Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261.

Full description at Econpapers || Download paper

2020The participation puzzle with reference-dependent expected utility preferences. (2020). Neilson, William ; Liu, Liqun ; Wang, Jianli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:278-287.

Full description at Econpapers || Download paper

2020On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory. (2020). Chudziak, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:154-159.

Full description at Econpapers || Download paper

2020Range Value-at-Risk bounds for unimodal distributions under partial information. (2020). Vanduffel, Steven ; Kazzi, Rodrigue ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24.

Full description at Econpapers || Download paper

2020On a family of coherent measures of variability. (2020). Chen, Ouxiang ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182.

Full description at Econpapers || Download paper

2020On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211.

Full description at Econpapers || Download paper

2021Stochastic orders and multivariate measures of risk contagion. (2021). Suarez-Llorens, A ; Sordo, M A ; Ortega-Jimenez, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:199-207.

Full description at Econpapers || Download paper

2021Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247.

Full description at Econpapers || Download paper

2021Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291.

Full description at Econpapers || Download paper

2021Economic Neutral Position: How to best replicate not fully replicable liabilities?. (2021). Popp, Markus ; Kunz, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:53-67.

Full description at Econpapers || Download paper

2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

Full description at Econpapers || Download paper

2021Tests for Laplace order dominance with applications to insurance data. (2021). Mitra, Murari ; Khan, Ruhul Ali ; Bhattacharyya, Dhrubasish. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:163-173.

Full description at Econpapers || Download paper

2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

Full description at Econpapers || Download paper

2020How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims. (2020). Madadi, Mohsen ; Rezapour, Mohsen ; Tata, Mahbanoo ; Ariyafar, Saeed. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19304841.

Full description at Econpapers || Download paper

2021Short-term physician rescheduling model with feature-driven demand for mental disorders outpatients. (2021). Xu, Liang ; Zhang, Hui ; Wang, Fan. In: Omega. RePEc:eee:jomega:v:105:y:2021:i:c:s0305048321001286.

Full description at Econpapers || Download paper

2020Does foreign portfolio investment strengthen stock-commodity markets connection?. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719303617.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021New Ways of Modeling Loan-to-Income Distributions and their Evolution in Time - A Probability Copula Approach. (2021). Temnov, Grigory ; Gerth, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:217-236.

Full description at Econpapers || Download paper

2021Tax evasion, audits with memory, and portfolio choice. (2021). Xiao, Weilin ; Jiang, Hao ; Ma, Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:896-909.

Full description at Econpapers || Download paper

2021A two-phase dynamic contagion model for Covid-19. (2020). Zhao, Hongbiao ; Surya, Budhi ; Qu, Yan ; Lim, Jia Wei ; Kuan, Valerie ; Dassios, Angelos ; Chen, Zezhun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105064.

Full description at Econpapers || Download paper

2021Optimal Climate Policy with Fat-tailed Uncertainty: What the Models Can Tell Us. (2021). Krishnamurthy, Chandra Kiran ; de Bruin, Kelly. In: Papers. RePEc:esr:wpaper:wp697.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Optimal insurance coverage of low-probability catastrophic risks. (2020). Picard, Pierre ; Louaas, Alexis. In: Working Papers. RePEc:hal:wpaper:hal-02875534.

Full description at Econpapers || Download paper

2021Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699.

Full description at Econpapers || Download paper

2020Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Working Papers. RePEc:ipg:wpaper:2020-006.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Two price economic equilibria and financial market bid/ask prices. (2021). Siu, Tak Kuen ; Madan, Dilip B ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00377-x.

Full description at Econpapers || Download paper

2020Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate. (2020). Ma, Chaoqun ; Wu, Hui ; Yue, Shengjie. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09929-4.

Full description at Econpapers || Download paper

2020The Benefit-Cost Ratio as a Decision Criteria When Managing Catastrophes. (2020). Aurland-Bredesen, Kine Josefine. In: Environmental & Resource Economics. RePEc:kap:enreec:v:77:y:2020:i:2:d:10.1007_s10640-020-00498-x.

Full description at Econpapers || Download paper

2020Volatility and asymmetric dependence in Central and East European stock markets. (2020). Vo, Thi Thuy Anh ; Mollah, Sabur ; Mobarek, Asma ; Joseph, Nathan Lael. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00874-0.

Full description at Econpapers || Download paper

2021Bootstrap inference for Hawkes and general point processes. (2021). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Discussion Papers. RePEc:kud:kuiedp:2105.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Optimal insurance coverage of low-probability catastrophic risks. (2021). Picard, Pierre ; Louaas, Alexis. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:46:y:2021:i:1:d:10.1057_s10713-020-00049-w.

Full description at Econpapers || Download paper

2020Modeling aggressive market order placements with Hawkes factor models. (2020). Zhou, Wei-Xing ; Xu, Hai-Chuan. In: PLOS ONE. RePEc:plo:pone00:0226667.

Full description at Econpapers || Download paper

2020A Multivariate GARCH-Jump Mixture Model. (2020). Maheu, John ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:104770.

Full description at Econpapers || Download paper

2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

Full description at Econpapers || Download paper

2020The distortion principle for insurance pricing: properties, identification and robustness. (2020). Escobar, Debora Daniela ; Ch, Georg. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-018-3119-1.

Full description at Econpapers || Download paper

2021Capital allocation and RORAC optimization under solvency 2 standard formula. (2021). Granito, Ivan ; Angelis, Paolo ; Baione, Fabio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03543-6.

Full description at Econpapers || Download paper

2021Comparative risk apportionment. (2021). Neilson, William S ; Liu, Liqun ; Jindapon, Paan. In: Economic Theory Bulletin. RePEc:spr:etbull:v:9:y:2021:i:1:d:10.1007_s40505-021-00200-4.

Full description at Econpapers || Download paper

2021Modelling of Limit Order Books by General Compound Hawkes Processes with Implementations. (2021). Swishchuk, Anatoliy. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-020-09803-z.

Full description at Econpapers || Download paper

2020Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process. (2020). Dion, Charlotte ; Lemler, Sarah . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09213-5.

Full description at Econpapers || Download paper

2020Testing the Dismal Theorem. (2020). Tol, Richard ; Anthoff, David. In: Working Paper Series. RePEc:sus:susewp:1920.

Full description at Econpapers || Download paper

2021Nonparametric Inference of Jump Autocorrelation. (2020). Kwok, Simon. In: Working Papers. RePEc:syd:wpaper:2020-09.

Full description at Econpapers || Download paper

2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, J ; Rahbek, Anders ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2021-05.

Full description at Econpapers || Download paper

2020Warnings about future jumps: properties of the exponential Hawkes model. (2020). Mancini, Cecilia ; Lilla, Francesca ; Foschi, Rachele . In: Working Papers. RePEc:ver:wpaper:13/2020.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Roger J. A. Laeven:


YearTitleTypeCited
2015Risk Aversion in the Small and in the Large under Rank-Dependent Utility In: Papers.
[Full Text][Citation analysis]
paper0
2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools In: Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper1
2017Risk Apportionment: The Dual Story In: Papers.
[Full Text][Citation analysis]
paper3
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]
paper2
2021Robust Multiple Stopping -- A Pathwise Duality Approach In: Papers.
[Full Text][Citation analysis]
paper0
2021Probability Premium and Attitude Towards Probability In: Papers.
[Full Text][Citation analysis]
paper0
2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes In: Papers.
[Full Text][Citation analysis]
paper0
2021Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures In: Papers.
[Full Text][Citation analysis]
paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article20
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article27
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2020Dependent microstructure noise and integrated volatility estimation from high-frequency data.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2020Consumption and Portfolio Choice under Internal Multiplicative Habit Formation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article0
2011Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model In: ISER Discussion Paper.
[Full Text][Citation analysis]
paper3
2015The probability premium: A graphical representation In: Economics Letters.
[Full Text][Citation analysis]
article2
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]
article41
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2020Expected utility and catastrophic risk in a stochastic economy–climate model In: Journal of Econometrics.
[Full Text][Citation analysis]
article16
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2021Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures In: European Journal of Operational Research.
[Full Text][Citation analysis]
article0
2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article39
2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article27
2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2005Some asymptotic results for sums of dependent random variables, with actuarial applications In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article9
2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article36
2009Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article5
2009Worst VaR scenarios with given marginals and measures of association In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article17
2009Worst VaR scenarios: A remark In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article7
2010A note on additive risk measures in rank-dependent utility In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article9
2010Decision principles derived from risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article26
2011Worst case risk measurement: Back to the future? In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article10
2012A note on weighted premium calculation principles In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2015Expected utility and catastrophic consumption risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article7
2020Dynamic consumption and portfolio choice under prospect theory In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article3
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]
article201
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 201
paper
2020Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level In: Management Science.
[Full Text][Citation analysis]
article3
2013Entropy Coherent and Entropy Convex Measures of Risk In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article14
2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2014Robust Portfolio Choice and Indifference Valuation In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article18
2018Optimal Stopping Under Uncertainty in Drift and Jump Intensity In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article0
2013Pareto utility In: Theory and Decision.
[Full Text][Citation analysis]
article8
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article18
2005Managing Economic and Virtual Economic Capital Within Financial Conglomerates In: North American Actuarial Journal.
[Full Text][Citation analysis]
article3
2014Expected Utility and Catastrophic Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper3
2018Earthquake risk embedded in property prices: Evidence from five Japanese cities In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2014Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2014Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas.(2014) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices.(2021) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Scrap Value Functions in Dynamic Decision Problems In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2010Scrap Value Functions in Dynamic Decision Problems.(2010) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Burr Utility In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2010Burr Utility.(2010) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas.(2017) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Goodness-of-fit testing for copulas: A distribution-free approach In: Other publications TiSEM.
[Full Text][Citation analysis]
paper0
2011Liquidity premium in Solvency II In: Other publications TiSEM.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team