Roger Laeven

11 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-9582-3955

University of Amsterdam

Publications

• Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities — Journal of the American Statistical Association 2022
• Dual Moments and Risk Attitudes — Operations Research 2022
• Consumption and Portfolio Choice under Internal Multiplicative Habit Formation — Journal of Financial and Quantitative Analysis 2020
• Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level — Management Science 2020
• Estimation of the Continuous and Discontinuous Leverage Effects — Journal of the American Statistical Association 2017
• Modeling financial contagion using mutually exciting jump processes — Journal of Financial Economics 2015
• Asymptotically distribution-free goodness-of-fit testing for tail copulas — The Annals of Statistics 2015
• Note from the editors — Journal of Financial Economics 1982
• Localizing Strictly Proper Scoring Rules* — Journal of the American Statistical Association
• Saddlepoint Approximations for Hawkes Jump-Diffusion Processes with an Application to Risk Management* — Journal of the American Statistical Association (name-matched, not ORCID-linked)
• Jump Contagion among Stock Market Indices: Evidence from Option Markets — Journal of the American Statistical Association (name-matched, not ORCID-linked)