Swinkels, L.A.P., & Andreu, L. (2010), Performance evaluation of Balanced
Pension Plans, Quantitative Finance, forthcoming.
Swinkels, L.A.P., & Van Ommeren, S. (2010), Hoe waarderen we ons pensioen?,
Maandblad voor Accountancy en Bedrijfseconomie, Issue 5,
forthcoming.
2009
Berkelaar, A. & Kouwenberg, R.R.P. (2009).
From boom 'til bust: how loss aversion affects asset prices. Journal of Banking and Finance, 33(6), 1005-1013.
Chulia-Soler, H., Martens, M.P.E. & Dijk, D.J.C. van (2009).
Asymmetric effects of federal funds target rate changes on S&P100 stock
returns, volatilities and correlations. Journal of Banking and
Finance, Accepted.
Dittmann, I., Maug, E. & Schneider, C., (2009). Bankers on the
boards of German firms: What they do, what they are worth, and why
they are (still) there, Review of Finance, forthcoming.
Dittmann, I., (2009). Discussion of "Are CEOs compensated for value
destroying growth in earnings?", Review of Accounting Studies,
forthcoming.
Frijns, B., Thorsten, L. and , Zwinkels, R., (2009). Behavioral
Heterogeneity in Option Prices, Journal of Economic Dynamics and
Control, forthcoming.
Huisman, R., Mahieu, R. and Schlichter, F. (2009). Electricity Portfolio
Management: Optimal Peak / Off-Peak Allocations, Energy Economics,
31, 169-174.
Lewis, V., and Markiewicz, A., (2009). Model
Misspecification, Learning and the Exchange Rate Disconnect Puzzle,
The B.E. Journal of Macroeconomics, 9(1), Article 13.
Maeseneire, W. De (2009). How do Investments Banks Value Initial
Public Offerings (IPOs)? Journal of Business Finance and Accounting,
36(1&2), 130-160.
Markwat, T.D., De Zwart, G.J., Swinkels, L.A.P., &
Van Dijk, D.J.C., (2009). The economic value of fundamental and
technical information in emerging currency markets. Journal of
International Money and Finance, 28(4), 581-604
Martens, M., Bannouh, K., and Van Dijk, D.J.C.,
(2009). Range-based covariance estimation using high-frequency data: The
realized co-range, Journal of Financial Econometrics, 7, 341-372.
Martens, M., Van Dijk, D.J.C., De Pooter, M., (2009). Forecasting S&P
500 volatility: Long memory, level shifts, leverage effects,
day-of-the-week seasonality, and macroeconomic announcements,
International Journal of Forecasting, 25, 282-303.
Rzezniczak, P. & Swinkels, L.A.P. (2009). Performance evaluation of
Polish mutual fund managers. International Journal of Emerging
markets, 4(1), 26-42.
Schauten, M.B.J. & J. Spronk (2009), 'Optimal Capital Structure
Decision in a Multi-Criteria Framework, Solutions for an M&A Case as
Proposed by Practicing Financial Experts', Journal of Financial
Decision Making 5(1), 73-102.
Smit, J.T.J. & Trigeorgis, L. (2009). Valuing Infrastructure
Investment: An Option Games Approach. California Management Review,
51(2), 21-39.
Swinkels, L.A.P., (2009). De echte gevolgen van de ontwikkelingen
in de regelgeving voor pensioenfondsen [in Dutch; The real implications
of regulatory developments for pension funds] VBA Journaal,
25(4), 16-20.
Van Bekkum, S., Pennings, H.P.G. & Smit, J.T.J. (2009). A Real
Options Perspective on R&D Portfolio Diversification. Research Policy,
38(7), 1150-1158.
Verschoor, W.F.C., Jong, E. de & Zwinkels, R. (2009).
A heterogeneous route to the EMS crisis.
Applied Economics Letters,
16, 929-932.
Verschoor, W.F.C., & Muller, A.,
(2009). The Effect of Exchange Rate Variability on U.S. Shareholder
Wealth. Journal of Banking and Finance, 33,
1963-1972.
Verschoor, W.F.C., Zwinkels, R.C.J. & De Jong, E. (2009).
Behavioral Heterogeneity and Shift-Contagion: Evidence from
the Asian Crisis. Journal of Economic Dynamics and Control, 33,
1929-1944.
Zwinkels, R., Beugelsdijk, S., (2009) Gravity equations; workhorse or
Trojan horse in explaining trade and FDI patterns across time and
space?, International Business Review, forthcoming.
2008
Blitz,
D. & Swinkels, L.A.P. (2008).
Fundamental
indexation: an active value strategy in disguise.
Journal
of Asset Management, 9(4),
264-269.
Dittmann, I., Maug, E.G. & Schneider, C. (2008).
How Preussag
became TUI: A clinical study of institutional blockholders and
restructuring in Europe. Financial Management, 37(3), 571-598.
Dittmann, I. &
Ulbricht, N. (2008). Timing and wealth effects of German dual class
stock unifications.
European
Financial Management, 14(1),
163-196.
Gryglewicz, S., Huisman, K.J.M. & Kort, P.M. (2008). Finite Project Life
and Uncertainty Effects on Investments, Journal of Economic Dynamics
and Control, 32, 2191-2213.
Henker,
T. & Martens, M.P.E. (2008).
Price discovery
and liquidity in basket securities.
The
Financial Review, 43(2),
219-239.
Huisman, R. (2008).
The influence of temperature on spike probability in day-ahead power
prices, Energy economics, 30, 2697-2704.
Post, G.T. (2008).
On the Dual Test for SSD Efficiency: With an Application to Momentum
Investment Strategies. European Journal of Operational Research, 185(3),
1564-1573.
Post, G.T.,
Van den Assem, M.J., Baltussen, G. & Thaler, R. (2008). Deal or No Deal?
Decision making under risk in a large-payoff game show, American
Economic Review, 98(1), 38-71
Post,
G.T., Vliet, W.N. van & Levy, H. (2008).
Risk aversion and
skewness preference. Journal of Banking and Finance, 32(7),
1178-1187.
Schauten, M.B.J.
& Blom, J.J.A. (2008). Corporate Governance and the Cost of
Debt, in: Soares, J.O., Pina, J. and M. Catalao-Lopes, New
Developments in Financial Modelling, Cambridge Scholars Publishing,
116-145.
Schauten, M.B.J.,
Swieringa, J. (2008). The Choice of Payment Method in Dutch
Mergers and Acquisitions, The Icfai University Journal of Mergers &
Acquisitions, 5(2), 26-59.
Groot,
W. & Swinkels, L.A.P. (2008).
Incorporating
uncertainty about alternative assets in strategic pension fund asset
allocation. Pensions, 13, 71-77.
Kleimeier, S., Lehnert, H. & Verschoor, W.F.C. (2008).
Measuring
financial contagion using time-aligned data: The importance of the speed
of transmission of shocks. Oxford Bulletin of Economics and
Statistics, 70, 493-508.
Nijman,
E. & Swinkels, L.A.P. (2008).
Stratetic and
tactical allocation to commodities for retirment savings schemes. In F.
Fabozzi, R. Fuss & D.G. Kaiser (Eds.), Handbook of Commodity
Investing (pp. 522-546). New Jersey: Wiley.
Verschoor, W.F.C. & Jongen, R. (2008).
Further evidence
on the rationality of interest rate expectations. Journal of
International Financial Markets, Institutions and Money, 18,
438-448.
Verschoor, W.F.C.
& Muller, A. (2008). The Latin-American Exchange Exposure of U.S.
Multinationals. Journal of Multinational Financial Management, 2008(18),
112-130.
Verschoor, W.F.C.,
Jongen, R. & Wolff, C.C.P. (2008). Foreign Exchange Rate Expectations:
Survey and Synthesis. Journal of Economic Surveys, 22(1),
140-165.
Verschoor, W.F.C.,
Straetmans, S. & C.C.P. Wolff (2008). Extreme US Stock Market
Fluctuations in the Wake of 9/11, Journal of Applied Econometrics,
2008, 23, 17-42.
Zwinkels, R.,
Beugelsdijk, S., Smeets, R., (2008) The impact of horizontal and
vertical FDI on host's country economic growth, International Business
Review, 17(4): 452-472.
2007
Dittmann, I. & Maug, E.G. (2007). Lower salaries and no options? On the
optimal structure of executive pay. The Journal of Finance,
62(1), 303-343.
Huisman, R., Mahieu, R., and Huurman, C. (2007). Hourly electricity
prices in day-ahead markets, Energy economics, 29, 240-248.
Huisman, R., and Huurman, C. (2007). Being in Balance: More Efficiency
Through Liberalization, ICFAI Journal of Environmental Economics,
5 (1), 28-43.
Hyung, N. & Vries, C.G. de (2007). Portfolio selection with heavy tails.
Journal of Empirical Finance, 14(2007), 383-400.
Livingston, M.B., Naranjo, A. & Zhou, L. (2007). Asset Opaqueness and
Split Bond Ratings. Financial Management, 36(3), 49-49.
Livingston, M.B. & Williams, G (2007). Drexel Burnham Lambert's
Bankruptcy and the subsequent decline in underwriter fees. Journal of
Financial Economics, 84(2), 472-501.
Post, G.T. (2007). A Nonparametric Efficiency Estimation in Stochastic
Environments II: noise-to-signal estimation, finite sample performance
and hypothesis testing. Journal of Banking and Finance, 31(7),
2065-2080.
Post, G.T. & Versijp, P.J.P.M. (2007). Multivariate Test for Stochastic
Dominance efficiency of a Given Portfolio. Journal of Financial and
Quantitative Analysis, 42(02), 489-515.
Smit, J.T.J. & Trigeorgis, L. (2007). Strategic Options and Games in
Analyzing Dynamic Technology Investments. Long Range Planning,
40(1), 84-114.
Swinkels, L.A.P. & Tjong-A-Tjoe, L (2007). Can mutual funds time
investment styles? Journal of Asset Management, 8(2007), 123-132.
2006
Dittmann, I. (2006). The optimal use of
fines and imprisonment if governments don't maximize welfare. Journal
of Public Economic Theory, (ISSN 1097-3923), 8(4), 677-695.
Dittmann, I., & Ulbricht, N. (2007). Timing and wealth effects of German
dual class stock unifications. European Financial Management,
(ISSN 1354-7798), Accepted.
Giorgi, U De, & Post, G.T. (2006).
Second
Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM.
Journal of Financial and Quantitative Analysis, (ISSN 0022-1090),
accepted.
Hallerbach, W.G.P.M. (2006).
The
information Ratio as a Performance Metric. Medium for Econometric
Applications, 14(1), 8-11.
Cumperayot, P., Keijzer, T., & Kouwenberg, R.R.P. (2006). Linkages
between extreme stock market and currency returns. Journal of
International Money and Finance, (ISSN 0261-5606), 25(3), 528-550.
Post,
G.T. (2006). A Nonparametric Efficiency Estimation in Stochastic
Environments II: noise-to-signal estimation, finite sample performance
and hypothesis testing. Journal of Banking and Finance, (ISSN
0378-4266), accepted.
Post,
G.T., & Vliet, W.N. van (2006).
Downside
Risk and Asset Pricing. Journal of Banking and Finance, (ISSN
0378-4266), 30(3), 823-849.
Post,
G.T., & Versijp, P.J.P.M. (2006).
Multivariate test for stochastic dominance efficiency of a given
portfolio. Journal of Financial and Quantitative Analysis, (ISSN
0022-1090), accepted.
Post,
G.T. (2006). On the Dual Test for SSD Efficiency: With an
Application to Momentum Investment Strategies. European Journal of
Operational Research, (ISSN 0377-2217), accepted.
Post,
G.T., Vliet, W.N. van, & Levy, J.H. (2006).
Risk
Aversion and Skewness Preference. Journal of Banking and Finance,
(ISSN 0378-4266), accepted.
Pouchkarev, I., Spronk, J., & Trinidad Segovia, J.E. (2006).
Empirical Insight on the Heterogeneity of the Spanish Stock Market.
Estudios de Economia Aplicada, (ISSN ???037470), 24-3(2006), 1089-1106.
Schauten, M.B.J., & Tans, B. (2006).
Cost of Capital of Government's Claims and the Present
Value of Tax Shields. Financieel Forum / Bank- en financiewezen,
2006(2), 86-89.
Stegink,
R., Schauten, M.B.J., & Graaff, G de (2006). De disconteringsvoet ten
behoeve van DCF waarderingen van immateriele activa.
MAB, (ISSN 0924-6304), 7/8, 372-381.
Smit,
J.T.J., & Trigeorgis, L.T. (2006). Real options and games: Competition,
alliances and other applications of valuation and strategy.
Review of
Financial Economics, (ISSN
1058-3300), 15(2), 95-112.
Smit,
J.T.J., & Haanappel, H.T. (2006). Return Distributions of
Stategic Growth Options. Annals of Operations Research, (ISSN
0254-5330).
Smit,
J.T.J., & Trigeorgis, L.T. (2006). Strategic Panning: Valuing and
Managing Portfolios of Real Options. R and D Management, (ISSN
0033-6807), 36(4), 403-420.
Kuipers,
B., Sch? S., & Steenbeek, O.W. (2006). Lage inkomens en jongeren
profiteren van hypotheekrenteaftrek. Economisch-Statistische
Berichten, (ISSN 0013-0583), 91(4491).
Lecq,
S.G. van der, & Steenbeek, O.W. (2006). Solidariteit in Euro's. PM.
Pensioen Magazine, (ISSN 1385-4445), december(12), 14-18.
Swinkels,
L.A.P., & Sluis, P.J. van der (2006).
Return-based style analysis with time-varying exposures. The European
Journal of Finance, (ISSN 1351-847X), 12(6/7), 529-552.
Swinkels,
L.A.P. (2006). Zijn pensioenregelingen gewijzigd als gevolg van de
introductie van IFRS?
MAB,
(ISSN 0924-6304), 562-570.
Swinkels,
L.A.P. (2006). De opmars van beleggen in sectoren gestuit? Technische
en Kwantitatieve Analyse, 12, 39-41.
Swinkels,
L.A.P., & Vliet, W.N. van (2006).
Risk budgeting under shortfall constraints. Investment &
Pensions Europe, (ISSN 1369-3727), August(2006), 7.
2005
Assem, M.J. van den & G.T. Post (2005). Miljoenenjacht:
voer voor economen. Economisch-Statistische Berichten, 90(4476),
538-539.
Berkelaar, A., Gromicho, J., Kouwenberg, R.R.P., & Zhang, S. (2005).
A
Primal-Dual Decomposition Algorithm for Stochastic Convex Programming.
Mathematical Programming, 104, 153-177.
Hallerbach, W.G.P.M. (2005).
An
Alternative Decomposition of the Fisher Index. Economics Letters,
86/2, 147-152.
Hallerbach, W.G.P.M. (2005).
Holding Period Return-Risk Modeling: The Importance of Dividends.
Estudios de Economia
Aplicada,
23/1, 45-65.
Hallerbach, W.G.P.M.,
Spronk, J,
Hundack, C.J.E., & Pouchkarev, I. (2005). Market Dynamics From The
Portfolio Opportunity
Perspective: The DAX
Case.
Zeitschrift fur Betriebswirtschaft,
75(7/8),
739-764.
Hallerbach, W.G.P.M., & Pouchkarev, I. (2005).
A
Relative View on Tracking Error. ERS-2005. (Int. rep. 063-F&A). ERIM.
Kouwenberg, R.R.P., & Mentink, A.A. (2005).
Links
between West, Central and East European Security Markets. In A. Batten
Jonathan & Kearney Colm (Eds.), Emerging European Financial Markets:
Independence and Integration Post-Enlargement. International
Finance Review, volume 6 (pp. 353-381-14).
Elsevier
Publishers. Boekdeel.
Maeseneire, W. De, Smit, J.T.J., & Berg, W.A. van den (2005). De markt
voor Private Equity.
Finance & Control,
april 2005(4), 15-17.
Post,
G.T., & Levy, H.
(2005). Does Risk Seeking Drive Stock Prices? A Stochastic Dominance
Analysis of Aggregate Investor Preferences and Beliefs. The Review of
Financial Studies, 18(Fall 2005), 925-953.
Swinkels, L.A.P.
(2005).
Dutch
insifhts for the Swedish traffic light system. Nordic Region Pension
News, autumn(2005), 42-43.
Vries, C.G. de, Einmahl, J.H.J., Foppen, W.N., & Laseroms, O.W (2005).
"VaR stress test for highly non-linear portfolios". The Journal of
Risk, 6, 382-387.
Vries,
C.G. de, & Hyung, N. (2005).
Portfolio Diversification Effects of Downside Risk. Journal of
Financial Econometrics, 3(1), 107-125.
Watkins,
K., Spronk, J. , & Felix, L.
(2005). Propagacibsp;de
crisis en las empresas: la experience mexicana. Economia Mexicana,
XIV(1), 119-135.
2004
Assem,
M.J. van den, Sar, N.L. van der, Logtestijn, G.J.A.M., Haanen, R.A.J., &
Krol, R.E. (2004). De totstandkoming van de introductieprijs bij IPO's.
Bestuurders over hun beursgang in Nederland. MAB. Maandblad voor
Accountancy en Bedrijfseconomie, mei(5), 223-232.
Berkelaar, A., Post, G.T., & Kouwenberg, R.R.P. (2004).
Optimal portfolio choice under loss aversion.
Review of Economics and Statistics, 86(4), 973-987.
Hallerbach, W.G.P.M.,
&
Menkveld,
A.J. (2004).
Analysing perceived downside risk: the
component value-at-risk framework. European Financial Management,
10(4), 567-591.
Hallerbach, W.G.P.M.,
Ning,
H.,
Soppe,
A.B.M., &
Spronk,
J. (2004).
A framework for managing a portfolio of socially
responsible investments. European Journal of Operational
Research, 153(2), 517-529.
Houweling, P., Mentink, A.A., & Vorst, A.C.F. (2004).
Valuing Euro rating-triggered step-up telecom bonds. Journal of Derivatives, 11(3), 63-80.
Jong, F. de,
Driessen,
J., &
Pelsser,
A.A.J. (2004).
On the information in the interest rate term
structure and option prices. Review of Derivatives Research,
7, 99-127.
Kuosmanen, T., &
Post, G.T. (2004).
Shadow price approach to productivity measurement: a modified
malmquist Index. Journal of Productivity
Analysis, 22(1), 95-121.
Martens, M.P.E., &
Zein,
J. (2004).
Predicting financial volatility: high-frequency time-series forecasts
vis-ŕ-vis implied volatility. Journal of Futures Markets, 24(11),
1005-1028.
Molyneux,
P., Girardone,
C., & Gardener, E.P.M. (2004). Analysing the
determinants of bank efficiency - The case of Italian banks.
Applied Economics, 36(3), 215-227.
Molyneux, P.,
Casu,
B., &
Girardone,
C. (2004).
Productivity in European banking - A comparison of
parametric and non-parametric approaches. Journal of Banking &
Finance, 28(10), 2521-2540.
Molyneux, P., Wilson,
J.O.S., & Goddard, J. (2004). The profitability of European banks - A cross-sectional
and dynamic panel analysis. Manchester School, 72(3),
363-381.
Pietersz, R., &
Pelsser,
A.A.J. (2004).
Risk-managing Bermudan
swaptions in a LIBOR model. Journal
of Derivatives, 11(3), 51-62.
Post, G.T., & Levy,
H. (2004).
Does risk seeking drive asset prices? A stochastic
dominance analysis of aggregate investor preferences. Review
of Financial Studies, 18, 925-953.
Sar,
N.L. van der (2004).
Behavioral finance:
How matters stand.
Journal
of Economic Psychology,
25(3), 425-444.
Smit,
J.T.J. (2004). Waarde en ontwikkeling van buyouts. MAB. Maandblad
voor Accountancy en Bedrijfseconomie, 1/2, 32-41.
Spronk,
J., & Wijst, N. van der (2005).
Financial
modelling
and the quality of corporate reports. European Journal of Operational Research, 161(2),
295-297.
Vries,
C.G. de, Hartmann, P., & Straetmans, S.
(2004). Asset market linkages in crisis periods.
Review of Economics and Statistics, 81, 313-326.
2003
Bergh,
W.M. van den, Berg, J. van den, & Kaymak, U. (2003).
Financial markets analysis by using a probabilistic fuzzy
modelling approach. International Journal
of Approximate Reasoning, 35, 291-305.
Campbell, R. and Huisman, R., (2003) Measuring Credit Spread Risk,
The Journal of Portfolio Management, 29, 4, 121-127.
Cherchye, L., & Post,
G.T. (2003).
Methodological advances in DEA: A survey and an application for the
Dutch electricity sector.
Statistica Neerlandica,
57(4), 410-438.
Gondzio,
J., Kouwenberg, R.R.P., & Vorst, A.C.F. (2003).
Hedging options under transaction costs and stochastic volatility.
Journal of Economic Dynamics & Control, 27(6), 1045-1068.
Hallerbach,
W.G.P.M. (2003). Cross- and auto-correlation effects arising from
averaging: the case of US interest rates and equity duration. Applied
Financial Economics, 4(13), 287-294.
Huisman, R., and Mahieu, R., (2003) Regime jumps in electricity prices,
Energy economics, 25, 425-434.
Huisman, R., and De Jong, C. (2003) Option Pricing for Power Prices with
Spikes, Energy + Power Risk Management, February, 12-16.
Kouwenberg, R.R.P., & Berkelaar, A. (2003).
Retirement saving with contribution payments and labor
income as a benchmark for investments. Journal of Economic Dynamics & Control,
27(6), 1069-1097.
Kuosmanen, T., & Post, G.T. (2003).
Note on: Measuring
economic efficiency with incomplete price information. European
Journal of Operational Research, 144(2), 454-457.
Merkoulova, J.W., &
Roon,
F.A. de (2003).
Hedging long-term commodity risk. Journal
of Futures Markets, 23(2), 109-133.
Merkoulova,
J.W. (2003). Price limits in futures markets: effects on the price
discovery process and volatility. International Review of Financial
Analysis, 12(3), 311-328.
Molyneux, P., &
Casu,
B. (2003).
A comparative study of efficiency in European
banking. Applied Economics, 35(17), 1865-1876.
Post,
G.T., Cherchye, L., & Kuosmanen, T. (2003).
Nonparametric
effiency
estimation in stochastic environments. Operations Research, 50(4), 645-655.
Post, G.T. (2003).
Empirical tests for stochastic dominance efficiency. Journal of
Finance, 58(5), 1905-1931.
Sar,
N.L. van der (2003).
Calendar effects on
the Amsterdam stock exchange.
De
Economist,
151(3), 271-292.
Schauten, M.B.J., & Blom, J.J.A. (2003). De kwaliteit van corporate
governance en de kosten van vreemd vermogen. MAB. Maandblad voor
Accountancy en Bedrijfseconomie, 11, 530-538.
Smit,
J.T.J. (2003).
Infrastructure
investment as a real options game: the case of European airport
expansion. Financial Management, 32(4), 27-57.
Spronk,
J., & Vermeulen, E.M. (2003).
Comparative performance evaluation under uncertainty.
European
Journal of Operational Research,
150(3), 482-495.
2002
Altunbas, Y., Otabek, F., & Molyneux, P. (2002).
Evidence on the bank lending channel in Europe.
Journal of Banking & Finance, 26(11), 2093-2110.
Cherchye, L.,
Kuosmanen,
T., & Post, G.T. (2002). Non-parametric production analysis in
non-competitive environments. International Journal of
Production Economics, 80(3), 279-294.
Kouwenberg, R.R.P.,
Berkelaar,
A., &
Cumperayot,
P. (2002).
The effect of VaR based risk management on
asset prices and the volatility smile. European Financial Management,
8, 139-164.
Kuosmanen, T., &
Post, G.T. (2002).
Quadratic data envelopment analysis.
Journal of the Operational Research Society, 53(11),
1204-1214.
Martens, M.P.E.,
Chang, Y.C., & Taylor, S.J. (2002). A comparison of seasonal adjustment
methods when forecasting intraday volatility. Journal of
Financial Research, 25(2), 283-299.
Martens, M.P.E.
(2002).
Measuring and forecasting S&P 500 index-futures volatility using
high-frequency data. Journal of Futures Markets, 22,
497-518.
Molyneux, P., &
Ibanez, P. (2002).
Financial restructuring in European banking and
foreign expansion. Latin American Research Review, 3(4),
19-57.
Pelsser, A.A.J., &
Kerkhof,
J.C.M.T. (2002).
Observational equivalence of discrete string models
and market models. Journal of Derivatives, 10(1),
55-61.
Post,
G.T., & Kuosmanen, T. (2002).
Nonparametric
efficiency analysis under price uncertainty: a first-order stochastic
dominance approach. Journal of Productivity Analysis, 17(3),
183-200.
Post,
G.T., & Kuosmanen, T. (2002).
Shadow price approach
to total factor productivity measurement: with an application to Finnish
Grass-Silage production. Journal of Productivity Analysis, 22(1),
95-121.
Post,
G.T., Cherchye, L., & Kuosmanen, T. (2002).
Nonparametric production analysis in
non-competitive environments.
International Journal of Production Economics,
80(3), 279-294.
2001
Campbell, R., Huisman, R., and Koedijk, C.G., (2001) Optimal
Portfolio Selection in a Value at Risk Framework, Journal of Banking
and Finance, 25, 1789–1804.
Cherchye, L., Kuosmanen, T., & Post, G.T. (2000).
Alternative treatments of Congestion in DEA.
European Journal of Operational Research, 132(1), 75-80.
Cherchye, L., Kuosmanen, T., & Post, G.T. (2001).
FDH Directional distance functions with an application to European
Commercial banks. Journal of Productivity Analysis, 15,
201-215.
Dekker,
D.J., & Post, G.T. (2001).
A quasi-convace
DEA model with an application for bank branch performance evaluation.
European Journal of Operational Research, 132(2), 54-68.
Houweling, P., Hoek, J., & Kleibergen, F.R. (2001).
The joint estimation of term structures and credit
spreads. Journal of Empirical Finance, 8, 297-323.
Huisman, R., Koedijk, C.G., Kool, C., and Palm, F., (2001) Tail Index
Estimation in Small Samples, Journal of Business and Economic
Statistics, 19, 208-216.
Huisman, R., and Mahieu, R., (2001) Regime Jumps in Power Prices,
Energy + Power Risk Management, September, 32-35.
Kouwenberg, R.R.P., &
Gondzio,
J. (2001).
High performance computing for asset liability
management. Operations Research, 49, 879-891.
Kouwenberg,
R.R.P. (2001). Scenario generation and stochastic programming models for
asset liability management. European Journal of Operational Research,
134(2), 279-292.
Kuosmanen, T., & Post, G.T. (2001).
Measuring economic
efficiency with incomplete price information: with special application
to European commercial banks. European Journal of Operational
Research, 134(1), 44-58.
Martens, M.P.E., &
Poon,
S-H.
(2001). Returns synchronization and daily
correlation dynamics between international stock markets.
Journal of Banking & Finance, 25, 1805-1827.
Martens, M.P.E.
(2001).
Forecasting daily exchange rate volatility using
intraday returns. Journal of International Money and Finance,
20, 1-23.
Molyneux, P.,
Altunbas,
Y., & Gardener, E.P.M. (2001). Efficiency in European Banking.
European Economic Review, 45(10), 1931-1955.
Molyneux, P., Evans,
L., &
Altunbas,
Y. (2001).
Bank ownership and efficiency. Journal of
Money, Credit, & Banking, 33(4), 926-954.
Post, G.T. (2001).
Estimating non-convex production sets using
transconcave DEA. European Journal of Operational Research,
131(1), 132-142.
Post, G.T. (2001).
Performance evaluation in stochastic environment
using mean-variance data envelopment analysis. Operations
Research, 49(2), 281-292.
Post, G.T. (2001).
Transconcave data envelopment analysis.
European Journal of Operational Research, 132(2), 131-146.
Spronk,
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(2001). European Journal of Operational Research,
134(2).
Spronk,
J., & Wijst, N. van der (2001).
Financial
modelling
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Steenbeek, O.W., & Grimmelt, B. (2001). Venture capital deal
structurering in Nederland. MAB. Maandblad voor Accountancy en
Bedrijfseconomie, 75(7/8), 321-335.
Vliet,
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EU.
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2000
Menkveld, A.J., & Vorst, A.C.F. (2000).
A pricing model for
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Research, 100, 211-226.
Mercurio, F., &
Moraleda,
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An analytically tractable interest rate model with
humped volatility. European Journal of Operational Research,
120(1), 205-214.
Molyneux, P.,
Altunbas,
Y., Seth, R., & Liu, H.C. (2000). Efficiency and risk in Japanese banking. Journal of
Banking & Finance, 24(10), 1605-1628.
Oldenkamp, K.P.B., &
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Optimal guaranteed return portfolios and the casino effect.
Operations Research, 48(5), 1-10.
Pelsser, A.A.J., &
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Forward versus spot interest-rate models of the term
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7(3), 9-21.
Post, G.T.,
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What is the economic meaning of FDH?.
Journal of Productivity Analysis,
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Sar,
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Maandblad voor Accountancy en Bedrijfseconomie, 73, 179-191.
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informatieve waarde van kwartaalcijfers. MAB. Maandblad voor
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concurrentie tussen effectenbeurzen. Bank- en Effectenbedrijf,
november, 24-28.
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Nederlandse beursgenoteerde ondernemingen.
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voor Accountancy en
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Options and earnings announcements:
an empirical study of volatility, trading volume, open interest
and liquidity. European Financial Management, 6(2),
149-171.
1999
Flood, M.D.,
Huisman, R., Koedijk, C.G., and Mahieu, R., (1999). Quote Disclosure and
Price Discovery in Multiple Dealer Financial Markets, Review of
Financial Studies, 12, 37-59.
Hallerbach, W.G.P.M., & Grootveld, H. (1999).
Variance versus
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European Journal of Operational Research, 114(2), 304-319.
Huisman, R.,
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Derivatives Week, June 28.
Huisman, R., and
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Uncertainty, in: Pension Fund Risk Management: Financial and
Actuarial Modeling (edited by Gregoriou, Masala, and Miccoci).
Huisman, R.,
(2009). An Introduction to Models for the Energy Market: The Thinking
behind Econometric Techniques and Their Application, RISKbooks, ISBN
978-1906348229.
Huisman, R.,
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Cheltenham United Kingdom: Edward Elgar.
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& Steenbeek, O.W. (2007). Costs and Benefits of Collective Pension
Systems. Heidelberg: Springer Verlag.
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zekerheid: de AOW ziet Abraham. In Jaarboek Overheidsfinancien 2007
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2008
Assem, M.J. van
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Prom./coprom.: Prof.Dr. J. Spronk.
Schaik, D. van
(2008, October 30th). M&A in Japan. An analysis of merger waves and
hostile takeovers. Erasmus University Rotterdam (250 pag.) (Rotterdam:
Erasmus Research Institute of Management (PhD Serie 141)). Prom./coprom.:
Prof.Dr. J. Spronk, Prof.Dr. J.P.M. Groenewegen & Dr. O.W. Steenbeek.
Schauten, M.B.J.
(2008, October 2nd). The Cost of Capital. EUR (200 pag.) (Rotterdam: ERIM).
Prom./coprom.: Prof.Dr. J. Spronk, Prof.Dr. D.J.C. van Dijk.
Baltussen, G. New
Insights into Behavioral Finance. EUR. Prom./coprom.: Prof.Dr. J. Spronk.
2007
Ning, H. (2007,
December 20th). Hierarchical portfolio management. Theory and
applications. Erasmus University Rotterdam (233 pag.) (Rotterdam:
Erasmus Research Institute of Management (PhD Serie 118)). Prom./coprom.:
Prof.Dr. J. Spronk.
Versijp, P.J.P.M.
(2007, May 10th). Advances in the use of Stochastic Dominance in Asset
Pricing. EUR (120 pag.) (Rotterdam: Tinbergen Institute). Prom./coprom.:
Prof.Dr. G.T. Post, H. Levy, Prof.Dr. J. Spronk & Prof.Dr. C.G. de Vries.
2005
Maeseneire, W. De (2005, May 19th).
Essays on Firm
Valuation and Value Appropriation (ERIM Ph.D. Series Research in
Management no. 53).
Erasmus
University Rotterdam, 139 pp. ((co-)Promot.:
Prof.Dr. J.T.J. Smit, S. Manigart, & Prof.Dr. J. Spronk.
Pouchkarev, I. (2005, April 28th).
Performance
Evaluation of Constrained Portfolios (ERIM Ph.D. Series Research in
Management).
Erasmus University Rotterdam, 189 pp.
Prom./coprom.: Prof.Dr. J. Spronk, & Dr. W.G.P.M. Hallerbach.
2004
Vliet,
W.N. van (2004, December 16th).
Downside risk and
empirical asset pricing (ERIM Ph.D. Series
Research in Management no. 49).
Erasmus University Rotterdam, 136 pp. ((co-)Promot.:
prof.dr. G.T. Post).
2003
Houweling,
P. (2003, October 3rd). Empirical studies on
credit markets. Erasmus University Rotterdam, 163 pp. ((co-)Promot.:
Prof.Dr. A.C.F. Vorst).
Merkoulova,
J.W. (2003, October 2nd).
Essays on futures markets and corporate spin-offs.
Erasmus
University Rotterdam, 154 pp. ((co-)Promot.: Prof.Dr. A.C.F. Vorst & Dr.
F.A. de Roon).
2000
Kouwenberg,
R.R.P. (2000, June 15th).
Dynamic asset liability management. Erasmus University
Rotterdam, 169 pp. ((co-)Promot.:
Prof.Dr. A.C.F.
Vorst &
Prof.Dr. J.
Spronk).
1999
Post, G.T. (1999,
December 2nd). Findings the frontier:
methodological advances in data envelopment analysis. Erasmus
University Rotterdam, 179 pp. ((co-)Promot.:
Prof.Dr. J. Spronk).
