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R

Roger J. A. Laeven

university of amsterdam

24H-index
152Paper Count
2.4KCitation Count
Published Papers 12
Publication Date
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Localizing Strictly Proper Scoring Rules
errJournal of the American Statistical Association
IF3
err2025-12-01
err0
errOAAI
errde Punder, Ramon F. A.; Diks, Cees G. H.; Laeven, Roger J. A.; van Dijk, Dick J. C.
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Compound multivariate Hawkes processes: Large deviations and rare event simulation
errBernoulli
IF1.7
err2025-11-01
err0
PREAI
errKarim, Raviar S.; Laeven, Roger J. A.; Mandjes, Michel
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errSave
ROBIST: Robust optimization by iterative scenario sampling and statistical testing
errComputers & Operations Research
IF4.3
err2025-09-02
err0
PREAI
errJustin Starreveld; Guanyu Jin; Dick den Hertog; Roger J.A. Laeven
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errSave
Estimating option pricing models using a characteristic function-based linear state space representation
errJOURNAL OF ECONOMETRICS
IF4
err2024-08-01
err0
errOAAI
errBoswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii
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errSave
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2021-07-23
err2
errOAAI
errIkefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Yue, Yuan
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errSave
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2021-06-01
err11
errOAAI
errBellini, Fabio; Laeven, Roger J. A.; Gianin, Emanuela Rosazza
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errSave
Dependent microstructure noise and integrated volatility estimation from high-frequency data
errJOURNAL OF ECONOMETRICS
IF4
err2020-04-01
err9
errOAAI
errLi, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H.
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errSave
Expected utility and catastrophic risk in a stochastic economy-climate model
errJOURNAL OF ECONOMETRICS
IF4
err2020-01-01
err6
errOAAI
errIkefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris
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errSave
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
errJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
IF2.8
err2019-09-27
err6
PREAI
errvan Bilsen, Servaas; Bovenberg, A. Lans; Laeven, Roger J. A.
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errSave
Testing for self-excitation in jumps
errJOURNAL OF ECONOMETRICS
IF4
err2018-04-01
err24
PREAI
errBoswijk, H. Peter; Laeven, Roger J. A.; Yang, Xiye
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errSave
Estimation of the Continuous and Discontinuous Leverage Effects
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2017-08-07
err31
errOAAI
errAit-Sahalia, Yacine; Fan, Jianqing; Laeven, Roger J. A.; Wang, Christina Dan; Yang, Xiye
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errSave
Mutual excitation in Eurozone sovereign CDS
errJOURNAL OF ECONOMETRICS
IF4
err2014-12-01
err67
errOAAI
errAit-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana
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Research Directions

No research directions
Co-authors
Cooperation Journals
J
Jianqing Fan
H-index: 101 · Papers: 685
Y
Yacine Aı̈t-Sahalia
H-index: 59 · Papers: 222
A
A.L. Bovenberg
H-index: 50 · Papers: 831
J
Jan R. Magnus
H-index: 42 · Papers: 428
D
Dick den Hertog
H-index: 40 · Papers: 273
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