Bart F. Diris

Erasmus University Rotterdam (EUR) - Department of Econometrics

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

6

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1,847

SSRN CITATIONS

1

CROSSREF CITATIONS

8

Scholarly Papers (6)

1.

Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation

Number of pages: 41 Posted: 14 Jul 2009 Last Revised: 06 Feb 2014
Bart F. Diris, Franz C. Palm and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Maastricht - Department of Economics and Maastricht University - Department of Finance
Downloads 649 (39,846)
Citation 5

Abstract:

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Strategic asset allocation, out-of-sample analysis

2.

Firm Characteristics, Industry, Horizon and Time Effects, in the Cross-Section of Expected Stock Returns

University of Maastricht, Limburg Institute of Financial Economics Working Paper No. 03-008
Number of pages: 33 Posted: 06 Mar 2005 Last Revised: 04 Aug 2009
Maastricht University, Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Maastricht, Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance
Downloads 375 (79,099)

Abstract:

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Stock returns, Forecasting, Panel data, Industry effects, Individual effects, Time effects

3.

Model Uncertainty for Long-Term Investors

Number of pages: 55 Posted: 18 Mar 2011 Last Revised: 19 Sep 2014
Bart F. Diris
Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 365 (81,647)
Citation 4

Abstract:

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Model uncertainty, strategic asset allocation, term-structure of risk

4.

Cyclicality in Losses on Bank Loans

Tinbergen Institute Discussion Paper 15-050/III
Number of pages: 68 Posted: 05 May 2015 Last Revised: 07 Oct 2017
Bart Keijsers, Bart F. Diris and Erik Kole
University of Amsterdam - Amsterdam School of Economics (ASE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 221 (139,325)

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Loss-given-default, default rates, credit risk, capital requirements, dynamic factor models

5.

Online Appendix for 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation'

Number of pages: 32 Posted: 17 Dec 2011 Last Revised: 06 Feb 2014
Bart F. Diris, Franz C. Palm and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Maastricht - Department of Economics and Maastricht University - Department of Finance
Downloads 168 (179,117)

Abstract:

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6.

The Impact of Model Instability on Long-Term Investors

Number of pages: 46 Posted: 15 Aug 2014
Bart F. Diris
Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 69 (334,563)

Abstract:

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strategic asset allocation, Bayesian MCMC techniques, state space models, stochastic volatility, time-varying parameters