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Marc J. K. de Ceuster

University of Antwerp - Faculty of Applied Economics - City Campus

Office B-337

Prinsstraat 13

Antwerp, Antwerp 2000

Belgium

http://www.ua.ac.be/marc.deceuster

  • University of Antwerp - Faculty of Applied Economics - City Campus

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SCHOLARLY PAPERS

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61

Scholarly Papers (11)

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1.

Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach

International Review of Economics & Finance, Forthcoming
Number of pages: 44 Posted: 08 May 2012 Last Revised: 16 Feb 2015
Jan Annaert, Anouk G. P. Claes, Anouk G. P. Claes, Marc J. K. de Ceuster and Hairui Zhang
University of Antwerp Department of Accounting & Finance, University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 6,450 (2,963)
Citation 10

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Smoothed Bootstrap, Ridge Regression, Nelson-Siegel, Spot Rates

2.

The Estimation of Svensson Model Term Structures and Their Volatilities

Number of pages: 33 Posted: 08 May 2012
Jan Annaert, Anouk G. P. Claes, Anouk G. P. Claes, Marc J. K. de Ceuster and Hairui Zhang
University of Antwerp Department of Accounting & Finance, University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 601 (111,757)
Citation 1

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Term Structure, Nelson-Siegel Model, Svensson Model, Ridge Regression

3.

What Determines Euro Area Bank CDS Spreads?

National Bank of Belgium Working Paper No. 190
Number of pages: 38 Posted: 23 Sep 2010 Last Revised: 27 Sep 2010
Jan Annaert, Marc J. K. de Ceuster, Patrick Van Roy and Cristina Vespro
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus, National Bank of Belgium and affiliation not provided to SSRN
Downloads 464 (153,814)
Citation 30

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credit default spreads, credit risk, financial crisis, financial sector, liquidity premia, structural model

4.

Are Extreme Returns Priced in the Stock Market? European Evidence

Number of pages: 19 Posted: 14 Feb 2013
Jan Annaert, Marc J. K. de Ceuster and Kurt Verstegen
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp - Faculty of Applied Economics
Downloads 322 (233,602)
Citation 6

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extreme returns, cross-section of expected returns, lottery-like payoffs, skewness, idiosyncratic volatility puzzle

5.

Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909

Downloads 301 (251,365)
Citation 10

Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909

Number of pages: 43 Posted: 08 Feb 2007
Wouter Van Overfelt, Jan Annaert, Marc J. K. de Ceuster and Marc Deloof
affiliation not provided to SSRN, University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp
Downloads 301 (248,979)
Citation 10

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Universal Banking, Company Performance, Company Risk, Director Interlocks

Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909

Explorations in Economic History, Forthcoming
Posted: 17 Sep 2008
Wouter Van Overfelt, Jan Annaert, Marc J. K. de Ceuster and Marc Deloof
affiliation not provided to SSRN, University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp

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Company Performance, Company Risk, Universal Banks, Director Interlocks

6.

Is Financial Market Volatility Informative to Predict Recessions?

DNB Staff Report No. 93
Number of pages: 31 Posted: 06 Sep 2003
Nico Valckx, Marc J. K. de Ceuster and Jan Annaert
International Monetary Fund (IMF), University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp Department of Accounting & Finance
Downloads 294 (257,640)
Citation 2

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Business cycle forecasting, stock market volatility, interest rate volatility, probit

7.

Inter-Temporal Stability of the European Credit Spread Co-Movement Structure

University of Antwerp Working Paper
Number of pages: 19 Posted: 02 Jan 2004
Marc J. K. de Ceuster, Jan Annaert, Anouk G. P. Claes and Anouk G. P. Claes
University of Antwerp - Faculty of Applied Economics - City Campus, University of Antwerp Department of Accounting & Finance and University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels
Downloads 275 (276,257)

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credit spreads, diversification, correlations, corporate bonds

8.

Financial Market Volatility: Informative in Predicting Recessions

Bank of Finland Discussion Paper No. 14/2001
Number of pages: 25 Posted: 23 Jul 2002
Jan Annaert, Marc J. K. de Ceuster and Nico Valckx
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and International Monetary Fund (IMF)
Downloads 264 (288,370)
Citation 2

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business cycles, stock market volatility, interest rate volatility, probit model

9.

Moment Condition Failure Australian Evidence

Number of pages: 16 Posted: 05 May 2001
Jan Annaert, Marc J. K. de Ceuster and Allan Hodgson
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Queensland - Faculty of Business, Economics and Law
Downloads 130 (558,171)

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Sum stable distributions, Hill-estimator, moments

10.

Did Federal Funds Target Rate Changes Affect the Market Value of Insurance Companies?

Number of pages: 22 Posted: 23 Nov 2012
Marc J. K. de Ceuster, Jie Li and Hairui Zhang
University of Antwerp - Faculty of Applied Economics - City Campus, University of Antwerp - Antwerp Management School and Universiteit Antwerpen
Downloads 76 (830,555)

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Interest rate shocks, Insurance companies, Federal funds target rate changes

11.

A Survey into the Use of Derivatives by Large Non-Financial Firms Operating in Belgium

Posted: 30 May 2000
Marc J. K. de Ceuster, Eddy Laveren and Jozef Lodewyckx
University of Antwerp - Faculty of Applied Economics - City Campus, University of Antwerp and University of Antwerp

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Derivatives, Risk Management, Hedging