Details about Peter Vlaar

Access statistics for papers by Peter Vlaar.

Last updated 2009-09-21. Update your information in the RePEc Author Service.

Short-id: pvl3

Working Papers

2008

1. Multivariate Feller conditions in term structure models: Why do(n't) we care?
   DNB Working Papers, Netherlands Central Bank, Research Department
   Also in Quantitative Finance Papers, arXiv.org (2008)

2007

2. Market Valuation, Pension Fund Policy and Contribution Volatility
   DNB Working Papers, Netherlands Central Bank, Research Department
   See also Journal Article in De Economist (2008)
3. Term Structure Modeling for Pension Funds:What to do in Practice?
   DNB Working Papers, Netherlands Central Bank, Research Department View citations

2006

4. Conditional Indexation in Defined Benefit Pension Plans
   DNB Working Papers, Netherlands Central Bank, Research Department View citations

2005

5. Defined Benefit Pension Plans and Regulation
   DNB Working Papers, Netherlands Central Bank, Research Department View citations

2004

6. Forecasting inflation: An art as well as a science!
   Computing in Economics and Finance 2004, Society for Computational Economics
   Also in DNB Staff Reports (discontinued), Netherlands Central Bank (2003) View citations
   See also Journal Article in De Economist (2006)
7. Palmnet: A pension asset and liability model for the Netherlands
   WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations

2003

8. Forecasting Inflation in the Netherlands and the Euro Area
   WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department
9. Modelling time-varying correlations of financial markets
   WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
10. On the Influence of capital Requirements on Competition and Risk taking in Banking
    DNB Staff Reports (discontinued), Netherlands Central Bank
11. On the Strenght of the US Dollar: Can it be Explained by Output Growth?
    DNB Staff Reports (discontinued), Netherlands Central Bank
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (2001) View citations

2002

12. Shocking the Eurozone
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
    See also Journal Article in European Economic Review (2004)
13. What do we Understand about Exchange Rates
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department

2000

14. Capital requirements and competition in banking industry
    Working Paper Series, Federal Reserve Bank of Chicago View citations
15. Capital requirements and competition in the banking industry
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
16. Contagion and capital flows: an empirical analysis of the Asian crisis
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department
17. Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (2000) View citations

1999

18. Currency Crises Models for Emerging Markets
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
19. Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach
    DNB Staff Reports (discontinued), Netherlands Central Bank View citations
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (1998) View citations
20. Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?
    DNB Staff Reports (discontinued), Netherlands Central Bank View citations
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (1999)

1998

21. On the asymptotic distribution of impulse response functions with long run restrictions
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
    See also Journal Article in Econometric Theory (2004)

1997

22. International convergence of capital market interest rates
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
23. The consequences of the dynamics in the term structure of interest rates for risk management by banks: an analysis of value-at-risk models
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department

1993

24. Inflation Differentials and Excess Returns in the European Monetary System
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (1997)

Journal Articles

2008

1. Market Valuation, Pension Fund Policy and Contribution Volatility
   De Economist, 2008, 156, (1), 73-93
   See also Working Paper (2007)

2007

2. Conditional Indexation in Defined Benefit Pension Plans in the Netherlands&ast
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2007, 32, (4), 494-515
3. GDP growth and currency valuation: The case of the dollar
   Journal of International Money and Finance, 2007, 26, (8), 1424-1449

2006

4. Forecasting Inflation: An Art as Well as a Science!
   De Economist, 2006, 154, (1), 19-40 View citations
   See also Working Paper (2004)

2004

5. Monetary transmission in Germany: Lessons for the Euro area
   Empirical Economics, 2004, 29, (2), 383-414 View citations
6. ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
   Econometric Theory, 2004, 20, (05), 891-903
   See also Working Paper (1998)
7. Shocking the eurozone
   European Economic Review, 2004, 48, (1), 109-131 View citations
   See also Working Paper (2002)

2002

8. Innovations in testing the stability of risk measures over time and across models
   Journal of Banking & Finance, 2002, 26, (2-3), 375-380

2000

9. Value at risk models for Dutch bond portfolios
   Journal of Banking & Finance, 2000, 24, (7), 1131-1154 View citations

1997

10. Inflation differentials and excess returns in the European Monetary System
    Journal of International Financial Markets, Institutions and Money, 1997, 7, (1), 1-20
    See also Working Paper (1993)

1994

11. Exchange rate expectations and risk premia in the European Monetary System: 1985–1991
    Open Economies Review, 1994, 5, (4), 347-360

1993

12. The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps
    Journal of Business & Economic Statistics, 1993, 11, (3), 351-60 View citations