Andreas Kaeck

874 total citations
23 papers, 511 citations indexed

About

Andreas Kaeck is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Andreas Kaeck has authored 23 papers receiving a total of 511 indexed citations (citations by other indexed papers that have themselves been cited), including 20 papers in Finance, 7 papers in Economics and Econometrics and 3 papers in Demography. Recurrent topics in Andreas Kaeck's work include Stochastic processes and financial applications (17 papers), Financial Risk and Volatility Modeling (13 papers) and Financial Markets and Investment Strategies (8 papers). Andreas Kaeck is often cited by papers focused on Stochastic processes and financial applications (17 papers), Financial Risk and Volatility Modeling (13 papers) and Financial Markets and Investment Strategies (8 papers). Andreas Kaeck collaborates with scholars based in United Kingdom, Netherlands and Switzerland. Andreas Kaeck's co-authors include Carol Alexander, Michael Johannes, Paulo M.M. Rodrigues, Neel Shah and Vincent van Kervel and has published in prestigious journals such as Review of Financial Studies, European Journal of Operational Research and Journal of Banking & Finance.

In The Last Decade

Andreas Kaeck

22 papers receiving 487 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Andreas Kaeck United Kingdom	10	474	207	78	78	38	23	511
Giulio Girardi United States	6	456 1.0×	446 2.2×	108 1.4×	72 0.9×	20 0.5×	10	589
Sibel Çelik Türkiye	6	231 0.5×	312 1.5×	75 1.0×	40 0.5×	21 0.6×	24	353
Roméo Tédongap France	12	513 1.1×	337 1.6×	139 1.8×	55 0.7×	9 0.2×	36	568
Fousseni Chabi-Yo United States	14	635 1.3×	409 2.0×	114 1.5×	60 0.8×	19 0.5×	46	696
Niklas Wagner Germany	10	290 0.6×	223 1.1×	61 0.8×	89 1.1×	5 0.1×	33	360
Bruno Feunou Canada	12	592 1.2×	400 1.9×	137 1.8×	26 0.3×	31 0.8×	47	656
Jan Kakes Netherlands	11	381 0.8×	299 1.4×	161 2.1×	161 2.1×	29 0.8×	26	482
Bernd Wilfling Germany	10	242 0.5×	300 1.4×	114 1.5×	47 0.6×	6 0.2×	29	363
Alexandra Dias United Kingdom	6	181 0.4×	164 0.8×	61 0.8×	27 0.3×	10 0.3×	13	245
Allan M. Malz United States	8	368 0.8×	164 0.8×	141 1.8×	19 0.2×	22 0.6×	19	411

Countries citing papers authored by Andreas Kaeck

Since Specialization

Citations

This map shows the geographic impact of Andreas Kaeck's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Andreas Kaeck with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Andreas Kaeck more than expected).

Fields of papers citing papers by Andreas Kaeck

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Andreas Kaeck. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Andreas Kaeck. The network helps show where Andreas Kaeck may publish in the future.

Co-authorship network of co-authors of Andreas Kaeck

This figure shows the co-authorship network connecting the top 25 collaborators of Andreas Kaeck. A scholar is included among the top collaborators of Andreas Kaeck based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Andreas Kaeck. Andreas Kaeck is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Johannes, Michael, et al.. (2024). Expected 1DTE Option Returns. SSRN Electronic Journal. 2 indexed citations

Alexander, Carol, et al.. (2022). The role of binance in bitcoin volatility transmission. Sussex Research Online (University of Sussex). 22 indexed citations

Kaeck, Andreas, et al.. (2021). Price impact versus bid–ask spreads in the index option market. Journal of Financial Markets. 59. 100675–100675. 1 indexed citations

Kaeck, Andreas, et al.. (2019). VIX derivatives, hedging and vol-of-vol risk. European Journal of Operational Research. 283(2). 767–782. 5 indexed citations

Alexander, Carol, et al.. (2018). A parsimonious parametric model for generating margin requirements for futures. European Journal of Operational Research. 273(1). 31–43. 9 indexed citations

Johannes, Michael, et al.. (2018). Option Pricing of Earnings Announcement Risks. Review of Financial Studies. 32(2). 646–687. 51 indexed citations

Kaeck, Andreas. (2017). Variance-of-Variance Risk Premium. European Finance Review. 22(4). 1549–1579. 10 indexed citations

Kaeck, Andreas, et al.. (2017). Informed Trading in the Index Option Market. SSRN Electronic Journal. 2 indexed citations

Kaeck, Andreas, et al.. (2017). Equity index variance: Evidence from flexible parametric jump–diffusion models. Journal of Banking & Finance. 83. 85–103. 6 indexed citations

10.

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). 1872–1888. 5 indexed citations

11.

Kaeck, Andreas & Carol Alexander. (2013). Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics. European Financial Management. 19(3). 470–496. 28 indexed citations

12.

Kaeck, Andreas & Carol Alexander. (2013). Continuous-time VIX dynamics: On the role of stochastic volatility of volatility. International Review of Financial Analysis. 28. 46–56. 34 indexed citations

13.

Kaeck, Andreas. (2012). Hedging Surprises, Jumps, and Model Misspecification: A Risk Management Perspective on Hedging S&P 500 Options*. European Finance Review. 17(4). 1535–1569. 12 indexed citations

14.

Kaeck, Andreas & Carol Alexander. (2012). Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions. Journal of Banking & Finance. 36(11). 3110–3121. 65 indexed citations

15.

Alexander, Carol & Andreas Kaeck. (2011). Does model fit matter for hedging? Evidence from FTSE 100 options. Journal of Futures Markets. 32(7). 609–638. 13 indexed citations

16.

Alexander, Carol & Andreas Kaeck. (2010). Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options. SSRN Electronic Journal. 5 indexed citations

17.

Alexander, Carol, et al.. (2009). Model risk adjusted hedge ratios. Journal of Futures Markets. 29(11). 1021–1049. 19 indexed citations

18.

Alexander, Carol, et al.. (2009). Model Risk Adjusted Hedge Ratios. SSRN Electronic Journal. 3 indexed citations

19.

Alexander, Carol & Andreas Kaeck. (2007). Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance. 32(6). 1008–1021. 210 indexed citations

20.

Alexander, Carol & Andreas Kaeck. (2006). Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices. SSRN Electronic Journal. 4 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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