Ronald Huisman

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

32

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Scholarly Papers (32)

1.

Asset Allocation in a Value-at-Risk Framework

Number of pages: 26 Posted: 03 Aug 1999
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 2,471 (4,924)

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2.

Option Formulas for Mean-Reverting Power Prices with Spikes

Energy Global Research Paper; and ERIM Report Series Reference No. ERS-2002-96-F&A
Number of pages: 32 Posted: 15 Dec 2002
Cyriel de Jong and Ronald Huisman
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,324 (13,839)

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power prices, option pricing, regime switches, formulas

3.

Regime Jumps in Electricity Prices

ERIM Report Series Reference No. ERS-2001-48-F&A
Number of pages: 20 Posted: 04 Jun 2001
Ronald Huisman and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 906 (24,507)

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Electricity prices, mean-reversion, jump modelling, energy finance

4.

Fat Tails in Small Sample

Number of pages: 38 Posted: 06 Jan 1998
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and University of Maastricht - Department of Economics
Downloads 859 (26,432)

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5.
Downloads 523 ( 51,362)

Hourly Electricity Prices in Day-Ahead Markets

ERIM Report Series Reference No. ERS-2007-002-F&A
Number of pages: 16 Posted: 16 Jan 2007
Ronald Huisman, C. Huurman and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 270 (110,347)

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Day-ahead electricity, Electricity prices, Energy markets, Panel models

Hourly Electricity Prices in Day-Ahead Markets

Number of pages: 13 Posted: 21 Jul 2006
Ronald Huisman, C. Huurman and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 253 (118,135)

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energy markets, day-ahead electricity electricity prices, panel models

6.

Measuring Credit Spread Risk: Incorporating the Tails

ERIM Report Series Reference No. ERS-2001-95-F&A
Number of pages: 24 Posted: 20 Jan 2003
Rachel A.J. Pownall and Ronald Huisman
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 492 (55,473)

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Market risk, value-at-risk, extreme value theory, parametric distributions, backtesting

7.

Post-Trade Transparency in Multiple Dealer Financial Markets

Number of pages: 31 Posted: 25 Jun 1997
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Columbia University, School of International and Public Affairs
Downloads 486 (56,366)

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8.

Fat Tails in Power Prices

ERIM Report Series Reference No. ERS-2003-059-F&A
Number of pages: 17 Posted: 15 Oct 2003
Ronald Huisman and C. Huurman
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 447 (62,495)

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electricity price, modelling, spikes, extreme value theory, Monte Carlo simulations, risk management

9.

From Skews to a Skewed-T

ERIM Report Series Reference No. ERS-2000-12-F&A
Number of pages: 14 Posted: 20 Jan 2003
Cyriel de Jong and Ronald Huisman
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 417 (67,916)

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options, implied volatility, implied distribution, student-t, skewness

10.

The Fat-Tailedness of FX Returns

Number of pages: 31 Posted: 22 Mar 1998
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and University of Maastricht - Department of Economics
Downloads 417 (67,916)

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11.

Busts in House Prices

Number of pages: 18 Posted: 10 Jun 1998
Ronald Huisman and Piet M. A. Eichholtz
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 392 (73,153)

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12.

Measuring Credit Spread Risk

ERIM Report Series Reference No. ERS-2002-95-F&A
Number of pages: 24 Posted: 26 Feb 2008
Rachel A.J. Pownall and Ronald Huisman
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 380 (75,836)

Abstract:

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Market Risk, value-at-risk, extreme Value theory, parametric distributions, backtesting

13.

Do Exchange Rates Move in Line With Uncovered Interest Parity?

ERIM Report Series Reference No. ERS-2007-012-F&A
Number of pages: 7 Posted: 02 Jan 2007
Ronald Huisman, Ronald Mahieu and Arjen Mulder
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Center for Economic Research, Econometrics and Finance Group and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 360 (80,794)

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Exchange rates, uncovered interest rate parity, logit models

14.

Hedging Exposure to Electricity Price Risk in a Value at Risk Framework

ERIM Report Series Reference No. ERS-2007-013-F&A
Number of pages: 17 Posted: 07 Mar 2007
Ronald Huisman, Ronald Mahieu and F. Schlichter
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Center for Economic Research, Econometrics and Finance Group and affiliation not provided to SSRN
Downloads 350 (83,446)

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Electricity prices, Forward risk premium, Hedge ratios, Mean variance

15.

Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations

ERIM Report Series Reference No. ERS-2007-089-F&A
Number of pages: 25 Posted: 29 Jan 2008
Ronald Huisman, Ronald Mahieu and Felix Schlichter
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Center for Economic Research, Econometrics and Finance Group and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 332 (88,644)

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optimal electricity sourcing, hedge ratio, forward risk premiums, electricity portfolio management, G11

Revisiting Uncovered Interest Rate Parity: Switching between Uip and the Random Walk

ERIM Report Series Reference No. ERS-2007-001-F&A
Number of pages: 22 Posted: 16 Jan 2007
Ronald Huisman and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 195 (152,671)

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Exchange rate dynamics, Uncovered interest rate parity, Markov regime switching

Revisiting Uncovered Interest Rate Parity: Switching between Uip and the Random Walk

Number of pages: 19 Posted: 03 Jan 2007
Ronald Huisman and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 127 (220,338)

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Exchange rates, Uncovered interest rate parity, Markov switching

17.

Being in Balance: Economic Efficiency in the Dutch Power Market

ERIM Report Series Reference No. ERS-2004-065-F&A
Number of pages: 18 Posted: 28 Sep 2004
Ronald Huisman and C. Huurman
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 247 (121,543)

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deregulated energy markets, economic efficiency, indicators, balancing power market, balancing prices, balancing volumes dynamics

18.

Search Costs: The Neglected Spread Component

Number of pages: 22 Posted: 11 Feb 1998
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and University of California, Berkeley
Downloads 217 (138,161)

Abstract:

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19.

Renewable Energy and Electricity Prices: Indirect Empirical Evidence from Hydro Power

IEB Working Paper N. 2013/024
Number of pages: 22 Posted: 16 Oct 2013
Ronald Huisman, Victoria Stradnic and Sjur Westgaard
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 209 (143,229)

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Energy policies, sustainable energy, market clearing price, supply curve model

20.

Volatility, Investor Uncertainty, and Dispersion

Number of pages: 35 Posted: 24 Dec 2011 Last Revised: 03 Mar 2012
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 207 (144,474)

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volatility, uncertainty, dispersion, survey data

21.

The Influence of Temperature on Spike Probability in Day-Ahead Power Prices

ERIM Report Series Reference No. ERS-2007-039-F&A
Number of pages: 13 Posted: 18 Jun 2007
Ronald Huisman
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 206 (145,113)

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Temperature, Day-ahead power price, Power production, Spike probability

22.

Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices

Tinbergen Institute Discussion Paper No. 10-070/2
Number of pages: 16 Posted: 21 Jul 2010
Mehtap Kilic and Ronald Huisman
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 173 (170,216)

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Electricity, Futures Prices, Forward Risk Premium, Theory of Storage, Expectations Theory

23.

Electricity Futures Prices: Time Varying Sensitivity to Fundamentals

Journal of Energy Markets, 2015, IEB Working Paper N. 2014/21
Number of pages: 29 Posted: 25 Jul 2014
Norwegian University of Science and Technology (NTNU), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 167 (175,532)

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electricity futures prices, prices of fossil fuels, time-varying coefficients, statespace model

24.

The More You See, the Less You Get: Price-Competing Insiders Under Different Trading Mechanisms

Number of pages: 32 Posted: 10 Aug 1998
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 144 (198,616)

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25.

A Comment on: Storage and the Electricity Forward Premium

ERIM Report Series Reference No. ERS-2009-042-F&A
Number of pages: 16 Posted: 28 Jul 2009
Adriaan Bloys van Treslong and Ronald Huisman
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 106 (250,443)

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forward premium, electricity

26.

Fundamentals or Trends? A Long-Term Perspective on House Prices

Applied Economics, Vol. 47, No. 10, 2015
Number of pages: 28 Posted: 05 Jul 2013 Last Revised: 01 Feb 2016
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 99 (262,442)

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27.

Time Variation in European Carbon Pass-Through Rates in Electricity Futures Prices

Number of pages: 20 Posted: 23 Sep 2014
Ronald Huisman and Mehtap Kilic
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 38 (424,912)

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emission rights; pass-through rates; Kalman Filter; electricity futures prices

28.

Costs of Power Supply Flexibility: The Indirect Impact of a Spanish Policy Change

IEB Working Paper N. 2014/34
Number of pages: 19 Posted: 09 Dec 2014
Ronald Huisman and Elisa Trujillo-Baute
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Warwick
Downloads 26 (478,969)

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Sustainable energy policy, power supply flexibility, imbalance costs

29.

VAR Plus: Fat Tails in Financial Risk Management

Working Paper No. 98/51
Posted: 06 Oct 1998
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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30.

Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets

Review of Financial Studies, Vol. 12, No. 1
Posted: 08 Sep 1998
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research, Econometrics and Finance Group

Abstract:

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31.

Continental Factors in International Real Estate Returns

Posted: 08 Jul 1998
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Maastricht University

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32.

The Unbiasedness Hypothesis from a Panel Perspective

Posted: 02 Oct 1996
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and MeesPierson Investment Bank

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