Details about Peter Vlaar

Access statistics for papers by Peter Vlaar.

Last updated 2014-08-19. 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?
   Papers, arXiv.org

2004

2. Forecasting inflation: An art as well as a science!
   Computing in Economics and Finance 2004, Society for Computational Economics
   See also Journal Article Forecasting Inflation: An Art as Well as a Science!, De Economist, Springer (2006) View citations (14) (2006)

2000

3. Capital requirements and competition in banking industry
   Working Paper Series, Federal Reserve Bank of Chicago View citations (8)
4. Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (8)

1993

5. 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, 33 Great Sutton Street, London EC1V 0DX. View citations (1)
   See also Journal Article Inflation differentials and excess returns in the European Monetary System, Journal of International Financial Markets, Institutions and Money, Elsevier (1997) View citations (1) (1997)

Journal Articles

2011

1. An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model
   Applied Mathematical Finance, 2011, 18, (4), 331-352 View citations (2)

2008

2. Market Valuation, Pension Fund Policy and Contribution Volatility
   De Economist, 2008, 156, (1), 73-93 View citations (1)

2007

3. 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 View citations (6)
4. GDP growth and currency valuation: The case of the dollar
   Journal of International Money and Finance, 2007, 26, (8), 1424-1449 View citations (2)

2006

5. Forecasting Inflation: An Art as Well as a Science!
   De Economist, 2006, 154, (1), 19-40 View citations (14)
   See also Working Paper Forecasting inflation: An art as well as a science!, Computing in Economics and Finance 2004 (2004) (2004)

2004

6. Monetary transmission in Germany: Lessons for the Euro area
   Empirical Economics, 2004, 29, (2), 383-414 View citations (4)
7. ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
   Econometric Theory, 2004, 20, (5), 891-903 View citations (13)
8. Shocking the eurozone
   European Economic Review, 2004, 48, (1), 109-131 View citations (22)

2002

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

2000

10. Value at risk models for Dutch bond portfolios
    Journal of Banking & Finance, 2000, 24, (7), 1131-1154 View citations (31)

1997

11. Inflation differentials and excess returns in the European Monetary System
    Journal of International Financial Markets, Institutions and Money, 1997, 7, (1), 1-20 View citations (1)
    See also Working Paper Inflation Differentials and Excess Returns in the European Monetary System, CEPR Financial Markets Paper (1993) View citations (1) (1993)

1996

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

1994

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

1993

14. 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 (130)