Thijs D. Markwat

Robeco Asset Management

Weena 850

3014 DA

Rotterdam

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 11,892

SSRN RANKINGS

Top 11,892

in Total Papers Downloads

3,972

SSRN CITATIONS
Rank 21,394

SSRN RANKINGS

Top 21,394

in Total Papers Citations

2

CROSSREF CITATIONS

32

Scholarly Papers (6)

1.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 1,888 (7,966)

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asset allocation, risk parity, portfolio optimization, Bayesian analysis, Black-Litterman

2.

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

ERIM Report Series Reference No. ERS-2007-096-F&A, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 29 Jan 2008 Last Revised: 19 Oct 2010
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) and APG Asset Management
Downloads 1,065 (19,677)
Citation 1

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emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents

3.

The Rise of Global Stock Market Crash Probabilities

Number of pages: 40 Posted: 15 Jul 2012
Thijs D. Markwat
Robeco Asset Management
Downloads 355 (83,504)

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Crashes, Stock Markets, Copulas, Dependence, Asymmetry

4.

Time Variation in Asset Return Dependence: Strength or Structure?

22nd Australasian Finance and Banking Conference 2009, ERIM Report Series Reference No. ERS-2009-052-F&A
Number of pages: 64 Posted: 25 Aug 2009 Last Revised: 25 Nov 2013
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 279 (108,934)
Citation 9

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Dependence, Stock markets, Copulas, International correlations

5.

Contagion as Domino Effect in Global Stock Markets

ERIM Report Series Reference No. ERS-2008-071-F&A
Number of pages: 50 Posted: 21 Nov 2008
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 198 (153,126)

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contagion, stock market crises, interdependence

6.

Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Tinbergen Institute Discussion Paper 15-140/III
Number of pages: 91 Posted: 06 Jan 2016 Last Revised: 25 Apr 2017
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Robeco Asset Management, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 187 (161,453)

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forecast evaluation, aggregation, Value-at-Risk, model comparison