| Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024 | 149 | 2024 |
| Option pricing of earnings announcement risks A Dubinsky, M Johannes, A Kaeck, NJ Seeger The Review of Financial Studies 32 (2), 646-687, 2019 | 119 | 2019 |
| Network, market, and book-based systemic risk rankings MCW van de Leur, A Lucas, NJ Seeger Journal of Banking & Finance 78, 84-90, 2017 | 41 | 2017 |
| Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices K Ignatieva, P Rodrigues, N Seeger Journal of Business & Economic Statistics 33 (1), 68-75, 2015 | 36 | 2015 |
| Hedging under model misspecification: All risk factors are equal, but some are more equal than others… N Branger, E Krautheim, C Schlag, N Seeger Journal of Futures Markets 32 (5), 397-430, 2012 | 34 | 2012 |
| VIX derivatives, hedging and vol-of-vol risk A Kaeck, NJ Seeger European Journal of operational research 283 (2), 767-782, 2020 | 19 | 2020 |
| Does the institutionalization of derivatives trading spur economic growth? P Rodrigues, C Schwarz, N Seeger Available at SSRN 2014805, 2012 | 18 | 2012 |
| Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates CP Fries, T Nigbur, N Seeger Journal of Empirical Finance 42, 175-198, 2017 | 15 | 2017 |
| Stochastic volatility and jumps: Exponentially affine yes or no? An empirical analysis of S&P500 dynamics K Ignatieva, P Rodrigues, N Seeger An Empirical Analysis of S&P500 Dynamics (March 18, 2009), 2009 | 15 | 2009 |
| Fomc announcement event risk MS Johannes, A Kaeck, N Seeger Available at SSRN 4484011, 2023 | 13 | 2023 |
| Equity index variance: evidence from flexible parametric jump–diffusion models A Kaeck, P Rodrigues, NJ Seeger Journal of Banking & Finance 83, 85-103, 2017 | 13 | 2017 |
| A jumping index of jumping stocks? an mcmc analysis of continuous-time models for individual stocks P Rodrigues, C Schlag An MCMC Analysis of Continuous-Time Models for Individual Stocks (February …, 2009 | 12* | 2009 |
| Price impact versus bid–ask spreads in the index option market A Kaeck, V van Kervel, NJ Seeger Journal of Financial Markets 59, 100675, 2022 | 10 | 2022 |
| Model complexity and out-of-sample performance: Evidence from S&P 500 index returns A Kaeck, P Rodrigues, NJ Seeger Journal of Economic Dynamics and Control 90, 1-29, 2018 | 8 | 2018 |
| Expected 1dte option returns MS Johannes, A Kaeck, N Seeger, N Shah Columbia Business School Research Paper, 2024 | 6 | 2024 |
| Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis was Good for R Frey, P Rodrigues, N Seeger Available at SSRN 2021818, 2013 | 3 | 2013 |
| Informed trading in the index option market A Kaeck, V van Kervel, N Seeger TILEC Discussion Paper, 2017 | 2 | 2017 |
| A study on european football championships in the glmm framework with an emphasis on uefa champions league experience A Groll, J Abedieh New perspectives on stochastic modeling and data analysis, 313-321, 2014 | 2 | 2014 |
| Displaced Historical Simulation is a Solution for Negative-Valued Financial Risk Values: Application to VaR in Times of Negative Government Bond Yields CP Fries, T Nigbur, N Seeger | 1 | 2013 |
| Hedging under Model Mis-Specification: Which Risk Factors Should You Not Forget? N Branger, C Schlag, E Schneider, N Seeger Working Paper, 2008 | 1 | 2008 |
Paulo RodriguesAssistant Professor of Finance, Maastricht UniversityVerified email at maastrichtuniversity.nl
