This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Rob van den Goorbergh

Personal Details | Affiliation | Works
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 RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

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

RePEc Short-ID: pva93

Email:
Homepage: http://www.abp.nl
Postal Address: Allocation & Research ABP Investments PO Box 75753 1118 ZX Schiphol The Netherlands
Phone: +31 (0)20 405 5892

Affiliation

(in no particular order)

No affiliation has been provided

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]

  2. 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. [Downloadable!]

  3. Werker, B.J.M. & Goorbergh, R.W.J. van den & Roon, de F.A., 2003. "Economic hedging portfolios," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]

  4. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]

  5. Goorbergh, R.W.J. van den & Huisman, K.J.M. & Kort, P.M., 2003. "Risk aversion, price uncertainty, and irreversible investments," Discussion Paper 119, Tilburg University, Center for Economic Research. [Downloadable!]

  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. [Downloadable!]

  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. [Downloadable!]
    Other versions:

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. [Downloadable!] (restricted)

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
Did you know? RePEc also has a blog.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.