Dubinsky, A., Johannes, M., Kaeck, A. and Seeger, NormanJ. (2019). Option pricing of earnings announcement risks Review of Financial Studies, 32(2):646--687.
101 Key Publications
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Hagströmer, B. and Menkveld, AlbertJ. (2019). Information Revelation in Decentralized Markets The Journal of Finance, 74(6):2751--2787. -
Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555. -
Van Kervel, V. and Menkveld, AlbertJ. (2019). High-Frequency Trading around Large Institutional Orders The Journal of Finance, 74(3):1091--1137. -
Baltussen, G., van Bekkum, S. and Da, Z. (2019). Indexing and Stock Market Serial Dependence Around the World Journal of Financial Economics, 132(1):26--48. -
Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266. -
Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985. -
Kirchler, M., Lindner, F. and Weitzel, U. (2018). Rankings and Risk-Taking in the Finance Industry The Journal of Finance, 73(5):2271--2302. -
Leung, E. and Veenman, D. (2018). Non-GAAP Earnings Disclosure in Loss Firms Journal of Accounting Research, 56(4):1083--1137. -
Adams, R, Akyol, A and Verwijmeren, P. (2018). Director skill sets Journal of Financial Economics, 130(3):641--662. -
Malmendier, U., Moretti, E. and Peters, F. (2018). Winning by Losing: Evidence on the Long-Run Effects of Mergers Review of Financial Studies, 31(8):3212–3264. -
Grundy, B. and Verwijmeren, P. (2018). The buyers’ perspective on security design: Hedge funds and convertible bond call provisions Journal of Financial Economics, 127(1):77--93. -
Janus, P., Lucas, A., Opschoor, A. and van Dijk, D.J.C. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657. -
Leung, P.Y.E. and Veenman, D. (2018). Non-GAAP Earnings in Loss Firms Journal of Accounting Research, 56(4):1083--1137. -
van Bekkum, S., Irani, R. and Gabarro Bonet, M. (2018). Does a Larger Menu Increase Appetite? Collateral Eligibility and Credit Supply Review of Financial Studies, 31(3):2855--2896. -
Barra, I., Hoogerheide, L., Koopman, S. and Lucas, A. (2017). Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models Journal of Applied Econometrics, 32(5):1003--1026. -
Goyal, S., Rosenkranz, S., Weitzel, U. and Buskens, V. (2017). Information Acquisition and Exchange in Social Networks Economic Journal, 127(606):2302--2331. -
Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317. -
Aït-Sahalia, Y., Fan, J., Laeven, R., Wang, C. and Yang, X. (2017). Estimation of the Continuous and Discontinuous Leverage Effects Journal of the American Statistical Association, 112(520):1744--1758. -
Koopman, S., Lit, R. and Lucas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model Journal of the American Statistical Association, 112(520):1490--1503.