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

DOWNLOADS
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11,795

CITATIONS
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SSRN RANKINGS

Top 5,336

in Total Papers Citations

97

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 2,356 (4,026)
Citation 7

Abstract:

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 1,228 (12,547)
Citation 8

Abstract:

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 878 (20,419)
Citation 28

Abstract:

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 - Utrecht University School of Economics and University of Maastricht - Department of Economics
Downloads 792 (22,751)
Citation 9

Abstract:

5.

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 474 (47,016)
Citation 2

Abstract:

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

6.
Downloads 471 ( 48,657)
Citation 12

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 242 (104,165)
Citation 12

Abstract:

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 229 (110,223)
Citation 12

Abstract:

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

7.

Post-Trade Transparency in Multiple Dealer Financial Markets

Number of pages: 31 Posted: 25 Jun 1997
Government of the United States of America - Office of Financial Research, 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 435 (49,292)
Citation 4

Abstract:

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 433 (52,525)

Abstract:

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 414 (57,062)
Citation 1

Abstract:

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 - Utrecht University School of Economics and University of Maastricht - Department of Economics
Downloads 386 (60,067)
Citation 4

Abstract:

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 381 (61,736)
Citation 1

Abstract:

12.

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 356 (68,292)

Abstract:

Exchange rates, uncovered interest rate parity, logit models

13.

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 344 (67,385)
Citation 2

Abstract:

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

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 344 (71,102)

Abstract:

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

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 189 (132,984)
Citation 1

Abstract:

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 115 (202,449)
Citation 1

Abstract:

Exchange rates, Uncovered interest rate parity, Markov switching

16.

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 295 (79,618)

Abstract:

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

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 238 (102,897)

Abstract:

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
Government of the United States of America - Office of Financial Research, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and University of California, Berkeley
Downloads 205 (120,024)
Citation 8

Abstract:

19.

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 191 (124,006)
Citation 7

Abstract:

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

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 166 (133,771)

Abstract:

volatility, uncertainty, dispersion, survey data

21.

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 152 (153,720)

Abstract:

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

22.

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

Number of pages: 32 Posted: 10 Aug 1998
Government of the United States of America - Office of Financial Research, 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 132 (174,989)
Citation 2

Abstract:

23.

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 103 (218,332)

Abstract:

forward premium, electricity

24.

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 99 (143,598)
Citation 1

Abstract:

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

25.

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 53 (249,486)

Abstract:

26.

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 42 (179,118)

Abstract:

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

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 19 (393,333)

Abstract:

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 5 (446,093)

Abstract:

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)

Abstract:

30.

Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets

Review of Financial Studies, Vol. 12, No. 1
Posted: 08 Sep 1998
Government of the United States of America - Office of Financial Research, 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:

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

Abstract:

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 - Utrecht University School of Economics and MeesPierson Investment Bank

Abstract: