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Peter Vlaar

Personal Details

First Name:Peter
Middle Name:
Last Name:Vlaar
Suffix:
RePEc Short-ID:pvl3

Affiliation

(in no particular order)

Algemene Pensioen Groep (APG)

(All Pensions Group) http://www.apg.nl/apgsite/pages/english/
Netherlands, Schiphol

Network for Studies on Pensions, Aging and Retirement (NetSPAR)

Tilburg, Netherlands
http://www.netspar.nl/

+31 134662109
+31 134663066
P.O. Box 90153, 5000 LE Tilburg
RePEc:edi:netspnl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Peter Spreij & Enno Veerman & Peter Vlaar, 2008. "Multivariate Feller conditions in term structure models: Why do(n't) we care?," DNB Working Papers 173, Netherlands Central Bank, Research Department.
  2. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
  3. 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.
  4. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department.
  5. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
  6. 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.
  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.
  8. 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.
  9. 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.
  10. Peter J.G. Vlaar, 2003. "On the Influence of capital Requirements on Competition and Risk taking in Banking," DNB Staff Reports (discontinued) 102, Netherlands Central Bank.
  11. A.H.J. den Reijer & P.J.G. Vlaar, 2003. "Forecasting Inflation in the Netherlands and the Euro Area," WO Research Memoranda (discontinued) 723, Netherlands Central Bank, Research Department.
  12. P.J.G. Vlaar, 2002. "What do we Understand about Exchange Rates," WO Research Memoranda (discontinued) 684, Netherlands Central Bank, Research Department.
  13. P.J.G. Vlaar, 2002. "Shocking the Eurozone," WO Research Memoranda (discontinued) 696, Netherlands Central Bank, Research Department.
  14. L. van Wersch & P.J.G. Vlaar, 2000. "Contagion and capital flows: an empirical analysis of the Asian crisis," WO Research Memoranda (discontinued) 622, Netherlands Central Bank, Research Department.
  15. P.J.G. Vlaar, 2000. "Capital requirements and competition in the banking industry," WO Research Memoranda (discontinued) 634, Netherlands Central Bank, Research Department.
  16. 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.
  17. 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.
  18. 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.
  19. P.J.G. Vlaar, 1999. "Currency Crises Models for Emerging Markets," WO Research Memoranda (discontinued) 595, Netherlands Central Bank, Research Department.
  20. 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.
  21. P.J.G. Vlaar, 1997. "The consequences of the dynamics in the term structure of interest rates for risk management by banks: an analysis of value-at-risk models," WO Research Memoranda (discontinued) 512, Netherlands Central Bank, Research Department.
  22. 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.
  23. Peter J G Vlaar & Franz C Palm, 1993. "Inflation Differentials and Excess Returns in the European Monetary System," CEPR Financial Markets Paper 0038, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..

Articles

  1. Peter Spreij & Enno Veerman & Peter Vlaar, 2011. "An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(4), pages 331-352.
  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.
  3. Vlaar, Peter J.G., 2007. "GDP growth and currency valuation: The case of the dollar," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1424-1449, December.
  4. 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;The Geneva Association, vol. 32(4), pages 494-515, October.
  5. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, March.
  6. Vlaar, Peter J. G., 2004. "Shocking the eurozone," European Economic Review, Elsevier, vol. 48(1), pages 109-131, February.
  7. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
  8. Vlaar, Peter J.G., 2004. "On The Asymptotic Distribution Of Impulse Response Functions With Long-Run Restrictions," Econometric Theory, Cambridge University Press, vol. 20(5), pages 891-903, October.
  9. Vlaar, Peter J. G., 2002. "Innovations in testing the stability of risk measures over time and across models," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 375-380, March.
  10. 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.
  11. Vlaar, P. J. G. & Palm, F. C., 1997. "Inflation differentials and excess returns in the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 1-20, April.
  12. P.J.G. Vlaar, 1996. "Methods to determine capital requirements for options," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(198), pages 351-373.
  13. Stefano Cavaglia & Kees Koedijk & Peter Vlaar, 1994. "Exchange rate expectations and risk premia in the European Monetary System: 1985–1991," Open Economies Review, Springer, vol. 5(4), pages 347-360, October.
  14. 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 351-360, July.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-IFN: International Finance (6) 2003-07-21 2003-07-21 2003-07-21 2003-10-12 2004-03-14 2004-08-16. Author is listed
  2. NEP-EEC: European Economics (4) 2003-06-16 2003-06-16 2006-02-05 2006-02-19
  3. NEP-FMK: Financial Markets (3) 2003-10-12 2006-02-05 2007-02-10
  4. NEP-MAC: Macroeconomics (3) 2004-03-14 2006-02-19 2008-04-29
  5. NEP-CBA: Central Banking (2) 2004-08-16 2008-04-29
  6. NEP-CFN: Corporate Finance (2) 2001-02-08 2003-06-16
  7. NEP-ECM: Econometrics (2) 2003-06-19 2004-03-14
  8. NEP-ETS: Econometric Time Series (2) 2003-10-12 2004-08-16
  9. NEP-MON: Monetary Economics (2) 2003-06-16 2008-04-29
  10. NEP-RMG: Risk Management (2) 2003-10-12 2004-03-14
  11. NEP-CMP: Computational Economics (1) 2008-01-05
  12. NEP-IAS: Insurance Economics (1) 2006-02-19
  13. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2008-01-05
  14. NEP-PBE: Public Economics (1) 2006-02-05

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