Norman Seeger

VU University Amsterdam

Assistant Professor

De Boelelaan 1105

Amsterdam, 1081 HV

Netherlands

http://www.norman-seeger.com

SCHOLARLY PAPERS

7

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1,887

SSRN CITATIONS
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Top 36,588

in Total Papers Citations

1

CROSSREF CITATIONS

15

Scholarly Papers (7)

1.

Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates

Number of pages: 39 Posted: 01 Jan 2013 Last Revised: 19 Sep 2016
Christian P. Fries, Tobias Nigbur and Norman Seeger
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, University of St. Gallen and VU University Amsterdam
Downloads 803 (30,396)

Abstract:

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Historical simulation, generalizations, negative risk factors, Value at Risk

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 (122,224)
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 102 (269,470)
Citation 4

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

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 (181,991)

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

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

Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 09 Feb 2013
Roman Frey, Paulo Rodrigues and Norman Seeger
University of St. Gallen - Swiss Institute of Banking and Finance, Maastricht University and VU University Amsterdam
Downloads 31 (485,838)
Citation 3

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Stochastic volatility, Out-of-sample, Density forecasts, Particle filter

4.

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 198 (156,980)
Citation 2

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Economic growth, derivatives exchanges, empirical analysis, GMM estimation

5.

Informed Trading in the Index Option Market

TILEC Discussion Paper No. 2017-027, Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 07 Jun 2017 Last Revised: 17 Aug 2019
Andreas Kaeck, Vincent van Kervel and Norman Seeger
University of Sussex, Pontifical Catholic University of Chile and VU University Amsterdam
Downloads 135 (218,016)

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Options, informed trading, price impact

Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options?

Number of pages: 36 Posted: 19 Mar 2009 Last Revised: 26 Mar 2012
Norman Seeger
VU University Amsterdam
Downloads 82 (310,584)

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American Options, Transaction Costs, Optimal Exercise Strategy, Discrete Binomial Setup, Small Proportional Transaction Costs

Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options?

Number of pages: 36 Posted: 17 Feb 2009 Last Revised: 28 May 2009
Norman Seeger
VU University Amsterdam
Downloads 45 (423,089)

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American Options, Transaction Costs, Optimal Exercise Strategy, Discrete Binomial Setup, Small Proportional Transaction Costs

7.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012)
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 68 (342,310)
Citation 1

Abstract:

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Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge