Stefan Straetmans

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

Faculty of Economics - Finance Department

P.O. Box 616

6200 MD Maastricht

Netherlands

SCHOLARLY PAPERS

7

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CITATIONS
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146

Scholarly Papers (7)

1.
Downloads 609 ( 33,859)
Citation 91

Asset Market Linkages in Crisis Periods

EFA 2001 Barcelona Meetings; ECB Working Paper No. 71
Number of pages: 35 Posted: 05 Jul 2001
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 579 (35,707)
Citation 91

Abstract:

Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements

Asset Market Linkages in Crisis Periods

CEPR Discussion Paper No. 2916
Number of pages: 32 Posted: 04 Sep 2001
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 30 (397,083)
Citation 91
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Abstract:

Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements

Asset Market Linkages in Crisis Periods

Review of Economics and Statistics, Forthcoming
Posted: 22 Aug 2003
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements

2.

Extreme US Stock Market Fluctuations in the Wake of 9/11

AFA 2004 San Diego Meetings
Number of pages: 27 Posted: 08 Dec 2003
University of Maastricht - Limburg Institute of Financial Economics (LIFE), VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance
Downloads 395 (56,718)
Citation 18

Abstract:

Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence

3.
Downloads 312 ( 77,086)
Citation 33

Banking System Stability: A Cross-Atlantic Perspective

ECB Working Paper No. 527
Number of pages: 95 Posted: 19 Oct 2005
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 286 (84,575)
Citation 33

Abstract:

Banking, Systemic Risk, Asymptotic Dependence, Multivariate Extreme Value Theory, Structural Change Tests

Banking System Stability: A Cross-Atlantic Perspective

NBER Working Paper No. w11698
Number of pages: 87 Posted: 20 Dec 2005
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 26 (416,453)
Citation 33

Abstract:

Fundamentals and Joint Currency Crises

ECB Working Paper No. 324
Number of pages: 31 Posted: 19 May 2004
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 107 (207,759)

Abstract:

Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence

Fundamentals and Joint Currency Crises

CEPR Discussion Paper No. 4338
Number of pages: 21 Posted: 12 May 2004
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 11 (501,436)
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Abstract:

Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence

5.

The Effect of Capital Controls on Exchange Rate Risk

Number of pages: 26 Posted: 12 Feb 2009
Stefan Straetmans and Roald J. Versteeg
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of London - Economics, Mathematics and Statistics
Downloads 97 (216,873)
Citation 1

Abstract:

Capital controls, Exchange Rates, Extreme Value Theory, Exchange rate risk, Extreme quantiles

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 38 Posted: 24 Feb 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of London - Economics, Mathematics and Statistics and University of Luxembourg - Luxembourg School of Finance
Downloads 87 (239,447)
Citation 3

Abstract:

Capital controls; Exchange Rates; Interest differentials; Forward Premia

Are Capital Controls in the Foreign Exchange Market Effective?

CEPR Discussion Paper No. DP6727
Number of pages: 39 Posted: 11 Jun 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of London - Economics, Mathematics and Statistics and University of Luxembourg - Luxembourg School of Finance
Downloads 5 (533,015)
Citation 3
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Abstract:

Capital controls, Exchange Rates, Forward premia, Interest differentials, Monetary freedom

7.

Skewness Measures for the Weibull Distribution

Number of pages: 16 Posted: 07 Apr 2015
Cokki Versluis and Stefan Straetmans
Independent and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 3 (213,885)

Abstract:

Skewness, Symmetry, Asymmetry, Ordering, Weibull, Distribution