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Ronald Mahieu

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Ronald J. Mahieu & Peter C. Schotman, 1998. "An empirical application of stochastic volatility models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-360.

    Mentioned in:

    1. An empirical application of stochastic volatility models (Journal of Applied Econometrics 1998) in ReplicationWiki ()
  2. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.

    Mentioned in:

    1. Daily exchange rate behaviour and hedging of currency risk (Journal of Applied Econometrics 2000) in ReplicationWiki ()

Working papers

  1. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2015. "Hawks and Doves at the FOMC," Discussion Paper 2015-013, Tilburg University, Center for Economic Research.

    Cited by:

    1. Federico Favaretto & Donato Masciandaro, 2016. "Too Little, Too Late? Monetary Policymaking Inertia and Psychology: A Behavioral Model," BAFFI CAREFIN Working Papers 1617, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Donato Masciandaro & Paola Profeta & Davide Romelli, 2016. "Gender and Monetary Policymaking: Trends and Drivers," BAFFI CAREFIN Working Papers 1512, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Donato Masciandaro & Davide Romelli, 2019. "Behavioral Monetary Policymaking: Economics, Political Economy And Psychology," BAFFI CAREFIN Working Papers 19105, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    4. Emile van Ommeren & Giulia Piccillo, 2019. "The Central Bank Governor and Interest Rate Setting by Committee," CESifo Working Paper Series 7822, CESifo.
    5. Alessandro Riboni & Francisco Ruge-Murcia, 2020. "The Power of the Federal Reserve Chair," Cahiers de recherche 20-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Favaretto, Federico & Masciandaro, Donato, 2016. "Doves, hawks and pigeons: Behavioral monetary policy and interest rate inertia," Journal of Financial Stability, Elsevier, vol. 27(C), pages 50-58.
    7. Bordo, Michael & Istrefi, Klodiana, 2023. "Perceived FOMC: The making of hawks, doves and swingers," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 125-143.
    8. Ibrahima Diouf & Dominique Pépin, 2017. "Gender And Central Banking," Post-Print hal-01224266, HAL.
    9. Schnakenberg, Keith & Turner, Ian R & Uribe-McGuire, Alicia, 2021. "Allies or Commitment Devices? A Model of Appointments to the Federal Reserve," SocArXiv b5zts, Center for Open Science.
    10. D. Masciandaro, 2019. "What Bird Is That? Central Banking And Monetary Policy In The Last Forty Years," BAFFI CAREFIN Working Papers 19127, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Rieder, Kilian, 2022. "Monetary policy decision-making by committee: Why, when and how it can work," European Journal of Political Economy, Elsevier, vol. 72(C).
    12. Masciandaro, Donato, 2022. "Independence, conservatism, and beyond: Monetary policy, central bank governance and central banker preferences (1981–2021)," Journal of International Money and Finance, Elsevier, vol. 122(C).
    13. Sandra A. Cannon, 2015. "Sentiment of the FOMC: Unscripted," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-31.
    14. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2016. "Monetary Policy Committees, Voting Behavior and Ideal Points," BAFFI CAREFIN Working Papers 1628, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    15. Keith E. Schnakenberg & Ian R. Turner & Alicia Uribe-McGuire, 2017. "Allies or commitment devices? A model of appointments to the Federal Reserve," Economics and Politics, Wiley Blackwell, vol. 29(2), pages 118-132, July.

  2. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2013. "Estimating the Preferences of Central Bankers : An Analysis of Four Voting Records," Discussion Paper 2013-047, Tilburg University, Center for Economic Research.

    Cited by:

    1. Donato Masciandaro & Paola Profeta & Davide Romelli, 2023. "Women and Governance: Central Bank Boards and Monetary Policy," Trinity Economics Papers tep1123, Trinity College Dublin, Department of Economics.
    2. Ansgar Belke, 2017. "Central Bank Communication: Managing Expectations through the Monetary Dialogue," ROME Working Papers 201704, ROME Network.
    3. Federico Favaretto & Donato Masciandaro, 2016. "Too Little, Too Late? Monetary Policymaking Inertia and Psychology: A Behavioral Model," BAFFI CAREFIN Working Papers 1617, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    4. Roman Horvath & Júlia Jonasova, 2014. "Central Banks Voting Records, Financial Crisis and Future Monetary Policy," Working Papers IES 2014/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2014.
    5. Donato Masciandaro & Paola Profeta & Davide Romelli, 2016. "Gender and Monetary Policymaking: Trends and Drivers," BAFFI CAREFIN Working Papers 1512, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Donato Masciandaro & Davide Romelli, 2019. "Behavioral Monetary Policymaking: Economics, Political Economy And Psychology," BAFFI CAREFIN Working Papers 19105, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Ansgar Belke, 2014. "Monetary Dialogue 2009-2014: Looking backward, looking forward," ROME Working Papers 201402, ROME Network.
    8. Emile van Ommeren & Giulia Piccillo, 2019. "The Central Bank Governor and Interest Rate Setting by Committee," CESifo Working Paper Series 7822, CESifo.
    9. Favaretto, Federico & Masciandaro, Donato, 2016. "Doves, hawks and pigeons: Behavioral monetary policy and interest rate inertia," Journal of Financial Stability, Elsevier, vol. 27(C), pages 50-58.
    10. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2015. "Hawks and Doves at the FOMC," Other publications TiSEM c5fab1b1-c69d-4298-a6e0-e, Tilburg University, School of Economics and Management.
    11. D. Masciandaro, 2019. "What Bird Is That? Central Banking And Monetary Policy In The Last Forty Years," BAFFI CAREFIN Working Papers 19127, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    12. Diaf, Sami, 2022. "Policy preference at central banks: Quantifying monetary policy signals using keyword topic models," WiSo-HH Working Paper Series 69, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory.
    13. Masciandaro, Donato, 2022. "Independence, conservatism, and beyond: Monetary policy, central bank governance and central banker preferences (1981–2021)," Journal of International Money and Finance, Elsevier, vol. 122(C).
    14. Donato Masciandaro & Paola Profeta & Davide Romelli, 2020. "Do Women Matter in Monetary Policy Boards?," BAFFI CAREFIN Working Papers 20148, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    15. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2016. "Monetary Policy Committees, Voting Behavior and Ideal Points," BAFFI CAREFIN Working Papers 1628, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  3. Eijffinger, Sylvester & Mahieu, Ronald & Raes, Louis, 2013. "Inferring hawks and doves from voting records," CEPR Discussion Papers 9418, C.E.P.R. Discussion Papers.

    Cited by:

    1. Donato Masciandaro & Paola Profeta & Davide Romelli, 2023. "Women and Governance: Central Bank Boards and Monetary Policy," Trinity Economics Papers tep1123, Trinity College Dublin, Department of Economics.
    2. Federico Favaretto & Donato Masciandaro, 2016. "Too Little, Too Late? Monetary Policymaking Inertia and Psychology: A Behavioral Model," BAFFI CAREFIN Working Papers 1617, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Roman Horvath & Júlia Jonasova, 2014. "Central Banks Voting Records, Financial Crisis and Future Monetary Policy," Working Papers IES 2014/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2014.
    4. Donato Masciandaro & Paola Profeta & Davide Romelli, 2016. "Gender and Monetary Policymaking: Trends and Drivers," BAFFI CAREFIN Working Papers 1512, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Donato Masciandaro & Davide Romelli, 2019. "Behavioral Monetary Policymaking: Economics, Political Economy And Psychology," BAFFI CAREFIN Working Papers 19105, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. McMahon, Michael & Hansen, Stephen, 2013. "First Impressions Matter: Signalling as a Source of Policy Dynamics," CEPR Discussion Papers 9607, C.E.P.R. Discussion Papers.
    7. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2013. "Estimating the Preferences of Central Bankers : An Analysis of Four Voting Records," Discussion Paper 2013-047, Tilburg University, Center for Economic Research.
    8. Emile van Ommeren & Giulia Piccillo, 2019. "The Central Bank Governor and Interest Rate Setting by Committee," CESifo Working Paper Series 7822, CESifo.
    9. Favaretto, Federico & Masciandaro, Donato, 2016. "Doves, hawks and pigeons: Behavioral monetary policy and interest rate inertia," Journal of Financial Stability, Elsevier, vol. 27(C), pages 50-58.
    10. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2015. "Hawks and Doves at the FOMC," Other publications TiSEM c5fab1b1-c69d-4298-a6e0-e, Tilburg University, School of Economics and Management.
    11. D. Masciandaro, 2019. "What Bird Is That? Central Banking And Monetary Policy In The Last Forty Years," BAFFI CAREFIN Working Papers 19127, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    12. Rieder, Kilian, 2022. "Monetary policy decision-making by committee: Why, when and how it can work," European Journal of Political Economy, Elsevier, vol. 72(C).
    13. Masciandaro, Donato, 2022. "Independence, conservatism, and beyond: Monetary policy, central bank governance and central banker preferences (1981–2021)," Journal of International Money and Finance, Elsevier, vol. 122(C).
    14. Donato Masciandaro & Paola Profeta & Davide Romelli, 2020. "Do Women Matter in Monetary Policy Boards?," BAFFI CAREFIN Working Papers 20148, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    15. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2016. "Monetary Policy Committees, Voting Behavior and Ideal Points," BAFFI CAREFIN Working Papers 1628, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  4. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)," Discussion Paper 2012-012, Tilburg University, Center for Economic Research.

    Cited by:

    1. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.

  5. Huang, X. & Mahieu, R.J., 2012. "Performance persistence of Dutch pension plans," Other publications TiSEM 3dba651c-bb31-443f-963c-4, Tilburg University, School of Economics and Management.

    Cited by:

    1. Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
    2. Zia-ur-Rehman Rao & Muhammad Zubair Tauni & Tanveer Ahsan & Muhammad Umar, 2020. "Do mutual funds have consistency in their performance?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(2), pages 139-153, May.
    3. Jianping Lu & Tingting He & Guiwu Wei & Jiang Wu & Cun Wei, 2020. "Cumulative Prospect Theory: Performance Evaluation of Government Purchases of Home-Based Elderly-Care Services Using the Pythagorean 2-tuple Linguistic TODIM Method," IJERPH, MDPI, vol. 17(6), pages 1-21, March.
    4. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 299-312.

  6. Eijffinger, Sylvester & Mahieu, Ronald & Raes, Louis, 2011. "Can the Fed talk the hind legs off the stock market?," CEPR Discussion Papers 8450, C.E.P.R. Discussion Papers.

    Cited by:

    1. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
    2. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
    3. Eijffinger, S.C.W., 2015. "Monetary dialogue 2009–2014 : Looking backward, looking forward," Other publications TiSEM b4d496af-6b5e-4290-9acd-0, Tilburg University, School of Economics and Management.

  7. Eijffinger, Sylvester & Mahieu, Ronald & Raes, Louis, 2010. "The bond yield conundrum: alternative hypotheses and the state of the economy," CEPR Discussion Papers 8063, C.E.P.R. Discussion Papers.

    Cited by:

    1. Goda, Thomas & Lysandrou, Photis & Stewart, Chris, 2013. "The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 113-136.

  8. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations," ERIM Report Series Research in Management ERS-2007-089-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Jorge Antunes & Luis Alberiko Gil-Alana & Rossana Riccardi & Yong Tan & Peter Wanke, 2022. "Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach," Annals of Operations Research, Springer, vol. 313(1), pages 191-229, June.
    2. Tolis, Athanasios I. & Rentizelas, Athanasios A., 2011. "An impact assessment of electricity and emission allowances pricing in optimised expansion planning of power sector portfolios," Applied Energy, Elsevier, vol. 88(11), pages 3791-3806.
    3. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," JRFM, MDPI, vol. 3(1), pages 1-37, December.
    4. Yen-Hsien Lee & Ya-Ling Huang & Chun-Yu Wu, 2014. "Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction," International Journal of Energy Economics and Policy, Econjournals, vol. 4(3), pages 327-336.
    5. Pineda, S. & Conejo, A.J. & Carrión, M., 2010. "Insuring unit failures in electricity markets," Energy Economics, Elsevier, vol. 32(6), pages 1268-1276, November.
    6. Steele Santos, Paulo E. & Coradi Leme, Rafael & Galvão, Leandro, 2012. "On the electrical two-part tariff—The Brazilian perspective," Energy Policy, Elsevier, vol. 40(C), pages 123-130.
    7. deLlano-Paz, Fernando & Calvo-Silvosa, Anxo & Antelo, Susana Iglesias & Soares, Isabel, 2017. "Energy planning and modern portfolio theory: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 77(C), pages 636-651.
    8. Roncoroni, Andrea & Id Brik, Rachid, 2017. "Hedging size risk: Theory and application to the US gas market," Energy Economics, Elsevier, vol. 64(C), pages 415-437.
    9. Pérez Odeh, Rodrigo & Watts, David & Negrete-Pincetic, Matías, 2018. "Portfolio applications in electricity markets review: Private investor and manager perspective trends," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 192-204.
    10. Emanuel Canelas & Tânia Pinto-Varela & Bartosz Sawik, 2020. "Electricity Portfolio Optimization for Large Consumers: Iberian Electricity Market Case Study," Energies, MDPI, vol. 13(9), pages 1-21, May.
    11. Delarue, Erik & De Jonghe, Cedric & Belmans, Ronnie & D'haeseleer, William, 2011. "Applying portfolio theory to the electricity sector: Energy versus power," Energy Economics, Elsevier, vol. 33(1), pages 12-23, January.
    12. Wang, Yong & Li, Lin, 2014. "Time-of-use based electricity cost of manufacturing systems: Modeling and monotonicity analysis," International Journal of Production Economics, Elsevier, vol. 156(C), pages 246-259.
    13. Chen, Hao & Tang, Bao-Jun & Liao, Hua & Wei, Yi-Ming, 2016. "A multi-period power generation planning model incorporating the non-carbon external costs: A case study of China," Applied Energy, Elsevier, vol. 183(C), pages 1333-1345.
    14. Merkel, Erik & Fehrenbach, Daniel & McKenna, Russell & Fichtner, Wolf, 2014. "Modelling decentralised heat supply: An application and methodological extension in TIMES," Energy, Elsevier, vol. 73(C), pages 592-605.
    15. Charwand, Mansour & Gitizadeh, Mohsen & Siano, Pierluigi, 2017. "A new active portfolio risk management for an electricity retailer based on a drawdown risk preference," Energy, Elsevier, vol. 118(C), pages 387-398.
    16. Rentizelas, Athanasios A. & Tolis, Athanasios I. & Tatsiopoulos, Ilias P., 2012. "Investment planning in electricity production under CO2 price uncertainty," International Journal of Production Economics, Elsevier, vol. 140(2), pages 622-629.
    17. Dornan, Matthew & Jotzo, Frank, 2015. "Renewable technologies and risk mitigation in small island developing states: Fiji’s electricity sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 48(C), pages 35-48.
    18. Haitao Xiang & Ying Kong & Wai Kin Victor Chan & Sum Wai Chiang, 2019. "Impact of Price–Quantity Uncertainties and Risk Aversion on Energy Retailer’s Pricing and Hedging Behaviors," Energies, MDPI, vol. 12(17), pages 1-20, August.
    19. Pérez Odeh, Rodrigo & Watts, David & Flores, Yarela, 2018. "Planning in a changing environment: Applications of portfolio optimisation to deal with risk in the electricity sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 3808-3823.

  9. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," ERIM Report Series Research in Management ERS-2007-001-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. HOROBET Alexandra Lavinia & DUMITRESCU Sorin-Adrian & DUMITRESCU Dan-Gabriel, 2009. "Exchange Rates And Volatility In Central And Eastern Europe: A Test For Uncovered Interest Parity," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 552-557, May.
    3. Huisman, Ronald & Huurman, Christian & Mahieu, Ronald, 2007. "Hourly electricity prices in day-ahead markets," Energy Economics, Elsevier, vol. 29(2), pages 240-248, March.
    4. Mark David Witte, 2010. "Asian Exchange Rates during the Credit Crisis: Policies to Avoid Depreciation," Global Economic Review, Taylor & Francis Journals, vol. 39(1), pages 15-24.

  10. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Alfredo Trespalacios Carrasquilla & Juan Fernando Rendón & Javier Orlando Pantoja Robayo, 2012. "Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos," Documentos de Trabajo de Valor Público 10666, Universidad EAFIT.
    2. Roncoroni, Andrea & Id Brik, Rachid, 2017. "Hedging size risk: Theory and application to the US gas market," Energy Economics, Elsevier, vol. 64(C), pages 415-437.

  11. Huisman, R. & Huurman, C. & Mahieu, R.J., 2007. "Hourly Electricity Prices in Day-Ahead Markets," ERIM Report Series Research in Management ERS-2007-002-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Cludius, Johanna & Hermann, Hauke & Matthes, Felix Chr. & Graichen, Verena, 2014. "The merit order effect of wind and photovoltaic electricity generation in Germany 2008–2016: Estimation and distributional implications," Energy Economics, Elsevier, vol. 44(C), pages 302-313.
    2. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2009. "Electricity portfolio management : Optimal peak/off-peak allocations," Other publications TiSEM f880b2e6-c56c-483c-9334-9, Tilburg University, School of Economics and Management.
    3. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
    4. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
    5. Marchetti, Isabella & Rego, Erik Eduardo, 2022. "The impact of hourly pricing for renewable generation projects in Brazil," Renewable Energy, Elsevier, vol. 189(C), pages 601-617.
    6. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
    7. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," JRFM, MDPI, vol. 3(1), pages 1-37, December.
    8. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology, revised 15 Apr 2013.
    9. Sinha, Pankaj & Mathur, Kritika, 2016. "Empirical Analysis of Developments in the Day Ahead Electricity Markets in India," MPRA Paper 72969, University Library of Munich, Germany.
    10. Bartosz Uniejewski & Katarzyna Maciejowska, 2022. "LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling," Papers 2207.04794, arXiv.org.
    11. Radu Porumb & Petru Postolache & George Serițan & Ramona Vatu & Oana Ceaki, 2013. "Load profiles analysis for electricity market," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 1(2), pages 30-38, December.
    12. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
    13. Eran Raviv & Kees E. Bouwman & Dick van Dijk, 2013. "Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices," Tinbergen Institute Discussion Papers 13-068/III, Tinbergen Institute.
    14. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    15. Møller, Niels Framroze & Møller Andersen, Frits, 2015. "An econometric analysis of electricity demand response to price changes at the intra-day horizon: The case of manufacturing industry in West Denmark," MPRA Paper 66178, University Library of Munich, Germany, revised 15 Aug 2015.
    16. Thao Pham & Killian Lemoine, 2020. "Impacts of subsidized renewable electricity generation on spot market prices in Germany : Evidence from a GARCH model with panel data," Working Papers hal-02568268, HAL.
    17. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    18. Christian Pape & Oliver Woll & Christoph Weber, "undated". "Estimating the value of flexibility from real options: On the accuracy of hybrid electricity price models," EWL Working Papers 1804, University of Duisburg-Essen, Chair for Management Science and Energy Economics.
    19. Thomaidis, Nikolaos S. & Biskas, Pandelis N., 2021. "Fundamental pricing laws and long memory effects in the day-ahead power market," Energy Economics, Elsevier, vol. 100(C).
    20. Marie Bessec & Julien Fouquau & Sophie Meritet, 2014. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Working Papers 2014-588, Department of Research, Ipag Business School.
    21. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
    22. Jan Horst Keppler, Sebastien Phan, and Yannick Le Pen, 2016. "The Impacts of Variable Renewable Production and Market Coupling on the Convergence of French and German Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    23. Zorana Božić & Dušan Dobromirov & Jovana Arsić & Mladen Radišić & Beata Ślusarczyk, 2020. "Power Exchange Prices: Comparison of Volatility in European Markets," Energies, MDPI, vol. 13(21), pages 1-15, October.
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    75. Hye Yoon Song & Gyu Sub Lee & Yong Tae Yoon, 2019. "Optimal Operation of Critical Peak Pricing for an Energy Retailer Considering Balancing Costs," Energies, MDPI, vol. 12(24), pages 1-20, December.
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  12. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.

    Cited by:

    1. Frankel, Jeffrey & Poonawala, Jumana, 2009. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," Working Paper Series rwp09-023, Harvard University, John F. Kennedy School of Government.
    2. Macchiarelli, Corrado, 2011. "Bond market co-movements, expected inflation and the equilibrium real exchange rate," Working Paper Series 1405, European Central Bank.
    3. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2014. "Testing uncovered interest rate parity using LIBOR," Applied Economics, Taylor & Francis Journals, vol. 46(30), pages 3708-3723, October.
    4. Macchiarelli, Corrado, 2011. "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series 1404, European Central Bank.
    5. Shehadeh, Ali & Li, Youwei & Moore, Michael, 2016. "The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity," MPRA Paper 71709, University Library of Munich, Germany.
    6. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
    7. Kumar, Satish, 2019. "Does risk premium help uncover the uncovered interest parity failure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).

  13. Huisman, R. & Mahieu, R.J. & Mulder, A., 2007. "Do Exchange Rates Move in Line With Uncovered Interest Parity?," ERIM Report Series Research in Management ERS-2007-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2012. "Measuring the risk premium in uncovered interest parity using the component GARCH-M model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 167-176.
    2. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

  14. Campbell-Pownall, R.A.J. & Koedijk, C.G. & Lothian, J.R. & Mahieu, R.J., 2007. "Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later," ERIM Report Series Research in Management ERS-2007-088-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Mouhamadou Sy, 2012. "Exchange Rate Regimes, Capital Controls and the Pattern of Speculative Capital Flows," PSE Working Papers halshs-00684591, HAL.
    2. Mouhamadou Sy, 2012. "Exchange Rate Regimes, Capital Controls and the Pattern of Speculative Capital Flows," Working Papers halshs-00684591, HAL.
    3. Martin Mandel & Jan Vejmělek, 2021. "Analýza vzájemných vztahů v nekryté úrokové paritě (příklad měnového páru CZK/EUR) [Analysis of Relations in Uncovered Interest Rate Parity: Example of CZK/EUR Exchange Rate]," Politická ekonomie, Prague University of Economics and Business, vol. 2021(3), pages 340-359.

  15. Moerman, G.A. & Mahieu, R.J. & Koedijk, C.G., 2004. "Financial Integration Through Benchmarks: The European Banking Sector," ERIM Report Series Research in Management ERS-2004-110-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Dahl, Drew & Shrieves, Ronald E. & Spivey, Michael F., 2008. "Convergence in the activities of European banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 161-175, April.

  16. Tims, B. & Mahieu, R.J., 2003. "A Range-Based Multivariate Model for Exchange Rate Volatility," ERIM Report Series Research in Management ERS-2003-022-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
    2. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    3. Dellaportas, Petros & Titsias, Michalis K. & Petrova, Katerina & Plataniotis, Anastasios, 2023. "Scalable inference for a full multivariate stochastic volatility model," Journal of Econometrics, Elsevier, vol. 232(2), pages 501-520.
    4. Hallerbach, W.G.P.M. & Spronk, J., 2003. "A Multidimensional Framework for Financial-Economic Decisions," ERIM Report Series Research in Management ERS-2003-021-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    5. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.

  17. Huisman, R. & Mahieu, R.J., 2001. "Regime Jumps in Electricity Prices," ERIM Report Series Research in Management ERS-2001-48-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    Cited by:

    1. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Machin, Stephen & Marie, Olivier & Vujic, Suncica, 2012. "Youth Crime and Education Expansion," IZA Discussion Papers 6582, Institute of Labor Economics (IZA).
    3. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2009. "Electricity portfolio management : Optimal peak/off-peak allocations," Other publications TiSEM f880b2e6-c56c-483c-9334-9, Tilburg University, School of Economics and Management.
    4. Mari, Carlo & Cananà, Lucianna, 2012. "Markov switching of the electricity supply curve and power prices dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1481-1488.
    5. Fanelli, Viviana & Maddalena, Lucia & Musti, Silvana, 2016. "Modelling electricity futures prices using seasonal path-dependent volatility," Applied Energy, Elsevier, vol. 173(C), pages 92-102.
    6. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
    7. Brix, Anne Floor & Lunde, Asger & Wei, Wei, 2018. "A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method," Energy Economics, Elsevier, vol. 72(C), pages 560-582.
    8. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
    9. Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
    10. Kyritsis, Evangelos & Andersson, Jonas & Serletis, Apostolos, 2017. "Electricity prices, large-scale renewable integration, and policy implications," Energy Policy, Elsevier, vol. 101(C), pages 550-560.
    11. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    12. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
    13. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
    14. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
    15. Andr s Oviedo-G mez & Sandra Milena Londo o-Hern ndez & Diego Fernando Manotas-Duque, 2021. "Electricity Price Fundamentals in Hydrothermal Power Generation Markets Using Machine Learning and Quantile Regression Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 66-77.
    16. De Sanctis, Angela & Mari, Carlo, 2007. "Modelling spikes in electricity markets using excitable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 457-467.
    17. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, University Library of Munich, Germany.
    18. Radu Porumb & Petru Postolache & George Serițan & Ramona Vatu & Oana Ceaki, 2013. "Load profiles analysis for electricity market," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 1(2), pages 30-38, December.
    19. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
    20. Jun Maekawa & Koji Shimada, 2019. "A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange," Energies, MDPI, vol. 12(15), pages 1-15, July.
    21. Mari, Carlo, 2006. "Regime-switching characterization of electricity prices dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 552-564.
    22. Borovkova, Svetlana & Schmeck, Maren Diane, 2017. "Electricity price modeling with stochastic time change," Energy Economics, Elsevier, vol. 63(C), pages 51-65.
    23. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    24. Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers 2007.103, Fondazione Eni Enrico Mattei.
    25. Zhang, Lei & Li, Yaoyu, 2017. "Regime-switching based vehicle-to-building operation against electricity price spikes," Energy Economics, Elsevier, vol. 66(C), pages 1-8.
    26. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
    27. Chevallier Julien & Goutte Stéphane, 2017. "On the estimation of regime-switching Lévy models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 3-29, February.
    28. de Menezes, Lilian M. & Houllier, Melanie A. & Tamvakis, Michael, 2016. "Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices," Energy Policy, Elsevier, vol. 88(C), pages 613-627.
    29. Christian Pape & Oliver Woll & Christoph Weber, "undated". "Estimating the value of flexibility from real options: On the accuracy of hybrid electricity price models," EWL Working Papers 1804, University of Duisburg-Essen, Chair for Management Science and Energy Economics.
    30. Mason, Charles F. & A. Wilmot, Neil, 2014. "Jump processes in natural gas markets," Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
    31. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, University Library of Munich, Germany.
    32. Kosater, Peter, 2006. "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics 1/06, University of Cologne, Institute of Econometrics and Statistics.
    33. Moutinho, Victor & Vieira, Joel & Carrizo Moreira, António, 2011. "The crucial relationship among energy commodity prices: Evidence from the Spanish electricity market," Energy Policy, Elsevier, vol. 39(10), pages 5898-5908, October.
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    Cited by:

    1. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.

  19. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.

    Cited by:

    1. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.
    2. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," LIDAM Reprints CORE 1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
    4. Gary Koop & Herman K. van Dijk & Henk Hoek, 1997. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 97-078/4, Tinbergen Institute.
    5. Baştürk, Nalan & Grassi, Stefano & Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2017. "The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 79(i01).
    6. Nalan Basturk & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation," Tinbergen Institute Discussion Papers 12-096/III, Tinbergen Institute.
    7. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    8. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008.
    9. Jacek Kwiatkowski, 2008. "Bayesian Analysis of Polish Inflation Rates Using RCA and GLL Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 129-138.
    10. Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2014. "Rare Shocks, Great Recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1031-1052, November.
    11. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    12. Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 2000. "On the variation of hedging decisions in daily currency risk management," Econometric Institute Research Papers EI 2000-20/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    13. Thomas M. Trimbur, 2006. "Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 247-273.
    14. Jacek Osiewalski & Mateusz Pipien, 2004. "Bayesian Comparison of Bivariate GARCH Processes in the Presence of an Exogenous Variable," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 6, pages 25-36.
    15. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
    16. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
    17. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
    18. Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
    19. Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.

  20. de Jong, F. & Mahieu, R. & Schotman, P. & Leeuwen, I., 1999. "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders," Papers 99-56, Southern California - School of Business Administration.

    Cited by:

    1. Tsang, Kwok Ping & Yang, Zichao, 2021. "The market for bitcoin transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    2. Sapp, Stephen G., 2002. "Price Leadership in the Spot Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 425-448, September.
    3. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Discussion Paper 2002-42, Tilburg University, Center for Economic Research.
    4. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Other publications TiSEM 30951a58-24f2-43f0-9e35-e, Tilburg University, School of Economics and Management.
    5. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," HEC Research Papers Series 737, HEC Paris.

  21. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.

    Cited by:

    1. Tsang, Kwok Ping & Yang, Zichao, 2021. "The market for bitcoin transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    2. Frank De Jong & Peter C. Schotman, 2010. "Price Discovery in Fragmented Markets," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 1-28, Winter.
    3. Sapp, Stephen G., 2002. "Price Leadership in the Spot Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 425-448, September.
    4. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Discussion Paper 2002-42, Tilburg University, Center for Economic Research.
    5. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
    6. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Other publications TiSEM 30951a58-24f2-43f0-9e35-e, Tilburg University, School of Economics and Management.
    8. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," HEC Research Papers Series 737, HEC Paris.

  22. Ronald Mahieu & Peter C. Schotman, 1994. "Stochastic volatility and the distribution of exchange rate news," Discussion Paper / Institute for Empirical Macroeconomics 96, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
    2. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June.
    3. Alexander Philipov & Mark Glickman, 2006. "Factor Multivariate Stochastic Volatility via Wishart Processes," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 311-334.
    4. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
    5. Per Bjarte Solibakke, 2003. "Validity of discrete-time stochastic volatility models in non-synchronous equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 420-448.
    6. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    7. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    8. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1995. "Models and Priors for Multivariate Stochastic Volatility," CIRANO Working Papers 95s-18, CIRANO.
    9. van der Sluis Pieter J., 1997. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(3), pages 1-20, October.
    10. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute.
    11. Kondo, Koji, 1997. "Statistical analysis of foreign exchange rates: application of cointegration model and regime-switching stochastic volatility model," ISU General Staff Papers 1997010108000012997, Iowa State University, Department of Economics.
    12. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.

  23. Ronald Mahieu & Peter Schotman, 1994. "Neglected Common Factors in Exchange Rate Volatility," CEPR Financial Markets Paper 0041, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..

    Cited by:

    1. Michel Beine & Charles Bos & Serge Coulombe, 2009. "Does the Canadian economy suffer from Dutch Disease?," DEM Discussion Paper Series 09-06, Department of Economics at the University of Luxembourg.
    2. Fry-McKibbin, Renée A. & Wanaguru, Sumila, 2013. "Currency intervention: A case study of an emerging market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 25-47.
    3. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.
    4. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
    5. Kenneth W. Clements & Renee Fry, 2006. "Commodity Currencies And Currency Commodities," CAMA Working Papers 2006-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Kunkler, Michael & MacDonald, Ronald, 2018. "Decomposition of the uncovered equity parity correlation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 44-58.
    7. Dungey, M. H., 1999. "Decomposing exchange rate volatility around the Pacific Rim," Journal of Asian Economics, Elsevier, vol. 10(4), pages 525-535.
    8. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
    9. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
    10. Kunkler, Michael & MacDonald, Ronald, 2019. "The multilateral relationship between oil and G10 currencies," Energy Economics, Elsevier, vol. 78(C), pages 444-453.
    11. Kunkler, Michael, 2021. "Currency hedging for single-currency equity portfolios: Does cross-asset risk matter?," Global Finance Journal, Elsevier, vol. 49(C).
    12. Michael Kunkler, 2023. "Synthetic money: Addressing the budget‐constraint issue," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3774-3788, October.
    13. Koedijk, Kees G. & Schotman, Peter C. & Van Dijk, Mathijs A., 1998. "The re-emergence of PPP in the 1990s," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 51-61, February.
    14. Ben Tims & Ronald Mahieu, 2006. "A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 409-424.
    15. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
    16. Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Ms. Renee Fry & Mr. Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 2003/084, International Monetary Fund.
    17. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 211-228, February.
    18. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
    19. Dungey, Mardi, 2004. "Identifying terms of trade effects in real exchange rate movements: evidence from Asia," Journal of Asian Economics, Elsevier, vol. 15(2), pages 217-235, April.
    20. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
    21. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    22. Adrian, Tobias & Etula, Erkko & Groen, Jan J.J., 2011. "Financial amplification of foreign exchange risk premia," European Economic Review, Elsevier, vol. 55(3), pages 354-370, April.
    23. Kunkler, Michael & MacDonald, Ronald, 2015. "Half-lives of currencies and aggregation bias," Economics Letters, Elsevier, vol. 135(C), pages 58-60.
    24. Mulvey, John & Rush, Robert & Sweeney, John, 1998. "Generating scenarios for global financial planning systems," International Journal of Forecasting, Elsevier, vol. 14(2), pages 291-298, June.
    25. Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 2002/074, International Monetary Fund.
    26. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    27. Kunkler, Michael & MacDonald, Ronald, 2016. "Idiosyncratic variation of the US Dollar," Economics Letters, Elsevier, vol. 144(C), pages 7-9.
    28. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    29. Kunkler, Michael, 2022. "Hedging local currency risk with precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    30. Wolff, Christian & Bams, Dennis & Walkowiak, Kim, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers.
    31. Kunkler, Michael, 2021. "The Chinese renminbi's co-movement with the US dollar: Addressing the numéraire issue," Finance Research Letters, Elsevier, vol. 40(C).
    32. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
    33. Ronald Mahieu & Peter C. Schotman, 1994. "Stochastic volatility and the distribution of exchange rate news," Discussion Paper / Institute for Empirical Macroeconomics 96, Federal Reserve Bank of Minneapolis.
    34. Mardi Dungey & Diana Zhumabekova, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
    35. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    36. Tims, B. & Mahieu, R.J., 2003. "A Range-Based Multivariate Model for Exchange Rate Volatility," ERIM Report Series Research in Management ERS-2003-022-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    37. Kondo, Koji, 1997. "Statistical analysis of foreign exchange rates: application of cointegration model and regime-switching stochastic volatility model," ISU General Staff Papers 1997010108000012997, Iowa State University, Department of Economics.
    38. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.

Articles

  1. Eijffinger, Sylvester & Mahieu, Ronald & Raes, Louis, 2018. "Inferring hawks and doves from voting records," European Journal of Political Economy, Elsevier, vol. 51(C), pages 107-120.
    See citations under working paper version above.
  2. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2017. "Can the Fed Talk the Hind Legs Off the Stock Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 53-94, February.
    See citations under working paper version above.
  3. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.

    Cited by:

    1. Angeloantonio Russo & Massimo Mariani & Alessandra Caragnano, 2021. "Exploring the determinants of green bond issuance: Going beyond the long‐lasting debate on performance consequences," Business Strategy and the Environment, Wiley Blackwell, vol. 30(1), pages 38-59, January.
    2. Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016. "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 429-448.

  4. Xiaohong Huang & Ronald Mahieu, 2012. "Performance Persistence of Dutch Pension Funds," De Economist, Springer, vol. 160(1), pages 17-34, March.

    Cited by:

    1. Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
    2. Akshentseva, Ksenya (Акшенцева, Ксения) & Abramov, Alexander (Абрамов, Александр) & Chernovа, Maria (Чернова, Мария), 2015. "Problems of Formation and Evaluation of Strategies for Portfolio Investment of Pension Reserves, Accruals and Collective Investments in Russia [Проблемы Формирования И Оценки Результативности Страт," Published Papers mn24, Russian Presidential Academy of National Economy and Public Administration.
    3. Fernández, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2013. "Rentabilidad de los fondos de pensiones en España. 2001-2011," IESE Research Papers D/1060, IESE Business School.
    4. Zia-ur-Rehman Rao & Muhammad Zubair Tauni & Tanveer Ahsan & Muhammad Umar, 2020. "Do mutual funds have consistency in their performance?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(2), pages 139-153, May.
    5. Jianping Lu & Tingting He & Guiwu Wei & Jiang Wu & Cun Wei, 2020. "Cumulative Prospect Theory: Performance Evaluation of Government Purchases of Home-Based Elderly-Care Services Using the Pythagorean 2-tuple Linguistic TODIM Method," IJERPH, MDPI, vol. 17(6), pages 1-21, March.
    6. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 299-312.

  5. Huisman, Ronald & Mahieu, Ronald & Schlichter, Felix, 2009. "Electricity portfolio management: Optimal peak/off-peak allocations," Energy Economics, Elsevier, vol. 31(1), pages 169-174, January.
    See citations under working paper version above.
  6. Huisman, Ronald & Huurman, Christian & Mahieu, Ronald, 2007. "Hourly electricity prices in day-ahead markets," Energy Economics, Elsevier, vol. 29(2), pages 240-248, March.
    See citations under working paper version above.
  7. Ben Tims & Ronald Mahieu, 2006. "A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 409-424.

    Cited by:

    1. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
    2. Mike K. P. So & C. Y. Choi, 2009. "A threshold factor multivariate stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 712-735.
    3. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    5. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
    6. Manabu Asai, 2013. "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 469-480, August.
    7. Saldaña-Zepeda, Dayna P. & Velasco-Cruz, Ciro & Torres-Preciado, Víctor H., 2020. "Mexican peso-USD exchange rate: A switching linear dynamical model application," International Economics, Elsevier, vol. 162(C), pages 80-91.
    8. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.

  8. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September.
    See citations under working paper version above.
  9. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
    See citations under working paper version above.
  10. De Jong, Frank & Mahieu, Ronald & Schotman, Peter, 1998. "Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 5-27, February.

    Cited by:

    1. Baviera, Roberto & Pasquini, Michele & Serva, Maurizio & Vergni, Davide & Vulpiani, Angelo, 2001. "Correlations and multi-affinity in high frequency financial datasets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 551-557.
    2. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Lyons, Richard K. & Moore, Michael J., 2009. "An information approach to international currencies," Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
    4. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
    5. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    6. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
    7. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
    8. Andersson, Jonas, 2007. "On the estimation of correlations for irregularly spaced time series," Discussion Papers 2007/19, Norwegian School of Economics, Department of Business and Management Science.
    9. Chaiyuth Padungsaksawasdi & Ali Parhizgari, 2017. "Major Currency ETFs and Their Associated Spot and Futures Rates," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-32, December.
    10. Quan-Hoang Vuong, 2004. "Analyses on Gold and US Dollar in Vietnam's Transitional Economy," Working Papers CEB 04-033.RS, ULB -- Universite Libre de Bruxelles.
    11. Mark T. Leung & An-Sing Chen, 2005. "Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(6), pages 403-420.
    12. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper 2008/25, Norges Bank.
    13. Michele Pasquini & Maurizio Serva, 1999. "Indeterminacy in foreign exchange market," Papers cond-mat/9906343, arXiv.org.
    14. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
    15. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    16. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    17. Pasquini, Michele & Serva, Maurizio, 2000. "Indeterminacy in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 228-238.
    18. Wu, Zhen-Xing & Gau, Yin-Feng & Chen, Yu-Lun, 2023. "Price discovery and triangular arbitrage in currency markets," Journal of International Money and Finance, Elsevier, vol. 137(C).
    19. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.

  11. Ronald J. Mahieu & Peter C. Schotman, 1998. "An empirical application of stochastic volatility models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-360.

    Cited by:

    1. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
    2. Salima El Kolei, 2013. "Parametric estimation of hidden stochastic model by contrast minimization and deconvolution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1031-1081, November.
    3. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
    4. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
    5. Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
    6. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
    7. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
    8. Damiano Brigo & Bernard Hanzon, 2008. "On three filtering problems arising in mathematical finance," Papers 0812.4050, arXiv.org.
    9. Hong, Hui & Bian, Zhicun & Chen, Naiwei, 2020. "Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    10. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    11. Ben Tims & Ronald Mahieu, 2006. "A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 409-424.
    12. Audrone Virbickaite & Hedibert F. Lopes & Maria Concepción Ausín & Pedro Galeano, 2018. "Particle Learning for Bayesian Semi-Parametric Stochastic Volatility Model," DEA Working Papers 88, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    13. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
    14. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.
    15. Audrone Virbickaite & Hedibert F. Lopes, 2018. "Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model," DEA Working Papers 89, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    16. Carlos A. Abanto‐Valle & Helio S. Migon & Hedibert F. Lopes, 2010. "Bayesian modeling of financial returns: A relationship between volatility and trading volume," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(2), pages 172-193, March.
    17. Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
    18. Ulm, M. & Hambuckers, J., 2022. "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 125-148.
    19. BAUWENS , Luc & LUBRANO, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE 1569, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    21. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
    22. Salima El Kolei, 2012. "Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model," Papers 1202.2559, arXiv.org, revised Mar 2013.
    23. Shirley J. Huang & Qianqiu Liu & Jun Yu, 2007. "Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 33-56, May.
    24. Anna Pajor, 2009. "A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 71-81, March.
    25. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
    26. Raanju R. Sundararajan & Wagner Barreto‐Souza, 2023. "Student‐t stochastic volatility model with composite likelihood EM‐algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 125-147, January.
    27. Liesenfeld, Roman & Jung, Robert C., 1997. "Stochastic volatility models: Conditional normality versus heavy tailed distributions," Tübinger Diskussionsbeiträge 103, University of Tübingen, School of Business and Economics.
    28. Mark J. Jensen, 2004. "Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 895-922, November.
    29. Hardiyanto, A.V., 2007. "Daily Rp/USD stochastic volatility and the policy implication lesson," Journal of Asian Economics, Elsevier, vol. 18(1), pages 237-256, February.
    30. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    31. López-Herrera, Francisco & Ortiz-Arango, Francisco & Venegas-Martínez, Francisco, 2011. "Modelado de la volatilidad del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores con cambios markovianos de régimen," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Crecimiento y Desarrollo Económico en México, volume 1, chapter 10, pages 153-164, Escuela Superior de Economía, Instituto Politécnico Nacional.
    32. Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010. "Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2883-2898, December.
    33. Felicia Ramona Birău, 2012. "Stochastic Volatility Models For Financial Time Series Analysis," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 472-475, November.
    34. Feldmann, David & Härdle, Wolfgang Karl & Hafner, Christian M. & Hoffmann, Marc & Lepskii, Oleg V. & Tsybakov, Alexandre B., 1998. "Flexible stochastic volatility structures for high frequency financial data," SFB 373 Discussion Papers 1998,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    35. Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April.
    36. Brigo, Damiano & Hanzon, Bernard, 1998. "On some filtering problems arising in mathematical finance," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 53-64, May.
    37. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.

  12. Mahieu, Ronald & Schotman, Peter, 1994. "Neglected common factors in exchange rate volatility," Journal of Empirical Finance, Elsevier, vol. 1(3-4), pages 279-311, July.
    See citations under working paper version above.

Chapters

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Books

  1. Luc Laeven & Mario Draghi & Andreas Dombret & Ignazio Angeloni & Sergio Nicoletti-Altimari & Felix Hufeld & Ludger Schuknecht & Hendrik Ritter & Christian Thimann & Josef A. Korte & Sascha Steffen & E, 2016. "The SSM at 1," SUERF Studies, SUERF - The European Money and Finance Forum, number 2016/3 edited by Jens Ulbrich, Carl-Christoph Hedrich and Morten Balling, May.

    Cited by:

    1. Wilhelmine Naapopye Shigwedha & Teresia Kaulihowa, 2020. "Investigating the Effects of Government Expenditure and Money Supply on Unemployment in Namibia," Journal of Economics and Behavioral Studies, AMH International, vol. 12(4), pages 73-83.
    2. Shambaugh, George E. & Shen, Elaine B., 2018. "A clear advantage: The benefits of transparency to crisis recovery," European Journal of Political Economy, Elsevier, vol. 55(C), pages 391-416.

  2. Howard Davies & David Miles & Forrest Capie & Alex Cukierman & Jakob de Haan & Sylvester Eijffinger & Charles Goodhart & Ronald Mahieu & Aleksandra Maslowska-Jokinen & Anna Matysek-Jedrych & Martin Me, 2016. "Central banking and monetary policy: Which will be the post-crisis new normal? Abstract: Central Bankers are currently facing big challenges in designing and implementing monetary policy, as well as w," SUERF Studies, SUERF - The European Money and Finance Forum, number 2016/4 edited by Ernest Gnan and Donato Masciandaro, May.

    Cited by:

    1. Paul J. J. Welfens, 2019. "Lack of international risk management in BREXIT?," International Economics and Economic Policy, Springer, vol. 16(1), pages 103-160, March.
    2. Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "An econophysics approach to study the effect of BREXIT referendum on European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1175-1182.

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