Ronald Huisman

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

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

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

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 5,111

SSRN RANKINGS

Top 5,111

in Total Papers Downloads

13,983

SSRN CITATIONS
Rank 6,004

SSRN RANKINGS

Top 6,004

in Total Papers Citations

18

CROSSREF CITATIONS

258

Scholarly Papers (32)

Actions:
Email selected abstracts
1.

Asset Allocation in a Value-at-Risk Framework

Number of pages: 26 Posted: 03 Aug 1999
Ronald Huisman, Kees C. G. Koedijk and Rachel A.J. Pownall
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 2,672 (8,857)
Citation 9

Abstract:

Loading...

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 1,457 (23,013)
Citation 22

Abstract:

Loading...

power prices, option pricing, regime switches, formulas

3.

Regime Jumps in Electricity Prices

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 938 (43,497)
Citation 22

Abstract:

Loading...

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

4.

Fat Tails in Small Sample

Number of pages: 38 Posted: 06 Jan 1998
Ronald Huisman, Kees C. G. Koedijk, Clemens J.M. Kool and Franz C. Palm
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 901 (45,941)
Citation 8

Abstract:

Loading...

5.

Hourly Electricity Prices in Day-Ahead Markets

Downloads 617 (75,775)
Citation 31

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 331 (156,511)
Citation 2

Abstract:

Loading...

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 286 (182,781)
Citation 3

Abstract:

Loading...

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

6.

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 546 (88,249)

Abstract:

Loading...

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
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk, Ronald Mahieu and Ailsa Röell
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 540 (89,507)
Citation 8

Abstract:

Loading...

8.

Measuring Credit Spread Risk: Incorporating the Tails

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 531 (91,419)

Abstract:

Loading...

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

9.

Fat Tails in Power Prices

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 476 (104,435)

Abstract:

Loading...

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

10.

The Fat-Tailedness of FX Returns

Number of pages: 31 Posted: 22 Mar 1998
Ronald Huisman, Kees C. G. Koedijk, Clemens J.M. Kool and Franz C. Palm
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 458 (109,337)
Citation 5

Abstract:

Loading...

11.

From Skews to a Skewed-T

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 449 (111,835)

Abstract:

Loading...

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

12.

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

Downloads 428 (118,341)

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 242 (216,303)

Abstract:

Loading...

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 186 (276,816)
Citation 2

Abstract:

Loading...

Exchange rates, Uncovered interest rate parity, Markov switching

13.

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 409 (124,762)
Citation 1

Abstract:

Loading...

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 395 (129,860)

Abstract:

Loading...

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

15.

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 386 (133,318)

Abstract:

Loading...

Exchange rates, uncovered interest rate parity, logit models

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 378 (136,427)

Abstract:

Loading...

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

17.

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 344 (151,255)
Citation 221

Abstract:

Loading...

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

18.

Being in Balance: Economic Efficiency in the Dutch Power Market

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 287 (183,183)

Abstract:

Loading...

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

19.

Volatility Expectations and Disagreement

Number of pages: 48 Posted: 24 Dec 2011 Last Revised: 22 Apr 2020
Ronald Huisman, Nico van der Sar and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 263 (200,097)
Citation 2

Abstract:

Loading...

volatility forecasting, disagreement, survey data

20.

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
Stein-Erik Fleten, Ronald Huisman, Mehtap Kilic, Enrico Pennings and Sjur Westgaard
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 251 (209,536)
Citation 24

Abstract:

Loading...

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

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 249 (211,179)
Citation 1

Abstract:

Loading...

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

22.

Search Costs: The Neglected Spread Component

Number of pages: 22 Posted: 11 Feb 1998
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk and Richard K. Lyons
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 248 (211,947)
Citation 4

Abstract:

Loading...

23.

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 206 (252,838)
Citation 1

Abstract:

Loading...

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

24.

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

Number of pages: 32 Posted: 10 Aug 1998
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen
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 (EUR) and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 179 (286,629)
Citation 5

Abstract:

Loading...

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
Piet M. A. Eichholtz, Ronald Huisman and Remco C. J. Zwinkels
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 140 (351,969)
Citation 3

Abstract:

Loading...

26.

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 126 (381,484)

Abstract:

Loading...

forward premium, electricity

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 71 (555,040)

Abstract:

Loading...

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 38 (735,153)
Citation 1

Abstract:

Loading...

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
Rachel A.J. Pownall, Kees C. G. Koedijk and Ronald Huisman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Loading...

30.

Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets

Posted: 08 Sep 1998
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk and Ronald Mahieu
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:

Loading...

31.

Continental Factors in International Real Estate Returns

Posted: 08 Jul 1998
Piet M. A. Eichholtz, Ronald Huisman, Kees C. G. Koedijk and Lisa Schuin
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:

Loading...

32.

The Unbiasedness Hypothesis from a Panel Perspective

Posted: 02 Oct 1996
Ronald Huisman, Kees C. G. Koedijk, Clemens J.M. Kool and Francois Nissen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and MeesPierson Investment Bank

Abstract:

Loading...