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Tilburg University - Department of Finance
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Credit spread, liquidity premium
Market microstructure, Fragmentation, Dark trading, Liquidity
Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle
CDS, Liquidity, Liquidity Risk
Housing futures, portfolio choice, mortgage
Insider trading, Financial market regulation
insider trading, financial market regulation
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Bonds markets, microstructure, order flow
Dividend futures, dividend swaps, dividend derivatives, term structure, state space model
Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions
fair value, value-based generational accounting, intergenerational risk sharing
Credit risk, Liquidity risk, Corporate bonds, Mutually exciting processes, Jumps, MCMC
Investments, illiquid assets
Labor and Finance, Horizon Effects, Relative Wealth Preferences, Cross-Section of Stock Returns
Bonds markets, Microstructure, Yield Differentials, Hedging, Kalman Filter
asset liability management, liability-driven investment, robustness, uncertainty, ambiguity
robustness, ambiguity, bond premium puzzle, stochastic subjective discount rate, dynamic asset allocation
incomplete markets, pension valuation, wage risk
Abnormal return measures, Endogenous events, Event studies, Initial public offerings, Long-run underperformance
public debt, auctions, yield movements, euro-zone, crisis, Italy, Germany, event study, primary dealers, bid-to-cover ratio
auctions, bid-to-cover ratio, crisis, euro-zone, event study, Germany, Italy, primary dealers, public debt, yield movements
government bond, order imbalance, euro, international
Mutual funds, Performance, Private ownership
Flight-to-Safety, Causality Extraction, Textual Analysis
Index providers, benchmarks, financial integration, passive asset management
corporate bonds, emerging markets, liquidity
Hedging, Factor Mimicking Portfolios, Inflation Risk
eurozone, SMP, crisis, sovereign debt, realized covariances, spillovers
crisis, Eurozone, realized covariances, SMP, sovereign debt, spillovers
Emerging markets, asset pricing, market integration
Privatization, financial market development, international finance
High-frequency data, microstructure, structural time series models
C32, F31, High-frequency data, microstructure, structural time-series models
Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing
dark trading, fragmentation, liquidity, market microstructure
co-movement, Euro-intelligence, GIIPS, interest rate spreads, new variables, non-GIIPS, spill-overs
Term structure models, interest rate derivatives, lognormal pricing models, Black formula
