Concepedia

Andreas Kaeck

AK

Statistics

Publications

14

Citations

788

H-Index

12

Active since

2007

Affiliations

University of Sussex(Current)

University of Reading

University of St.Gallen

Swiss Finance Institute

Andreas Kaeck is an author at University of Sussex specializing in business, volatility modeling, and finance.

Top concepts

BusinessFinanceVolatility ModelingEngineeringAsset PricingFinancial EconomicsEconomicsOption PricingMultivariate Stochastic VolatilityStatistics

Publications per year

2007–2024

14

Publications

14

Regime dependent determinants of credit default swap spreads

Carol Alexander, Andreas Kaeck · Journal of Banking & Finance · 2007 · 295 citations

Economics, Credit Market, Business +6

Option Pricing of Earnings Announcement Risks

Andrew Dubinsky, Michael Johannes, Andreas Kaeck et al. · Review of Financial Studies · 2018 · 91 citations · Full text

Future Return Volatility, Option Pricing, Economics +14

Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

Andreas Kaeck, Carol Alexander · Journal of Banking & Finance · 2012 · 86 citations

Volatility Modeling, Multivariate Stochastic Volatility, Financial Economics +11

Nonstandard Errors

Albert J. Menkveld, Anna Dreber, Felix Holzmeister et al. · The Journal of Finance · 2024 · 79 citations · Full text

Continuous-time VIX dynamics: On the role of stochastic volatility of volatility

Andreas Kaeck, Carol Alexander · International Review of Financial Analysis · 2013 · 49 citations · Full text

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +8

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