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Citations of
Peter Vlaar

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March. [Downloadable!] (restricted)
      Other versions:

  2. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Jacob A. Bikker & Jan de Dreu, 2006. "Pension fund efficiency: the impact of scale, governance and plan design," DNB Working Papers 109, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Maarten van Rooij & Arjen Siegmann & Peter Vlaar, 2007. "Market Valuation, Pension Fund Policy and Contribution Volatility," DNB Working Papers 159, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:

  3. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March. [Downloadable!] (restricted)
      Other versions:

  4. M.C.J. van Rooij & A.H. Siegmann & P.J.G. Vlaar, 2004. "Palmnet: A pension asset and liability model for the Netherlands," WO Research Memoranda (discontinued) 760, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Maarten C.J. van Rooij & Clemens J.M. Kool & Henriette M. Prast, 2004. "Risk-return preferences in the pension domain: are people able to choose?," Working Papers 05-04, Utrecht School of Economics. [Downloadable!]
      Other versions:
    2. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department. [Downloadable!]
    3. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department. [Downloadable!]
    4. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March. [Downloadable!] (restricted)
      Other versions:
    5. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department. [Downloadable!]
    6. Allard Bruinshoofd & Sybille Grob, 2006. "Do changes in pension incentives affect retirement? A stated preferences approach to Dutch retirement consideration," DNB Working Papers 115, Netherlands Central Bank, Research Department. [Downloadable!]

  5. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements. [Downloadable!]
    2. Christos Savva & Denise R Osborn & Len Gill, 2005. "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005 23, Money Macro and Finance Research Group. [Downloadable!]
    3. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," Centre for Growth and Business Cycle Research Discussion Paper Series 64, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:

  6. P.J.G. Vlaar, 2003. "On the Strenght of the US Dollar: Can it be Explained by Output Growth?," DNB Staff Reports (discontinued) 82, Netherlands Central Bank.
    Other versions:

    Cited by:

    1. Helmut Frisch, 2003. "The euro and its consequences: What makes a currency strong?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 15-31, March. [Downloadable!] (restricted)
    2. Pompeo Della Posta, 2005. "Fundamentals, International Role of Euro and 'Framing' of Expectations: What are the Determinants of the Dollar/Euro Exchange Rate?," Working Papers de Economia (Economics Working Papers) 24, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro. [Downloadable!]

  7. P.J.G. Vlaar & A.H.J. den Reijer, 2003. "Forecasting inflation: An art as well as a science!," DNB Staff Reports (discontinued) 107, Netherlands Central Bank. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Rebeca Albacete & Antoni Espasa, 2005. "Forecasting Inflation In The Euro Area Using Monthly Time Series Models And Quarterly Econometric Models," Statistics and Econometrics Working Papers ws050401, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Janine Aron & John Muellbauer, 2008. "New methods for forecasting inflation and its sub-components: application to the USA," Economics Series Working Papers 406, University of Oxford, Department of Economics. [Downloadable!]
    3. Nicholai Benalal & Juan Luis Diaz del Hoyo & Bettina Landau & Moreno Roma & Frauke Skudelny, 2004. "To aggregate or not to aggregate? Euro area inflation forecasting," Working Paper Series 374, European Central Bank. [Downloadable!]
    4. Demertzis, Maria & Hughes Hallett, Andrew, 2005. "Forming Rational Expectations and When it is Right to be 'Wrong'," CEPR Discussion Papers 5042, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  8. P.J.G. Vlaar, 2002. "Shocking the Eurozone," WO Research Memoranda (discontinued) 696, Netherlands Central Bank, Research Department. [Downloadable!]
    Published as:

    Cited by:

    1. Paul Gaggl & Serguei Kaniovski & Klaus Prettner & Thomas Url, 2009. "The short and long-run interdependencies between the Eurozone and the USA," Empirica, Springer, vol. 36(2), pages 209-227, May. [Downloadable!] (restricted)
    2. Peter Claeys, 2007. "Estimating the effects of fiscal policy under the budget constraint," IREA Working Papers 200715, University of Barcelona, Research Institute of Applied Economics, revised Jul 2007. [Downloadable!]
      Other versions:
    3. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    4. Martha Misas Arango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar, . "La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural," Borradores de Economia 324, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:

  9. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:

    Cited by:

    1. Nikolaus A. Siegfried, 2002. "An information-theoretic extension to structural VAR modelling," Econometrics 0203005, EconWPA. [Downloadable!]
      Other versions:
    2. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 817-838, May. [Downloadable!] (restricted)
    3. Claus Brand & Nuno Cassola, 2000. "A money demand system for Euro area M3," Working Paper Series 39, European Central Bank. [Downloadable!]
    4. Martha Misas Arango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar, . "La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural," Borradores de Economia 324, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:
    5. Anna Piretti & Charles St-Arnaud, 2006. "Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies," Working Papers 06-22, Bank of Canada. [Downloadable!]

  10. Peter J.G. Vlaar, 2000. "Capital requirements and competition in banking industry," Working Paper Series WP-00-18, Federal Reserve Bank of Chicago. [Downloadable!]

    Cited by:

    1. Donsyah Yudistira, 2002. "The Impact of Bank Capital Requirements in Indonesia," Finance 0212002, EconWPA, revised 18 May 2003. [Downloadable!]
    2. W. Bolt & A.F. Tieman, 2001. "Banking competition, risk and regulation," DNB Staff Reports (discontinued) 70, Netherlands Central Bank. [Downloadable!]
      Other versions:
    3. W. Bolt & A.F. Tieman, 2001. "When Basle II doesn't work: Contingency Rules versus Fixed Requirements," WO Research Memoranda (discontinued) 681, Netherlands Central Bank, Research Department. [Downloadable!]

  11. P.J.G. Vlaar, 2000. "Capital requirements and competition in the banking industry," WO Research Memoranda (discontinued) 634, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Donsyah Yudistira, 2002. "The Impact of Bank Capital Requirements in Indonesia," Finance 0212002, EconWPA, revised 18 May 2003. [Downloadable!]
    2. W. Bolt & A.F. Tieman, 2001. "Banking competition, risk and regulation," DNB Staff Reports (discontinued) 70, Netherlands Central Bank. [Downloadable!]
      Other versions:
    3. W. Bolt & A.F. Tieman, 2001. "When Basle II doesn't work: Contingency Rules versus Fixed Requirements," WO Research Memoranda (discontinued) 681, Netherlands Central Bank, Research Department. [Downloadable!]

  12. P.J.G. Vlaar & H. Schuberth, 1999. "Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach," DNB Staff Reports (discontinued) 36, Netherlands Central Bank. [Downloadable!]
    Other versions:

    Cited by:

    1. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 817-838, May. [Downloadable!] (restricted)
    2. Jan Gottschalk & Felipe Martinez Rico & Willem Van Zandweghe, 2000. "Money as an Indicator in the Euro Zone," Kiel Working Papers 984, Kiel Institute for the World Economy. [Downloadable!]
    3. Claus Brand & Nuno Cassola, 2000. "A money demand system for Euro area M3," Working Paper Series 39, European Central Bank. [Downloadable!]
    4. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    5. Günter Coenen & Juan-Luis Vega, 1999. "The demand for M3 in the euro area," Working Paper Series 6, European Central Bank. [Downloadable!]
      Other versions:
    6. Jan Gottschalk & Stéphanie Stolz, 2001. "The Link of the Monetary Indicator to Future Inflation in the Euro Area — A Simulation Experiment," Kiel Working Papers 1057, Kiel Institute for the World Economy. [Downloadable!]
    7. H.M.M. Peeters, 2000. "Achieving Price Stability in the Euro Zone: Monetary or InflationTargeting?," DNB Staff Reports (discontinued) 43, Netherlands Central Bank. [Downloadable!]
    8. J.J.J. Groen, 2001. "Corporate Credit, Stock Price Inflation and Economic Fluctuations," WO Research Memoranda (discontinued) 651, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    9. Annick Bruggeman & Marie Donnay, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 264, European Central Bank. [Downloadable!]
    10. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 371-401, December. [Downloadable!] (restricted)
    11. Tor Jacobson & Per Jansson & Anders Vredin & Anders Warne, 2001. "Monetary policy analysis and inflation targeting in a small open economy: a VAR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 487-520. [Downloadable!]
    12. P.J.G. Vlaar, 2002. "Shocking the Eurozone," WO Research Memoranda (discontinued) 696, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    13. Jan Gottschalk & Susanne Bröck, 2000. "Inflationsprognosen für den Euro-Raum: wie gut sind P*-Modelle?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 69(1), pages 69-89.
    14. Nuno Cassola & Claudio Morana, 2002. "Monetary policy and the stock market in the Euro area," Working Paper Series 119, European Central Bank. [Downloadable!]

  13. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?," DNB Staff Reports (discontinued) 40, Netherlands Central Bank. [Downloadable!]
    Other versions:

    Cited by:

    1. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
    2. R.W.J. van den Goorbergh, 1999. "Value-at-Risk and least squares tail index estimation," WO Research Memoranda (discontinued) 578, Netherlands Central Bank, Research Department. [Downloadable!]
    3. Piñeiro, J. & Tamazian, A. & Melikyan, David N., 2006. "Consequences of the Euro introduction on Market Risk: An Econometric Evidence from 1995-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2). [Downloadable!] (restricted)
    4. virginie terraza & stephane mussard, 2007. "New trading risk indexes: application of the shapley value in finance," Economics Bulletin, Economics Bulletin, vol. 3(25), pages 1-7. [Downloadable!]
    5. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]

  14. P.J.G. Vlaar, 1999. "Currency Crises Models for Emerging Markets," WO Research Memoranda (discontinued) 595, Netherlands Central Bank, Research Department. [Downloadable!]

    Cited by:

    1. Andrew Berg & Eduardo Borensztein & Catherine Pattillo, 2005. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Staff Papers, Palgrave Macmillan Journals, vol. 52(3), pages 5. [Downloadable!] (restricted)
    2. Komulainen, Tuomas & Lukkarila, Johanna, 2003. "What drives financial crises in emerging markets?," BOFIT Discussion Papers 5/2003, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    3. Arias, Guillaume & Erlandsson, Ulf, 2004. "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers 2004:11, Lund University, Department of Economics. [Downloadable!]
    4. Mironova Yuliya, 2007. "Elaboration of crisis early warning system for Kyrgyzstan," EERC Working Paper Series 03-084e, EERC Research Network, Russia and CIS. [Downloadable!]
    5. Eduardo Borensztein & Catherine A. Pattillo & Andrew Berg, 2004. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Working Papers 04/52, International Monetary Fund. [Downloadable!]
    6. Joël van der Weele, 2005. "Financing development: debt versus equity," DNB Working Papers 038, Netherlands Central Bank, Research Department. [Downloadable!]

  15. P.J.G. Vlaar, 1998. "On the asymptotic distribution of impulse response functions with long run restrictions," WO Research Memoranda (discontinued) 539, Netherlands Central Bank, Research Department.
    Published as:

    Cited by:

    1. Carlo Monticelli & Oreste Tristani, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 2, European Central Bank. [Downloadable!]
    2. Gert Wehinger, 2000. "Causes of Inflation in Europe, the United States and Japan: Some Lessons for Maintaining Price Stability in the EMU from a Structural VAR Approach," Empirica, Springer, vol. 27(1), pages 83-107, March. [Downloadable!] (restricted)
    3. Helene Schuberth, 1998. "Room for Manoeuvre of Economic Policy in EU-Countries are there costs of joining EMU?," Working Papers 35, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    4. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    5. Luz Adriana Flórez & Carlos Esteban Posada & José Fernando Escobar, 2004. "El Crédito Y Sus Factores Determinantes: El Caso Colombiano (1990-2004)," BORRADORES DE ECONOMIA 002482, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    6. Günter Coenen & Juan-Luis Vega, 1999. "The demand for M3 in the euro area," Working Paper Series 6, European Central Bank. [Downloadable!]
      Other versions:
    7. Matteo M. Iacoviello, 2000. "House prices and the macroeconomy in Europe: results from a structural VAR analysis," Working Paper Series 18, European Central Bank. [Downloadable!]
    8. José Fernando Escobar R. & Carlos Estaban Posada, 2004. "Dinero, Precios, Tasa De Interés Y Actividad Económica: Un Modelo Del Caso Colombiano (1984:I-2003:Iv)," BORRADORES DE ECONOMIA 002366, BANCO DE LA REPÚBLICA. [Downloadable!]
    9. Annick Bruggeman & Marie Donnay, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 264, European Central Bank. [Downloadable!]
    10. Jan Kakes & Jan-Egbert Sturm, 2001. "Monetary policy and bank lending. Evidence from German banking groups," MEB Series (discontinued) 2001-1, Netherlands Central Bank, Monetary and Economic Policy Department. [Downloadable!]
      Other versions:
    11. José Fernando Escobar R. & Carlos Esteban Posada P., . "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia 303, Banco de la Republica de Colombia. [Downloadable!]
    12. P.J.G. Vlaar & H. Schuberth, 1999. "Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach," DNB Staff Reports (discontinued) 36, Netherlands Central Bank. [Downloadable!]
      Other versions:
    13. Jan J. J. Groen, 2004. "Corporate credit, stock price inflation and economic fluctuations," Applied Economics, Taylor and Francis Journals, vol. 36(18), pages 1995-2006, October. [Downloadable!] (restricted)
      Other versions:
    14. Schumacher, Christian, 2000. "Forecasting Trend Output in the Euro Area," Discussion Paper Series 26245, Hamburg Institute of International Economics. [Downloadable!]
      Other versions:
    15. P.J.G. Vlaar, 2002. "Shocking the Eurozone," WO Research Memoranda (discontinued) 696, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:

  16. M.M.G. Fase & P.J.G. Vlaar, 1997. "International convergence of capital market interest rates," WO Research Memoranda (discontinued) 519, Netherlands Central Bank, Research Department.

    Cited by:

    1. Jansen, Pieter W., 2006. "Did capital market convergence lower the effectiveness of the interest rate as a monetary policy tool?," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    2. J.M. Berk & K.H.W. Knot, 1999. "Co-Movements in Long-Term Interest Rates and the Role of PPP-BasedExchange Rate Expectations," DNB Staff Reports (discontinued) 37, Netherlands Central Bank. [Downloadable!]
      Other versions:
    3. Frank A. G. Den Butter & Pieter W. Jansen, 2004. "An empirical analysis of the German long-term interest rate," Applied Financial Economics, Taylor and Francis Journals, vol. 14(10), pages 731-741, June. [Downloadable!] (restricted)
      Other versions:

Articles

  1. Jacob A Bikker & Peter J G Vlaar, 2007. "Conditional Indexation in Defined Benefit Pension Plans in the Netherlands*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 32(4), pages 494-515, October. [Downloadable!] (restricted)

    Cited by:

    1. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March. [Downloadable!] (restricted)
      Other versions:

  2. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, 03. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Vlaar, Peter J. G., 2004. "Shocking the eurozone," European Economic Review, Elsevier, vol. 48(1), pages 109-131, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Vlaar, Peter J.G., 2004. "On The Asymptotic Distribution Of Impulse Response Functions With Long-Run Restrictions," Econometric Theory, Cambridge University Press, vol. 20(05), pages 891-903, October. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  5. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, 05. [Downloadable!] (restricted)

    Cited by:

    1. Katrin Assenmacher-Wesche, 2008. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 197-246, June. [Downloadable!]
    2. Annick Bruggeman & Marie Donnay, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 264, European Central Bank. [Downloadable!]
    3. J.J.J. Groen, 2001. "(EURO) Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel," WO Research Memoranda (discontinued) 664, Netherlands Central Bank, Research Department. [Downloadable!]

  6. Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July. [Downloadable!] (restricted)

    Cited by:

    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Coe, P. & Vahey S.P. & Wakerly, E.C., 2000. "The Transparency and Accountability of UK Debt Management: A Proposal," Cambridge Working Papers in Economics 0028, Faculty of Economics, University of Cambridge. [Downloadable!]
    3. Alejandro Balbas & Esperanza H. Montagut & Maria Jose Perez Fructuoso, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," Business Economics Working Papers wb043312, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    4. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
    5. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research Department. [Downloadable!]
    6. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?," WO Research Memoranda (discontinued) 579, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    7. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February. [Downloadable!] (restricted)

  7. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-60, July.

    Cited by:

    1. Ignacio Mauleón, 2006. "Modelling multivariate moments in European Stock Markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(3), pages 241-263, April. [Downloadable!] (restricted)
    2. Beine,M. & Palm,F.C. & Laurent,S., 2003. "Central Bank Forex Interventions Assessed Using Realized Moments," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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    3. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2005. "Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies. [Downloadable!]
      Other versions:
    4. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Working Papers 07-29, Bank of Canada. [Downloadable!]
      Other versions:
    5. Michael Dueker & Andreas M. Fischer, 1995. "Identifying Austria's implicit monetary target: an alternative test of the "hard currency" policy," Working Papers 1995-005, Federal Reserve Bank of St. Louis. [Downloadable!]
    6. Robert F. Engle & Yin-Feng Gau, 1997. "Conditional Volatility of Exchange Rates Under a Target Zone," University of California at San Diego, Economics Working Paper Series 97-06, Department of Economics, UC San Diego. [Downloadable!]
    7. Michael Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies. [Downloadable!]
      Other versions:
    9. N. T. Laopodis, 2003. "Stochastic behaviour of Deutsche mark exchange rates within EMS," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 665-676, September. [Downloadable!] (restricted)
    10. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    11. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and Testing in Models Containing Both Jumps and Conditional Heteroskedasticity," Discussion Paper 105, Tilburg University, Center for Economic Research. [Downloadable!]
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    12. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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    13. Beum-Jo Park, 2002. "Asymmetric Volatility Of Exchange Rate Returns Under The Ems: Some Evidence From Quantile Regression Appoach For Tgarch Models," International Economic Journal, Korean International Economic Association, vol. 16(1), pages 105-125, April. [Downloadable!] (restricted)
    14. Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," BORRADORES DE ECONOMIA 002060, BANCO DE LA REPÚBLICA. [Downloadable!]
    15. Richard T Baillie, & Young-Wook Han, 2002. "Central Bank Intervention and Properties of the 1920s Currency Markets," Finance Working Papers 159, East Asian Bureau of Economic Research. [Downloadable!]
    16. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
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    17. Dinghai Xu & Tony S. Wirjanto, 2008. "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers 08008, University of Waterloo, Department of Economics. [Downloadable!]
    18. Norberto Rodríguez, . "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," Borradores de Economia 161, Banco de la Republica de Colombia. [Downloadable!]
    19. Markku Lanne, 2006. "Forecasting Realized Volatility by Decomposition," Economics Working Papers ECO2006/20, European University Institute. [Downloadable!]
    20. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?," WO Research Memoranda (discontinued) 579, Netherlands Central Bank, Research Department. [Downloadable!]
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    21. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN. [Downloadable!]
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    22. Chew Lian Chua & Sandy Suardi, 2006. "Testing for a Unit Root in the Presence of a Jump Diffusion Process with GARCH Errors," Melbourne Institute Working Paper Series wp2006n28, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    23. Christopher J. Neely, 1998. "Target zones and conditional volatility: the role of realignments," Working Papers 1994-008, Federal Reserve Bank of St. Louis. [Downloadable!]
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    24. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, EconWPA. [Downloadable!]
    25. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO. [Downloadable!]
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    26. Ignacio Mauleon, Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student’s t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239, June. [Downloadable!] (restricted)
    27. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
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    28. Sanghoon Lee, 2004. "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society. [Downloadable!]
    29. Álvaro Escribano & Juan Ignacio Peña & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de Economía. [Downloadable!]

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This page was last updated on 2009-10-28.

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