Paulo Rodrigues

Maastricht University - Department of Finance

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

7

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3

CROSSREF CITATIONS

21

Scholarly Papers (7)

Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices

Seeger, N.J., Rodrigues, P.J.M. & 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. 10.1080/07350015.2014.922471
Number of pages: 49 Posted: 16 Feb 2009 Last Revised: 13 Feb 2015
Katja Ignatieva, Paulo Rodrigues and Norman Seeger
University of New South Wales - Australian School of Business, Maastricht University - Department of Finance and VU University Amsterdam
Downloads 255 (123,091)
Citation 2

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Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor

Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics

Number of pages: 42 Posted: 21 Mar 2009 Last Revised: 28 May 2009
Katja Ignatieva, Paulo Rodrigues and Norman Seeger
University of New South Wales - Australian School of Business, Maastricht University - Department of Finance and VU University Amsterdam
Downloads 103 (269,361)
Citation 4

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Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor

The London Commercial Property Price Index

Number of pages: 27 Posted: 06 Jul 2012
Andrea Chegut, Piet M. A. Eichholtz and Paulo Rodrigues
Maastricht University - Department of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance
Downloads 335 (91,540)
Citation 1

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real estate index, repeat sales

The London Commercial Property Price Index

Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Posted: 06 Nov 2013
Andrea Chegut, Piet M. A. Eichholtz and Paulo Rodrigues
Maastricht University - Department of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance

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Commercial real estate; Repeat sales; Index; London; New York

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 167 (184,122)
Citation 5

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Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good For

Number of pages: 47 Posted: 16 Mar 2012 Last Revised: 13 Feb 2015
Roman Frey, Paulo Rodrigues and Norman Seeger
University of St. Gallen - Swiss Institute of Banking and Finance, Maastricht University - Department of Finance and VU University Amsterdam
Downloads 168 (183,177)

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stochastic volatility, out-of-sample, density forecasts, particle filter

5.

Does the Institutionalization of Derivatives Trading Spur Economic Growth?

Number of pages: 29 Posted: 04 Mar 2012 Last Revised: 25 Jan 2013
Paulo Rodrigues, Claudia Schwarz and Norman Seeger
Maastricht University - Department of Finance, European Central Bank (ECB) and VU University Amsterdam
Downloads 199 (157,343)
Citation 2

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Economic growth, derivatives exchanges, empirical analysis, GMM estimation

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 12 Feb 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 85 (305,681)
Citation 2

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Stochastic volatility, individual stocks, MCMC, volatility factors

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 20 Mar 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 73 (334,988)
Citation 2

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stochastic volatility, individual stocks, MCMC, volatility factors

7.

Level and Slope of Volatility Smiles in Long-Run Risk Models

SAFE Working Paper No. 186
Number of pages: 98 Posted: 06 Nov 2017 Last Revised: 14 Dec 2017
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 107 (260,778)
Citation 1

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Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile