Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johanesson, M., Kirchler, M., Razen, M., Weitzel, U., Vladimirov, V., Caskurlu, T. and co-authors, O. (2024). Nonstandard Errors The Journal of Finance, :.
Norman Seeger
University
Vrije Universiteit Amsterdam
E-mail
Research field
Finance
Interests
Applied Econometrics, Asset Pricing, Finance, Financial Econometrics, Market Microstructure, Risk Management
Website
Biography
Norman is an Assistant Professor of Finance at the department of finance of the VU Amsterdam. Norman’s primary research interests are the fields of asset pricing, financial econometrics, derivatives, risk management, market micro structure. His research has been published in e.g. Review of Financial Studies, Journal of Business & Economic Statistics, Journal of Economic Dynamics & Control, Journal of Empirical Finance, Journal of Banking and Finance. Norman frequently visits Columbia Business School NYC as research scholar has served as Associate Editor of the Journal of Banking and Finance from 2014-2017.
Key publications
Dubinsky, A., Johannes, M., Kaeck, A. and Seeger, NormanJ. (2019). Option pricing of earnings announcement risks Review of Financial Studies, 32(2):646--687.
Seeger, N., Rodrigues, P. and Ignatieva, K. (2015). Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices Journal of Business and Economic Statistics, 33(1):68--75.
List of publications
Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johanesson, M., Kirchler, M., Razen, M., Weitzel, U., Vladimirov, V., Caskurlu, T. and co-authors, O. (2024). Nonstandard Errors The Journal of Finance, :.
Pollastri, A., Rodrigues, P., Schlag, C. and Seeger, NormanJ. (2023). A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks Journal of Empirical Finance, 70:322--341.
Kaeck, A., van Kervel, V. and Seeger, NormanJ. (2022). Price impact versus bid–ask spreads in the index option market Journal of Financial Markets, 59(Part A):1--22.
Kaeck, A. and Seeger, NormanJ. (2020). VIX derivatives, hedging and vol-of-vol risk European Journal of Operational Research, 283(2):767--782.
Dubinsky, A., Johannes, M., Kaeck, A. and Seeger, NormanJ. (2019). Option pricing of earnings announcement risks Review of Financial Studies, 32(2):646--687.
Kaeck, A., Rodrigues, P. and Seeger, NormanJ. (2018). Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns Journal of Economic Dynamics and Control, 90:1--29.
Fries, C., Nigbur, T. and Seeger, N.J. (2017). Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates Journal of Empirical Finance, 42:175--198.
Kaeck, A., Rodrigues, P. and Seeger, N.J. (2017). Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models Journal of Banking and Finance, 83:85--103.
van de Leur, M.C.W., Lucas, A. and Seeger, NormanJ. (2017). Network, market, and book-based systemic risk rankings Journal of Banking and Finance, 78:84--90.
Seeger, N., Rodrigues, P. and Ignatieva, K. (2015). Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices Journal of Business and Economic Statistics, 33(1):68--75.
Seeger, N., Branger, N., Schlag, C. and Krautheim, E. (2012). Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ... The Journal of Futures Markets, 32(5):397--430.