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Rob van den Goorbergh

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This is information that was supplied by Rob van den Goorbergh in registering through RePEc. If you are Rob van den Goorbergh , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Rob
Middle Name:
Last Name: van den Goorbergh
Suffix:

RePEc Short-ID: pva93

Email:
Homepage: http://www.apg.nl
Postal Address: Investment Research APG Asset Management PO Box 75283 1070 AG Amsterdam The Netherlands
Phone: +31 (0)20 604 8420

Affiliation

Works

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Working papers

  1. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department.
  2. Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman, 2004. "An Anatomy of Futures Returns: Risk Premiums and Trading Strategies," WO Research Memoranda (discontinued) 757, Netherlands Central Bank, Research Department.
  3. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate Option Pricing Using Dynamic Copula Models," Discussion Paper 2003-122, Tilburg University, Center for Economic Research.
  4. Goorbergh, R.W.J. van den & Roon, F.A. de & Werker, B.J.M., 2003. "Economic Hedging Portfolios," Discussion Paper 2003-102, Tilburg University, Center for Economic Research.
  5. Goorbergh, R.W.J. van den & Huisman, K.J.M. & Kort, P.M., 2003. "Risk Aversion, Price Uncertainty and Irreversible Investments," Discussion Paper 2003-119, Tilburg University, Center for Economic Research.
  6. 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.
  7. 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.

Articles

  1. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2004-01-05 2004-01-05. Author is listed
  2. NEP-ECM: Econometrics (1) 2005-01-16
  3. NEP-ETS: Econometric Time Series (1) 2005-01-16
  4. NEP-FIN: Finance (4) 2004-01-05 2004-01-05 2004-08-16 2005-01-16. Author is listed
  5. NEP-FMK: Financial Markets (1) 2005-01-16
  6. NEP-MIC: Microeconomics (1) 2004-01-05
  7. NEP-RMG: Risk Management (4) 2003-12-07 2004-01-05 2004-01-05 2004-08-16. Author is listed

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