| Regime dependent determinants of credit default swap spreads C Alexander, A Kaeck Journal of Banking & Finance 32 (6), 1008-1021, 2008 | 418 | 2008 |
| Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions A Kaeck, C Alexander Journal of Banking & Finance 36 (11), 3110-3121, 2012 | 91 | 2012 |
| Option pricing of earnings announcement risks A Dubinsky, M Johannes, A Kaeck, NJ Seeger The Review of Financial Studies 32 (2), 646-687, 2019 | 81 | 2019 |
| Continuous-time VIX dynamics: On the role of stochastic volatility of volatility A Kaeck, C Alexander International Review of Financial Analysis 28, 46-56, 2013 | 53 | 2013 |
| Non-standard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... | 47 | 2021 |
| Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics A Kaeck, C Alexander European Financial Management 19 (3), 470-496, 2013 | 41 | 2013 |
| The role of binance in bitcoin volatility transmission C Alexander, DF Heck, A Kaeck Applied Mathematical Finance 29 (1), 1-32, 2022 | 32 | 2022 |
| Model risk adjusted hedge ratios C Alexander, A Kaeck, LM Nogueira Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2009 | 30 | 2009 |
| Does model fit matter for hedging? Evidence from FTSE 100 options C Alexander, A Kaeck Journal of Futures Markets 32 (7), 609-638, 2012 | 27 | 2012 |
| Variance-of-variance risk premium A Kaeck Review of Finance 22 (4), 1549-1579, 2018 | 24 | 2018 |
| Hedging surprises, jumps, and model misspecification: a risk management perspective on hedging S&P 500 options A Kaeck Review of Finance 17 (4), 1535-1569, 2013 | 19 | 2013 |
| A parsimonious parametric model for generating margin requirements for futures C Alexander, A Kaeck, A Sumawong European Journal of Operational Research 273 (1), 31-43, 2019 | 17 | 2019 |
| VIX dynamics with stochastic volatility of volatility A Kaeck, C Alexander ICMA Centre, Henley Business School, University of Reading, UK, 2010 | 17 | 2010 |
| VIX Derivatives, Hedging and Vol-of-Vol Risk A Kaeck, NJ Seeger European Journal of Operational Research, 2019 | 12 | 2019 |
| Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets A Kaeck Journal of Economic Dynamics and Control 37 (9), 1872-1888, 2013 | 12 | 2013 |
| Regimes in CDS spreads: A Markov switching model of iTraxx Europe indices C Alexander, A Kaeck Available at SSRN 928352, 2006 | 11 | 2006 |
| Equity index variance: Evidence from flexible parametric jump–diffusion models A Kaeck, P Rodrigues, NJ Seeger Journal of Banking & Finance 83, 85-103, 2017 | 9 | 2017 |
| Model complexity and out-of-sample performance: evidence from S&P 500 index returns A Kaeck, P Rodrigues, NJ Seeger Journal of Economic Dynamics and Control 90, 1-29, 2018 | 7 | 2018 |
| Price impact versus bid–ask spreads in the index option market A Kaeck, V van Kervel, NJ Seeger Journal of Financial Markets 59, 100675, 2022 | 4 | 2022 |
| FOMC Announcement Event Risk MS Johannes, A Kaeck, N Seeger Available at SSRN 4484011, 2023 | 3 | 2023 |
