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Details about Peter Vlaar

E-mail:
Workplace:Network for Studies on Pensions, Aging and Retirement (NetSPAR), (more information at EDIRC)
Algemene Pensioen Groep (APG)

Access statistics for papers by Peter Vlaar.

Last updated 2014-08-19. Update your information in the RePEc Author Service.

Short-id: pvl3


Jump to Journal Articles

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 Downloads
    Also in Papers, arXiv.org (2008) Downloads

2007

  1. Market Valuation, Pension Fund Policy and Contribution Volatility
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads
    See also Journal Article in De Economist (2008)
  2. Term Structure Modeling for Pension Funds:What to do in Practice?
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (1)

2006

  1. Conditional Indexation in Defined Benefit Pension Plans
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (8)

2005

  1. Defined Benefit Pension Plans and Regulation
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)

2004

  1. Forecasting inflation: An art as well as a science!
    Computing in Economics and Finance 2004, Society for Computational Economics Downloads
    Also in DNB Staff Reports (discontinued), Netherlands Central Bank (2003) Downloads View citations (5)

    See also Journal Article in De Economist (2006)
  2. Palmnet: A pension asset and liability model for the Netherlands
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (10)

2003

  1. Forecasting Inflation in the Netherlands and the Euro Area
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads
  2. Modelling time-varying correlations of financial markets
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (7)
  3. On the Influence of capital Requirements on Competition and Risk taking in Banking
    DNB Staff Reports (discontinued), Netherlands Central Bank Downloads View citations (1)
  4. On the Strenght of the US Dollar: Can it be Explained by Output Growth?
    DNB Staff Reports (discontinued), Netherlands Central Bank View citations (1)
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (2001) Downloads View citations (2)

2002

  1. Shocking the Eurozone
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (5)
    See also Journal Article in European Economic Review (2004)
  2. What do we Understand about Exchange Rates
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads

2000

  1. Capital requirements and competition in banking industry
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (6)
  2. Capital requirements and competition in the banking industry
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (6)
  3. Contagion and capital flows: an empirical analysis of the Asian crisis
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads
  4. Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (5)
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (2000) Downloads View citations (5)

1999

  1. Currency Crises Models for Emerging Markets
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (10)
  2. Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach
    DNB Staff Reports (discontinued), Netherlands Central Bank Downloads View citations (5)
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (1998) View citations (22)
  3. Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?
    DNB Staff Reports (discontinued), Netherlands Central Bank Downloads View citations (14)
    Also in WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department (1999) Downloads View citations (3)

1998

  1. On the asymptotic distribution of impulse response functions with long run restrictions
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations (23)
    See also Journal Article in Econometric Theory (2004)

1997

  1. International convergence of capital market interest rates
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations (4)
  2. 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

  1. 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, 77 Bastwick Street, London EC1V 3PZ. View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (1997)

Journal Articles

2011

  1. An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model
    Applied Mathematical Finance, 2011, 18, (4), 331-352 Downloads

2008

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

2007

  1. 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 Downloads View citations (5)
  2. GDP growth and currency valuation: The case of the dollar
    Journal of International Money and Finance, 2007, 26, (8), 1424-1449 Downloads View citations (1)

2006

  1. Forecasting Inflation: An Art as Well as a Science!
    De Economist, 2006, 154, (1), 19-40 Downloads View citations (11)
    See also Working Paper (2004)

2004

  1. Monetary transmission in Germany: Lessons for the Euro area
    Empirical Economics, 2004, 29, (2), 383-414 Downloads View citations (4)
  2. ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
    Econometric Theory, 2004, 20, (05), 891-903 Downloads View citations (8)
    See also Working Paper (1998)
  3. Shocking the eurozone
    European Economic Review, 2004, 48, (1), 109-131 Downloads View citations (11)
    See also Working Paper (2002)

2002

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

2000

  1. Value at risk models for Dutch bond portfolios
    Journal of Banking & Finance, 2000, 24, (7), 1131-1154 Downloads View citations (19)

1997

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

1996

  1. Methods to determine capital requirements for options
    Banca Nazionale del Lavoro Quarterly Review, 1996, 49, (198), 351-373 Downloads
    Also in BNL Quarterly Review, 1996, 49, (198), 351-373 (1996) Downloads

1994

  1. Exchange rate expectations and risk premia in the European Monetary System: 1985–1991
    Open Economies Review, 1994, 5, (4), 347-360 Downloads View citations (2)

1993

  1. 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 (78)
 
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