A parsimonious parametric model for generating margin requirements for futures
Alexander, Carol, Kaeck, Andreas, Sumawong, Anannit
Published in European journal of operational research (16.02.2019)
Published in European journal of operational research (16.02.2019)
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Journal Article
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
Kaeck, Andreas, Alexander, Carol
Published in International review of financial analysis (01.06.2013)
Published in International review of financial analysis (01.06.2013)
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Journal Article
VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas, Seeger, Norman J.
Published in European journal of operational research (01.06.2020)
Published in European journal of operational research (01.06.2020)
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Journal Article
Equity index variance: Evidence from flexible parametric jump–diffusion models
Kaeck, Andreas, Rodrigues, Paulo, Seeger, Norman J.
Published in Journal of banking & finance (01.10.2017)
Published in Journal of banking & finance (01.10.2017)
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Journal Article
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Kaeck, Andreas, Rodrigues, Paulo, Seeger, Norman J.
Published in Journal of economic dynamics & control (01.05.2018)
Published in Journal of economic dynamics & control (01.05.2018)
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Journal Article
Price impact versus bid–ask spreads in the index option market
Kaeck, Andreas, van Kervel, Vincent, Seeger, Norman J.
Published in Journal of financial markets (Amsterdam, Netherlands) (01.06.2022)
Published in Journal of financial markets (Amsterdam, Netherlands) (01.06.2022)
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Journal Article
Model risk adjusted hedge ratios
Alexander, Carol, Kaeck, Andreas, Nogueira, Leonardo M.
Published in The journal of futures markets (01.11.2009)
Published in The journal of futures markets (01.11.2009)
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Journal Article
The Role of Binance in Bitcoin Volatility Transmission
Alexander, Carol, Heck, Daniel, Kaeck, Andreas
Published in IDEAS Working Paper Series from RePEc (01.01.2021)
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Published in IDEAS Working Paper Series from RePEc (01.01.2021)
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