• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Facilities
    • Admissions
  • Research
  • News
  • Events
    • Summer School
      • Crash Course in Experimental Economics
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Econometric Methods for Forecasting and Data Science
  • Times
Home | People | Norman Seeger
 placeholder

Norman Seeger

Research Fellow

University
Vrije Universiteit Amsterdam
Researchgroup
TI Finance
Interests
applied econometrics, asset pricing, finance, financial econometrics, market microstructure, risk management

Biography

Norman is an Assistant Professor of Finance at the department of finance of the VU Amsterdam. Norman’s primary research interests are the fields of asset pricing, financial econometrics, derivatives, risk management, market micro structure. His research has been published in e.g. Review of Financial Studies, Journal of Business & Economic Statistics, Journal of Economic Dynamics & Control, Journal of Empirical Finance, Journal of Banking and Finance. Norman frequently visits Columbia Business School NYC as research scholar has served as Associate Editor of the Journal of Banking and Finance from 2014-2017.

List of publications

Seeger, Norman Johannes and Andreas Kaeck and Michael Johannes. 2019. Option Pricing of Earnings Announcement Risks. Review of Financial Studies, 32, 646–687, 1465-7368

Andreas Kaeck and Paulo Rodrigues and Seeger, Norman J.. 2018. Model Complexity and Out-of-Sample Performance: Evidence from S\&P 500 Index Returns. Journal of Economic Dynamics and Control, 90, 1--29, 0165-1889

Christian Fries and Tobias Nigbur and Seeger, Norman Johannes. 2017. Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates. Journal of Empirical Finance, 42, 175--198, 0927-5398

Andreas Kaeck and Paulo Rodrigues and Seeger, Norman Johannes. 2017. Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models. Journal of Banking and Finance, 83, 85--103, 0378-4266

van de Leur, Michiel C W and André Lucas and Seeger, Norman J.. 2017. Network, market, and book-based systemic risk rankings. Journal of Banking and Finance, 78, 84--90, 0378-4266

N.J. Seeger and P.J.M. Rodrigues and K. Ignatieva. 2015. Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices. Journal of Business and Economic Statistics, 33, 68--75, 0735-0015

N.J. Seeger and N. Branger and C. Schlag and E. Krautheim. 2012. Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others .... The Journal of Futures Markets, 32, 397--430, 0270-7314