P.O. Box 90153
Tilburg, 5000 LE
Tilburg, North-Brabant 5071HS
Tilburg University - Center for Economic Research, Econometrics and Finance Group
TiasNimbas Business School
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Electricity prices, mean-reversion, jump modelling, energy finance
Credit ratings, predictability, credit rating agencies
Day-ahead electricity, Electricity prices, Energy markets, Panel models
energy markets, day-ahead electricity electricity prices, panel models
bank integration, equity market integration, bank risk, European banks, regime-switching
Exchange rates, uncovered interest rate parity, logit models
Electricity prices, Forward risk premium, Hedge ratios, Mean variance
Performance evaluation, pension funds, industry-wide, z-score, the Netherlands
pension fund investment, performance evaluation, z-score
Exchange rate dynamics, Uncovered interest rate parity, Markov regime switching
Exchange rates, Uncovered interest rate parity, Markov switching
optimal electricity sourcing, hedge ratio, forward risk premiums, electricity portfolio management, G11
Financial contracting, debt renegotiation, optimism
UIP, Irving Fisher, Expectations formation, Dynamic Latent Factor Model, Small-sample problems
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP6294.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Expectations formation, Irving Fisher, small-sample problems, UIP
Monetary policy, Federal Reserve Communication, Credit channel, Business
Monetary policy, Monetary policy announcements, Credit Channel, Business cycle, Stock market
File name: DP8450.
business cycle, credit channel, monetary policy, monetary policy announcements, stock market
Inflation hedging, Basis risk, Cointegration, inflation derivatives
multivariate stochastic volatility models, range-based volatility, exchange rates
UIP, Irving Fisher, Expectations formation, small-sample problems
Voting records, Central Banking, Committees, Ideal points
File name: DP9418.
central banking, ideal points, voting record
Irving Fisher, UIP, PPP, inflation, interest rates, exchange rates
Ideal points, Voting records, Central Banking, NBP, CNB, MNB, Riskbank
File name: DP9602.
Central Banking, Ideal points, Voting records
collective plan, generation, risk sharing, pension plan design
customization, collective pension plan, intergenerational risk sharing, contingent claims
Central Banks; Committees; Transcripts; Ideal Points; FOMC
File name: DP10442.
central banks, committees, FOMC, ideal points, transcripts
File name: DP8063.
affine models, monetary policy, term premium, yield curve
international portfolio choice, spanning, mean-variance, horizon
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