Photo of Andreas Kaeck

Andreas Kaeck
Professor of Finance (Business and Management)
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T: +44 (0)1273 678433


Selected publications

Article

Kaeck, Andreas (2018) Variance-of-variance risk premium. Review of Finance, 22 (4). pp. 1549-1579. ISSN 1572-3097

Kaeck, Andreas, Rodrigues, Paulo and Seeger, Norman (2018) Model complexity and out-of-sample performance: evidence from S&P 500 index returns. Journal of Economic Dynamics and Control, 90. pp. 1-29. ISSN 0165-1889

Dubinsky, Andrew, Johannes, Michael, Kaeck, Andreas and Seeger, Norman J (2018) Option pricing of earnings announcement risks. Review of Financial Studies. ISSN 0893-9454 (Accepted)

Kaeck, Andreas, Rodrigues, Paulo and Seeger, Norman (2017) Equity index variance: evidence from flexible parametric jump–diffusion models. Journal of Banking & Finance, 83. pp. 85-103. ISSN 0378-4266

Kaeck, Andreas (2013) Asymmetry in the jump-size distribution of the S&P 500: evidence from equity and option markets. Journal of Economic Dynamics and Control, 37 (9). pp. 1872-1888. ISSN 0165-1889

Kaeck, Andreas and Alexander, Carol (2013) Continuous-time VIX dynamics: on the role of stochastic volatility of volatility. International Review of Financial Analysis, 28. pp. 46-56. ISSN 10575219

Kaeck, Andreas and Alexander, Carol (2013) Stochastic volatility jump-diffusions for European equity index dynamics. European Financial Management, 19 (3). pp. 470-496. ISSN 1354-7798

Kaeck, Andreas (2013) Hedging surprises, jumps, and model misspecification: a risk management perspective on hedging S&P 500 options. Review of Finance, 17 (4). pp. 1535-1569. ISSN 1572-3097

Kaeck, Andreas and Alexander, Carol (2012) Volatility dynamics for the S&P 500: further evidence from non-affine, multi-factor jump diffusions. Journal of Banking & Finance, 36 (11). pp. 3110-3121. ISSN 0378-4266

Alexander, Carol and Kaeck, Andreas (2012) Does model fit matter for hedging? Evidence from FTSE 100 options. Journal of Futures Markets, 32 (7). pp. 609-638. ISSN 0270-7314

Alexander, Carol, Kaeck, Andreas and Nogueira, Leonardo M (2009) Model risk adjusted hedge ratios. Journal of Futures Markets, 29 (11). pp. 1021-1049. ISSN 0270-7314

Alexander, Carol and Kaeck, Andreas (2008) Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32 (6). pp. 1008-1021. ISSN 0378-4266