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Details about Stefan T.M. Straetmans

Workplace:Graduate School of Business and Economics (GSBE), School of Business and Economics, Maastricht University, (more information at EDIRC)

Access statistics for papers by Stefan T.M. Straetmans.

Last updated 2016-03-30. Update your information in the RePEc Author Service.

Short-id: pst399


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Working Papers

2014

  1. Disentangling economic recessions and depressions
    Working Papers, Department of Research, Ipag Business School Downloads View citations (16)
    Also in Discussion Papers, Deutsche Bundesbank, Research Centre (2013) Downloads

2013

  1. Bank lending strategy, credit scoring and financial crises
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads

2012

  1. Fat tails in small samples
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
  2. Predicting and Capitalizing on Stock Market Bears in the U.S
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (3)

2010

  1. Does the euro dominate Central and Eastern European money markets?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2013)

2009

  1. Comovements of Different Asset Classes During Market Stress
    Working Papers, Utrecht School of Economics Downloads
    See also Journal Article in Pacific Economic Review (2010)

2008

  1. Are Capital Controls in the Foreign Exchange Market Effective?
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads

    See also Journal Article in Journal of International Money and Finance (2013)

2005

  1. Banking System Stability: A Cross-Atlantic Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)
    See also Chapter (2007)

2004

  1. Fundamentals and Joint Currency Crises
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)

2001

  1. Asset Market Linkages in Crisis Periods
    Working Papers, Quebec a Montreal - Recherche en gestion View citations (21)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (68)
    Proceedings, Federal Reserve Bank of Chicago (2001) View citations (8)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) Downloads View citations (27)
    Working Paper Series, European Central Bank (2001) Downloads View citations (21)

    See also Journal Article in The Review of Economics and Statistics (2004)
  2. Tail Behavior of Credit Loss Distributions for General Latent Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Applied Mathematical Finance (2003)

2000

  1. Extremal spillovers in financial markets
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1998

  1. Time varying forex market inefficiency
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1997

  1. Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

Journal Articles

2015

  1. Predicting exchange rate cycles utilizing risk factors
    Journal of Empirical Finance, 2015, 34, (C), 112-130 Downloads View citations (1)
  2. Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis
    Journal of International Money and Finance, 2015, 58, (C), 191-223 Downloads View citations (2)

2013

  1. Are capital controls in the foreign exchange market effective?
    Journal of International Money and Finance, 2013, 35, (C), 36-53 Downloads View citations (5)
    See also Working Paper (2008)
  2. Does the euro dominate Central and Eastern European money markets?
    Journal of International Money and Finance, 2013, 32, (C), 700-718 Downloads
    See also Working Paper (2010)
  3. Long-term asset tail risks in developed and emerging markets
    Journal of Banking & Finance, 2013, 37, (6), 1832-1844 Downloads View citations (10)

2012

  1. The Amsterdam rent index: The housing market and the economy, 1550–1850
    Journal of Housing Economics, 2012, 21, (4), 269-282 Downloads View citations (6)

2010

  1. COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS
    Pacific Economic Review, 2010, 15, (3), 385-400 Downloads View citations (6)
    See also Working Paper (2009)
  2. Heavy tails and currency crises
    Journal of Empirical Finance, 2010, 17, (2), 241-254 Downloads View citations (13)

2009

  1. Multivariate Business Cycle Synchronization in Small Samples
    Oxford Bulletin of Economics and Statistics, 2009, 71, (5), 715-737 Downloads View citations (5)

2008

  1. Extreme US stock market fluctuations in the wake of 9|11
    Journal of Applied Econometrics, 2008, 23, (1), 17-42 Downloads View citations (26)
  2. On measuring synchronization of bulls and bears: The case of East Asia
    Journal of Banking & Finance, 2008, 32, (6), 1022-1035 Downloads View citations (61)

2006

  1. Testing for multiple regimes in the tail behavior of emerging currency returns
    Journal of International Money and Finance, 2006, 25, (7), 1187-1205 Downloads View citations (14)

2004

  1. Asset Market Linkages in Crisis Periods
    The Review of Economics and Statistics, 2004, 86, (1), 313-326 Downloads View citations (191)
    See also Working Paper (2001)

2003

  1. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 Downloads View citations (4)
    See also Working Paper (2001)

2002

  1. Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664]
    Journal of Banking & Finance, 2002, 26, (1), 201-202 Downloads

2001

  1. An analytic approach to credit risk of large corporate bond and loan portfolios
    Journal of Banking & Finance, 2001, 25, (9), 1635-1664 Downloads View citations (40)

1999

  1. Le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes
    Économie et Prévision, 1999, 140, (4), 77-90 Downloads

Chapters

2007

  1. Banking System Stability. A Cross-Atlantic Perspective
    A chapter in The Risks of Financial Institutions, 2007, pp 133-192 Downloads View citations (5)
    See also Working Paper (2005)
 
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