Roger J. A. Laeven : Citation Profile

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

16

H index

22

i10 index

940

Citations

RESEARCH PRODUCTION:

41

Articles

51

Papers

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 44
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 57 (5.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2026-01-17    RAS profile: 2025-08-10    
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Relations with other researchers

Works with:

Ikefuji, Masako (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:

Ben Amar, Amine (14)

Righi, Marcelo (13)

Mierzejewski, Fernando (12)

Guillen, Montserrat (10)

Goutte, Stéphane (10)

Siu, Tak Kuen (9)

Vanduffel, Steven (9)

Forbes, Catherine (7)

Dhaene, Jan (7)

Nguyen, Duc Khuong (7)

Neely, Christopher (7)

Cites to:

Dhaene, Jan (39)

Marinacci, Massimo (36)

EECKHOUDT, LOUIS (29)

Gilboa, Itzhak (27)

Maccheroni, Fabio (25)

Chateauneuf, Alain (22)

Rustichini, Aldo (20)

Strzalecki, Tomasz (17)

Epstein, Larry (15)

Kahneman, Daniel (15)

Duffie, Darrell (15)

Main data

Where Roger J. A. Laeven has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics17
Journal of Econometrics5
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org22
Tinbergen Institute Discussion Papers / Tinbergen Institute6

Recent works citing Roger J. A. Laeven (2025 and 2024)

YearTitle of citing document
2024Utility maximization under endogenous pricing. (2024). Nguyen, Thai ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2005.04312.

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2024Retirement decision with addictive habit persistence in a jump diffusion market. (2024). Liang, Zongxia ; Guan, Guohui ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2011.10166.

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2024Monotone additive statistics. (2024). Strack, Philipp ; Mu, Xiaosheng ; Tamuz, Omer ; Pomatto, Luciano. In: Papers. RePEc:arx:papers:2102.00618.

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2024Optimal consumption with loss aversion and reference to past spending maximum. (2024). Li, Xun ; Yu, Xiang ; Zhang, Qinyi. In: Papers. RePEc:arx:papers:2108.02648.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2025Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Volatility of Volatility and Leverage Effect from Options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Uncertainty Propagation and Dynamic Robust Risk Measures. (2024). Pesenti, Silvana ; Moresco, Marlon ; Mailhot, M'Elina. In: Papers. RePEc:arx:papers:2308.12856.

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2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2024Monotonic mean-deviation risk measures. (2024). Han, Xia ; Wang, Ruodu ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2312.01034.

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2025Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing. (2024). Fries, Christian ; Quante, Lennart. In: Papers. RePEc:arx:papers:2312.07614.

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2024Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2024Functional Limit Theorems for Hawkes Processes. (2024). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2401.11495.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2024Cash non-additive risk measures: horizon risk and generalized entropy. (2024). di Nunno, Giulia ; Gianin, Emanuela Rosazza. In: Papers. RePEc:arx:papers:2401.14443.

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2025Partial Law Invariance and Risk Measures. (2024). van Oosten, Zachary ; Shen, YI ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2401.17265.

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2025Set-valued Star-Shaped Risk Measures. (2025). Tian, Dejian ; Jiang, Long ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024A note on continuity and asymptotic consistency of measures of risk and variability. (2024). Gao, Niushan ; Xanthos, Foivos. In: Papers. RePEc:arx:papers:2405.09766.

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2025Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences. (2024). Park, Kyunghyun ; Chen, Kexin ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2406.12305.

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2025Optimal consumption under loss-averse multiplicative habit-formation preferences. (2025). Yu, Xiang ; Yuan, Fengyi ; Angoshtari, Bahman. In: Papers. RePEc:arx:papers:2406.20063.

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2024Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment. (2024). Shen, Yang ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2407.02831.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2025Risk sharing with Lambda value at risk under heterogeneous beliefs. (2024). Wei, Yunran ; Liu, Peng ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2408.03147.

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2024Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach. (2024). Myrvoll, Tor A ; Matsui, Tomoko ; Shevchenko, Pavel V ; Murakami, Daisuke ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2408.09642.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2024Option Pricing with a Compound CARMA(p,q)-Hawkes. (2024). Perchiazzo, Andrea ; Mercuri, Lorenzo ; Rroji, Edit. In: Papers. RePEc:arx:papers:2412.15172.

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2025Prudence and higher-order risk attitudes in the rank-dependent utility model. (2024). Wu, Qinyu ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2412.15350.

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2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

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2025HedgeAgents: A Balanced-aware Multi-agent Financial Trading System. (2025). Li, Xiangyu ; Xing, Xiaofen ; Zeng, Yawen ; Xu, Xiangmin. In: Papers. RePEc:arx:papers:2502.13165.

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2025Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims. (2025). Jang, Jiwook ; Laub, Patrick J ; Zhao, Hongbiao ; Siu, Tak Kuen. In: Papers. RePEc:arx:papers:2502.13325.

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2025Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678.

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2025Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs. (2025). Sidorenko, Artur. In: Papers. RePEc:arx:papers:2505.01876.

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2025An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654.

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2025On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures. (2025). Deo, Anand. In: Papers. RePEc:arx:papers:2506.16230.

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2025When risk defies order: On the limits of fractional stochastic dominance. (2025). Liebrich, Felix-Benedikt ; Laudag, Christian. In: Papers. RePEc:arx:papers:2509.24747.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Estimation of High-dimensional Nonlinear Vector Autoregressive Models. (2025). Han, Yuefeng ; Chen, Likai ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2511.18641.

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2024Pension Funds: The Importance of Corporate Governance. (2024). Benetti, Cristiane ; MacAgnan, Clea Beatriz ; Mangoni, Luiz Alberto ; Vancin, Daniel Francisco. In: Journal of Information Economics. RePEc:bba:j00008:v:2:y:2024:i:2:p:24-45:d:355.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhuang, Zixi ; Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024A gradient method for high-dimensional BSDEs. (2024). Pelsser, Antoon ; Gnameho, Kossi ; Mitja, Stadje. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:30:y:2024:i:2:p:183-203:n:1005.

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2024Multi-kernel property in high-frequency price dynamics under Hawkes model. (2024). Kyungsub, Lee. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:4:p:605-624:n:1003.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Political Economy of Climate Change Adaptation. (2024). van der Ploeg, Frederick (Rick) ; Perotti, Enrico ; van der Straten, Yasmine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10961.

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2024Assessing fluctuations of long-memory environmental variables based on the robustified dynamic Orlicz risk. (2024). Yoshioka, Yumi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077923012389.

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2024Modeling stationary, periodic, and long memory processes by superposed jump-driven processes. (2024). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924009093.

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2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

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2024Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Cui, Wenhao ; Hu, Jie ; Wang, Jiandong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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2024A gentle introduction to matrix calculus. (2024). Magnus, Jan R. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002070.

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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Mind your language: Market responses to central bank speeches. (2025). Neely, Christopher ; Yang, Xiye ; Ahrens, Maximilian ; Erdemlioglu, Deniz ; McMahon, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002720.

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2024A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2025Time-consistent asset allocation for risk measures in a Lévy market. (2025). Stadje, Mitja ; Fiessinger, Felix. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:676-695.

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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2025Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment. (2025). Shen, Yang ; Dominic, Len Patrick. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:693-712.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2024Optimal dividend policy with self-exciting claims in the Gamma–Omega model. (2024). Jin, Zhuo ; Liu, Guo. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011917.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Liang, Zongxia ; Ma, Xingjian ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191.

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2024Probability equivalent level for CoVaR and VaR. (2024). Ortega-Jimenez, Patricia ; Sordo, Miguel A ; Pellerey, Franco ; Suarez-Llorens, Alfonso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35.

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2024A Hawkes model with CARMA(p,q) intensity. (2024). Mercuri, Lorenzo ; Rroji, Edit ; Perchiazzo, Andrea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26.

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2024Random distortion risk measures. (2024). Zang, Xin ; Yang, Jingping ; Jiang, Fan ; Xia, Chenxi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:51-73.

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2024Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

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2024Stochastic orders and distortion risk contribution ratio measures. (2024). Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:104-122.

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2024Are reference measures of law-invariant functionals unique?. (2024). Liebrich, Felix-Benedikt. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:129-141.

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2024Comparing and quantifying tail dependence. (2024). Siburg, Karl Friedrich ; Weiss, Gregor ; Strothmann, Christopher. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:95-103.

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2024Bivariate Tail Conditional Co-Expectation for elliptical distributions. (2024). Palestini, Arsen ; Cerqueti, Roy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:251-260.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2025Pricing insurance contracts with an existing portfolio as background risk. (2025). de Vecchi, Corrado ; Scherer, Matthias. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:180-193.

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2025The principle of a single big jump from the perspective of tail moment risk measure. (2025). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000654.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Tomlinson, Matthew F ; Mucha-Kruczyski, Marcin ; Greenwood, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2024Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules. (2024). Qi, Shuyuan ; Chen, Jian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:163:y:2024:i:c:s0378426624001018.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2025Cutting VAT rate on food products in a high-inflation environment. Does it work out?. (2025). Olipra, Jakub ; Jaworski, Krystian. In: Food Policy. RePEc:eee:jfpoli:v:131:y:2025:i:c:s030691922500020x.

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2025Measuring and testing tail equivalence. (2025). Koike, Takaaki ; Yoshiba, Toshinao ; Kato, Shogo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:209:y:2025:i:c:s0047259x25000557.

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2024Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market. (2024). Shi, Yun ; Li, Yaoming ; Xie, Jinyan ; Gao, Jianjun. In: Omega. RePEc:eee:jomega:v:127:y:2024:i:c:s0305048324000690.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

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2024Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000709.

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2024Financial technology and ESG market: A wavelet-DCC GARCH approach. (2024). Shrestha, Keshab ; Naysary, Babak. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002599.

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2024Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective. (2024). Huang, Zhigang ; Zhang, Weilan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003271.

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2024A mean field game approach to equilibrium consumption under external habit formation. (2024). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001674.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2025Multivariate Hawkes process allowing for common shocks. (2025). Zhang, Zhehao ; Xing, Ruina. In: Statistics & Probability Letters. RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002396.

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2024Mind Your Language: Market Responses to Central Bank Speeches. (2024). Yang, Xiye ; Neely, Christopher ; McMahon, Michael ; Ahrens, Maximilian ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96270.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2025Modelling Insurance Claims During Financial Crises: A Systemic Approach. (2025). Mar, Eben ; Agana, Francis. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:6:p:307-:d:1672343.

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2024Optimal Investment Consumption Choices under Mispricing and Habit Formation. (2024). Sun, Jingyun ; Liu, Botao ; Shi, Ailing. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2248-:d:1438536.

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2024Dynamic Asset Allocation and Retirement Decision with Consumption Ratcheting and Effort Choice. (2024). Jeon, Junkee ; Kim, Geonwoo. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:23:p:3821-:d:1535312.

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2025Risk Measure Examination for Large Losses. (2025). Yamashita, Miwaka. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1974-:d:1679513.

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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]		paper1
2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools In: Papers.
[Full Text][Citation analysis]		paper4
2016Robust optimal risk sharing and risk premia in expanding pools.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2018Dual Moments and Risk Attitudes In: Papers.
[Full Text][Citation analysis]		paper3
2022Dual Moments and Risk Attitudes.(2022) In: Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2017Risk Apportionment: The Dual Story In: Papers.
[Full Text][Citation analysis]		paper7
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]		paper19
2022Systemic risk: Conditional distortion risk measures.(2022) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
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
2022Quasi-Logconvex Measures of Risk In: Papers.
[Full Text][Citation analysis]		paper0
2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation In: Papers.
[Full Text][Citation analysis]		paper1
2024Estimating option pricing models using a characteristic function-based linear state space representation.(2024) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation.(2022) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 1		paper
2023Elicitability of Return Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2023Dynamic Return and Star-Shaped Risk Measures via BSDEs In: Papers.
[Full Text][Citation analysis]		paper4
2023Law-Invariant Return and Star-Shaped Risk Measures In: Papers.
[Full Text][Citation analysis]		paper6
2024Law-invariant return and star-shaped risk measures.(2024) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2024A Rank-Dependent Theory for Decision under Risk and Ambiguity In: Papers.
[Full Text][Citation analysis]		paper0
2024On Geometrically Convex Risk Measures In: Papers.
[Full Text][Citation analysis]		paper1
2025Geometric BSDEs In: Papers.
[Full Text][Citation analysis]		paper0
2024Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty In: Papers.
[Full Text][Citation analysis]		paper1
2025Higher-Order Ambiguity Attitudes In: Papers.
[Full Text][Citation analysis]		paper0
2025Robust Optimization of Rank-Dependent Models with Uncertain Probabilities In: Papers.
[Full Text][Citation analysis]		paper0
2025Measuring Financial Resilience Using Backward Stochastic Differential Equations In: Papers.
[Full Text][Citation analysis]		paper0
2025Generalized Orlicz premia In: Papers.
[Full Text][Citation analysis]		paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article26
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article37
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper5
2020Dependent microstructure noise and integrated volatility estimation from high-frequency data.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2020Consumption and Portfolio Choice under Internal Multiplicative Habit Formation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article4
2011Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model In: ISER Discussion Paper.
[Full Text][Citation analysis]		paper4
2015The probability premium: A graphical representation In: Economics Letters.
[Full Text][Citation analysis]		article3
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]		article62
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2020Expected utility and catastrophic risk in a stochastic economy–climate model In: Journal of Econometrics.
[Full Text][Citation analysis]		article24
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2021Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article46
2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article34
2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2005Some asymptotic results for sums of dependent random variables, with actuarial applications In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article40
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]		article6
2009Worst VaR scenarios with given marginals and measures of association In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article21
2009Worst VaR scenarios: A remark In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
2010A note on additive risk measures in rank-dependent utility In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
2010Decision principles derived from risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article34
2011Worst case risk measurement: Back to the future? In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
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]		article10
2020Dynamic consumption and portfolio choice under prospect theory In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article309
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 309		paper
2020Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level In: Management Science.
[Full Text][Citation analysis]		article21
2013Entropy Coherent and Entropy Convex Measures of Risk In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article14
2014Robust Portfolio Choice and Indifference Valuation In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article31
2018Optimal Stopping Under Uncertainty in Drift and Jump Intensity In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article2
2025Robust Multiple Stopping—A Duality Approach In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article0
2024Robust multiple stopping — A duality approach.(2024) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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]		article36
2022Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article5
2018Earthquake risk embedded in property prices: Evidence from five Japanese cities.(2018) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2024Two-Sample Testing for Tail Copulas with an Application to Equity Indices In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article2
2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices.(2021) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices.(2021) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article2
2005Managing Economic and Virtual Economic Capital Within Financial Conglomerates In: North American Actuarial Journal.
[Full Text][Citation analysis]		article17
2014Expected Utility and Catastrophic Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2023Localizing Strictly Proper Scoring Rules In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2025Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Entropy Coherent and Entropy Convex Measures of Risk In: Discussion Paper.
[Full Text][Citation analysis]		paper8
2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
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 nother 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 nother version. Agregated cites: 0		paper
2024Higher-Order Risk Attitudes for Non-Expected Utility In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2024Higher-Order Risk Attitudes for Non-Expected Utility.(2024) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2010Burr Utility In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2010Burr Utility.(2010) In: Other publications TiSEM.
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This paper has nother 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.
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This paper has nother 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

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