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.
List of publications
Seeger, N.J. (2021). Price Impact versus Bid-Ask Spreads in the Index Option Market Journal of Financial Markets, :.
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(May):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(October):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.