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

9

i10 index

308

Citations

RESEARCH PRODUCTION:

22

Articles

16

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 22
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 21 (6.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2018-06-23    RAS profile: 2018-04-12    
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Relations with other researchers


Works with:

EECKHOUDT, LOUIS (4)

Ait-Sahalia, Yacine (3)

Muris, Chris (3)

Pelizzon, Loriana (2)

Einmahl, John (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)

Masih, Abul (5)

Dhaene, Jan (5)

Gzyl, Henryk (5)

Mayoral, Silvia (4)

Caporin, Massimiliano (4)

Siu, Tak Kuen (4)

Pelizzon, Loriana (4)

Cites to:

Goovaerts, Marc (66)

Dhaene, Jan (34)

Schmeidler, David (22)

Chateauneuf, Alain (17)

EECKHOUDT, LOUIS (13)

Gilboa, Itzhak (12)

Gollier, Christian (11)

Cohen, Michèle (9)

Quiggin, John (8)

Muris, Chris (8)

Arrow, Kenneth (8)

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.org4
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Roger J. A. Laeven (2018 and 2017)


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

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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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2018Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2018). Pascucci, Andrea ; la Rovere, Stefano ; Borovykh, Anastasia . In: Papers. RePEc:arx:papers:1710.00231.

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2017Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy ; Chavez-Casillas, Jonathan ; Elliott, Robert ; Remillard, Bruno. In: Papers. RePEc:arx:papers:1712.03106.

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2017A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas. (2017). Mejdoub, Hanene ; Ben Arab, Mounira . In: Asian Development Policy Review. RePEc:asi:adprev:2017:p:100-119.

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

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Dungey, Mardi ; Veredas, David ; Matei, Marius. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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2017Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. (2017). Ai, Jing ; Wang, Tianyang ; Brockett, Patrick L. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1127-1169.

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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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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). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. 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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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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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Testing for self-excitation in jumps. (2018). Boswijk, Peter H ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266.

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2018Filtered likelihood for point processes. (2018). Giesecke, Kay ; Schwenkler, Gustavo. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:33-53.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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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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2017Model spaces for risk measures. (2017). Liebrich, Felix-Benedikt ; Svindland, Gregor . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:150-165.

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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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2018Distortion measures and homogeneous financial derivatives. (2018). Major, John A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:82-91.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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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). Panzone, Luca ; Frewer, Lynn J ; Kyriazakis, Ilias ; Stewart, Gavin B ; Clark, Beth . 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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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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2018Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence. (2018). Ventura, Marco ; Fenga, Livio ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:436-442.

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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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2017A generalised contagion process with an application to credit risk. (2017). Dassios, Angelos ; Zhao, Hongbiao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68558.

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2017Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685.

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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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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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2018Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve Modeling. (2018). el Karoui, Nicole ; Mrad, Mohamed ; Hillairet, Caroline. In: Working Papers. RePEc:hal:wpaper:hal-01721441.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:667.

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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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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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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick . In: NBER Working Papers. RePEc:nbr:nberwo:24506.

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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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2018Self-exciting jump processes with applications to energy markets. (2018). Eyjolfsson, Heidar ; Tjostheim, Dag. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-016-0591-8.

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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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2017A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK. (2017). Dassios, Angelos ; Zhao, Hongbiao. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500030.

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2017OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY. (2017). Faidi, Wahid ; Mnif, Mohamed ; Matoussi, Anis . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500157.

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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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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
2018Dual Moments and Risk Attitudes In: Papers.
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paper0
2017Risk Apportionment: The Dual Story 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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article22
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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article19
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
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This paper has another version. Agregated cites: 19
paper
2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
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article22
2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
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article17
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: 17
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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article28
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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article10
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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article19
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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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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article100
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
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2013Entropy Coherent and Entropy Convex Measures of Risk In: Mathematics of Operations Research.
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article3
2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Discussion Paper.
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This paper has another version. Agregated cites: 3
paper
2014Robust Portfolio Choice and Indifference Valuation In: Mathematics of Operations Research.
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article4
2013Pareto utility In: Theory and Decision.
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article7
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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2010Burr Utility In: Discussion Paper.
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2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas In: Discussion Paper.
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2011Liquidity premium in Solvency II In: Other publications TiSEM.
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