Ronald Mahieu

Tilburg University - Center for Economic Research, Econometrics and Finance Group

Associate Professor of Financial Econometrics

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

http://center.uvt.nl/staff/mahieu/

TiasNimbas Business School

Professor of Finance and Innovation

Warandelaan 2

Tilburg, North-Brabant 5071HS

Netherlands

SCHOLARLY PAPERS

34

DOWNLOADS
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CITATIONS
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62

Scholarly Papers (34)

1.

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 (20,163)
Citation 28

Abstract:

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

2.

Are the Standards Too Poor? An Empirical Analysis of the Timeliness and Predictability of Credit Rating Changes

Number of pages: 43 Posted: 02 Feb 2005
Paul Robbe and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 806 (22,563)
Citation 4

Abstract:

Credit ratings, predictability, credit rating agencies

3.

Hedging with Interest Rate and Credit Derivatives by Banks

Number of pages: 73 Posted: 19 Mar 2007
Ronald Mahieu and Ying Xu
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 527 (38,818)
Citation 1

Abstract:

4.
Downloads 467 ( 48,531)
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 239 (104,173)
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 228 (109,274)
Citation 12

Abstract:

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

5.

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 (49,187)
Citation 4

Abstract:

6.

Financial Integration Through Benchmarks: The European Banking Sector

ERIM Report Series Reference No. ERS-2004-110-F&A
Number of pages: 33 Posted: 20 Nov 2006
G. A. Moerman, Ronald Mahieu and Kees C. G. Koedijk
AEGON Asset Management, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University - Department of Finance
Downloads 363 (64,193)

Abstract:

bank integration, equity market integration, bank risk, European banks, regime-switching

7.

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 (67,354)

Abstract:

Exchange rates, uncovered interest rate parity, logit models

8.

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 343 (70,361)

Abstract:

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

9.
Downloads 320 ( 76,159)
Citation 5

Performance Persistence of Dutch Pension Funds

Number of pages: 29 Posted: 19 Feb 2008 Last Revised: 19 Aug 2010
Xiaohong Huang and Ronald Mahieu
University of Twente - Department of Finance & Accounting and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 268 (92,295)
Citation 5

Abstract:

Performance evaluation, pension funds, industry-wide, z-score, the Netherlands

Performance Persistence of Dutch Pension Funds

Netspar Discussion Paper No. 09/2010-038
Number of pages: 27 Posted: 06 Dec 2010
Xiaohong Huang and Ronald Mahieu
University of Twente - Department of Finance & Accounting and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 52 (323,728)
Citation 5

Abstract:

pension fund investment, performance evaluation, z-score

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 188 (131,929)
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 114 (201,251)
Citation 1

Abstract:

Exchange rates, Uncovered interest rate parity, Markov switching

11.

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 (78,577)

Abstract:

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

12.

Bank Loan Contract Design through Learning and Renegotiating

Number of pages: 20 Posted: 26 Jan 2005
Ronald Mahieu and Arjen Mulder
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 269 (88,745)

Abstract:

Financial contracting, debt renegotiation, optimism

13.

A Repeat Sales Index for Residential Property in the Netherlands

Number of pages: 37 Posted: 04 Dec 1996
Arjan van Bussel and Ronald Mahieu
De Nationale Investeringsbank NV and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 252 (96,202)
Citation 1

Abstract:

14.
Downloads 125 (186,881)
Citation 2

Irving Fisher, Expectational Errors and the Uip Puzzle

Number of pages: 33 Posted: 17 Mar 2007
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 120 (193,607)
Citation 2

Abstract:

UIP, Irving Fisher, Expectations formation, Dynamic Latent Factor Model, Small-sample problems

Irving Fisher, Expectational Errors, and the UIP Puzzle

CEPR Discussion Paper No. DP6294
Number of pages: 46 Posted: 22 May 2008
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 5 (539,767)
Citation 2

Abstract:

Expectations formation, Irving Fisher, small-sample problems, UIP

Can the Fed Talk the Hind Legs Off the Stock Market?

European Banking Center Discussion Paper No. 2012-006, CentER Discussion Paper Series No. 2012-012
Number of pages: 47 Posted: 16 Jun 2011 Last Revised: 09 Oct 2012
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 86 (244,852)

Abstract:

Monetary policy, Federal Reserve Communication, Credit channel, Business

Can the Fed Talk the Hind Legs Off the Stock Market?

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 40 Posted: 13 Oct 2011
Tilburg University, Tilburg University (CentER) - Department of Economics and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 29 (407,560)

Abstract:

Monetary policy, Monetary policy announcements, Credit Channel, Business cycle, Stock market

Can the Fed Talk the Hind Legs Off the Stock Market?

CEPR Discussion Paper No. DP8450
Number of pages: 43 Posted: 25 Jun 2011
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 3 (550,074)

Abstract:

business cycle, credit channel, monetary policy, monetary policy announcements, stock market

16.

Factor Decomposition and Diversification in European Corporate Bond Markets

Number of pages: 33 Posted: 25 Aug 2010 Last Revised: 12 Sep 2011
Ronald Mahieu and Mary Pieterse-Bloem
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 113 (183,480)
Citation 1

Abstract:

17.
Downloads 84 (207,018)

Basis Risk and Inflation Replication

Number of pages: 44 Posted: 23 Jan 2014
Alexander de Roode and Ronald Mahieu
Robeco Asset Management, Quantitative Investment Research and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 84 (248,553)

Abstract:

Inflation hedging, Basis risk, Cointegration, inflation derivatives

18.

A Range-Based Multivariate Model for Exchange Rate Volatility

ERIM Report Series Reference No. ERS-2003-022-F&A
Number of pages: 33 Posted: 28 Feb 2008
Ben Tims and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 101 (209,857)
Citation 3

Abstract:

multivariate stochastic volatility models, range-based volatility, exchange rates

19.

Irving Fisher, the UIP Puzzle and the 'Peso Problem'

Number of pages: 34 Posted: 05 Mar 2007
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 82 (231,040)

Abstract:

UIP, Irving Fisher, Expectations formation, small-sample problems

Inferring Hawks and Doves from Voting Records

European Banking Center Discussion Paper No. 2013-004, CentER Discussion Paper Series No. 2013-024
Number of pages: 31 Posted: 09 Apr 2013 Last Revised: 24 Jun 2013
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 77 (262,202)

Abstract:

Voting records, Central Banking, Committees, Ideal points

Inferring Hawks and Doves from Voting Records

CEPR Discussion Paper No. DP9418
Number of pages: 46 Posted: 10 Apr 2013
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 3 (550,074)

Abstract:

central banking, ideal points, voting record

21.

Irving Fisher and the Uip Puzzle: Meeting the Expectations a Century Later

ERIM Report Series Reference No. ERS-2007-088-F&A
Number of pages: 48 Posted: 29 Jan 2008
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 74 (261,818)

Abstract:

Irving Fisher, UIP, PPP, inflation, interest rates, exchange rates

Estimating the Preferences of Central Bankers: An Analysis of Four Voting Records

European Banking Center Discussion Paper No. 2013-009, CentER Discussion Paper Series No. 2013-047
Number of pages: 26 Posted: 30 Aug 2013
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 35 (381,528)

Abstract:

Ideal points, Voting records, Central Banking, NBP, CNB, MNB, Riskbank

Estimating the Preferences of Central Bankers: An Analysis of Four Voting Records

CEPR Discussion Paper No. DP9602
Number of pages: 28 Posted: 20 Aug 2013
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 0

Abstract:

Central Banking, Ideal points, Voting records

23.

Generational Pension Plan Designs

Netspar Discussion Paper No. 10/2010-071
Number of pages: 27 Posted: 06 Dec 2010
Xiaohong Huang and Ronald Mahieu
University of Twente - Department of Finance & Accounting and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 28 (380,699)

Abstract:

collective plan, generation, risk sharing, pension plan design

24.

Guaranteeing Benefits in Generational Pension Plans

Netspar Discussion Paper No. 01/2010-037
Number of pages: 37 Posted: 14 Nov 2010 Last Revised: 22 Aug 2011
Xiaohong Huang and Ronald Mahieu
University of Twente - Department of Finance & Accounting and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 25 (397,139)

Abstract:

customization, collective pension plan, intergenerational risk sharing, contingent claims

25.
Downloads 16 (461,678)

Hawks and Doves at the FOMC

CentER Discussion Paper Series No. 2015-013, European Banking Center Discussion Paper Series No. 2015-003
Number of pages: 25 Posted: 28 Feb 2015
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 16 (479,182)

Abstract:

Central Banks; Committees; Transcripts; Ideal Points; FOMC

Hawks and Doves at the FOMC

CEPR Discussion Paper No. DP10442
Number of pages: 26 Posted: 24 Feb 2015
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 0

Abstract:

central banks, committees, FOMC, ideal points, transcripts

26.

The Bond Yield Conundrum: Alternative Hypotheses and the State of the Economy

CEPR Discussion Paper No. DP8063
Number of pages: 36 Posted: 22 Nov 2010
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 8 (502,132)

Abstract:

affine models, monetary policy, term premium, yield curve

27.

Monetary Policy Committees, Voting Behavior and Ideal Points

BAFFI CAREFIN Centre Research Paper No. 2016-28
Number of pages: 12 Posted: 30 Jul 2016
Tilburg University (CentER) - Department of Economics, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University
Downloads 0 (369,464)

Abstract:

28.

The Effects of Shifting Dividend Regimes: An International Examination of the REIT Effect

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010
Dirk Brounen and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University - Center for Economic Research, Econometrics and Finance Group

Abstract:

29.

International Portfolio Choice: A Spanning Approach

Posted: 03 Apr 2003
Ben Tims and Ronald Mahieu
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Tilburg University - Center for Economic Research, Econometrics and Finance Group

Abstract:

international portfolio choice, spanning, mean-variance, horizon

30.

Stochastic Volatility and the Distribution of Exchange Rate News

Posted: 14 Sep 1999
Ronald Mahieu and Peter C. Schotman
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

31.

Real Estate Diversification: By Country or by Continent?

Posted: 13 Sep 1999
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Tilburg University - Center for Economic Research, Econometrics and Finance Group and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

32.

International Arbitrage Pricing With Unrestricted Currency Factors

LIFE Working Paper No. 94-21
Posted: 02 Sep 1999
Piet M. A. Eichholtz and Ronald Mahieu
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Tilburg University - Center for Economic Research, Econometrics and Finance Group

Abstract:

33.

Hedging Foreign Currency Exposure: Do Fat Tails Matter?

Posted: 20 Dec 1998
Ronald Mahieu and Kees C. G. Koedijk
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University - Department of Finance

Abstract:

34.

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: