Research Output 1979 2020

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Working paper
2019

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Opschoor, A., Lucas, A., Barra, I. & Van Dijk, D., 2019, 013/IV ed., Amsterdam: Tinbergen Institute, 49 p. (TI Discussion Paper Series; vol. 2019, no. 013/IV).

Research output: Working paperAcademic

Common Ownership and Firm Dividend Policies

Di Giuli, A., Karmaziene, E. & Sekerci, N., 2019, SSRN.

Research output: Working paperAcademic

Ownership
Dividend policy
Owners
Dividends
Investors

Does Bankruptcy Risk Increase Value? Puzzles and Diversification

Altieri, M. & Nicodano, G., 2019, SSRN, p. 1, 60 p. (ECGI-Finance Working Paper; no. No 600/2019).

Research output: Working paperProfessional

Bankruptcy
Diversification
Discount
Diversified firms
Survival probability
Incentives
Analysts
Turnover
Financial analysts
Broker

Liquidity Risk and Funding Cost

Bechtel, A., Ranaldo, A. & Wrampelmeyer, J., 29 May 2019.

Research output: Working paperAcademic

Open Access

Short Selling Equity Exchange Traded Funds and its Effect on Stock Market Liquidity

Karmaziene, E. & Sokolovski, V., 2019, SSRN, (Swedish House of Finance Research Paper Series).

Research output: Working paperAcademic

Short selling
Stock market liquidity
Equity
Exchange traded funds
Short sales

The global macroeconomics of a trade war: The EAGLE model on the US-China trade conflict

Bolt, W., Mavromatis, K. & van Wijnbergen, S., 2019, 015/VIII ed., Amsterdam: Tinbergen Institute, 28 p. (TI Discussion Paper Series; vol. 2019, no. 015/VIII).

Research output: Working paperAcademic

Trainspotting: Board Appointments in Private Firms

Baltrunaite, A. & Karmaziene, E., 2019, SSRN.

Research output: Working paperAcademic

Private firms
Limited liability
Administrative data
Trigger
Train
2018

Do information contagion and business model similarities explain bank credit risk commonalities?

Wang, D., van Lelyveld, I. P. P. & Schaumburg, J., 2018, 100/IV ed., Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper Series; vol. 2018, no. 100/IV).

Research output: Working paperAcademic

Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

van Vlodrop, A. C. & Lucas, A., 2018, 099/III ed., Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper Series; vol. 2018, no. 099/III).

Research output: Working paperAcademic

Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean

Banbura, M. & van Vlodrop, A. C., 2018, Amsterdam: Tinbergen Institute, 54 p. (TI Discussion Paper Series; vol. 18, no. 025/IV).

Research output: Working paperAcademic

Unsecured and Secured Funding

di Filippo, M., Ranaldo, A. & Wrampelmeyer, J., 2018, 038/IV ed., Amsterdam: Tinbergen Institute, 47 p. (TI Discussion Paper Series; vol. 18, no. 038/IV).

Research output: Working paperAcademic

2017

Agency Costs of Debt and Corporate Diversification

Altieri, M., 7 Oct 2017, SSRN.

Research output: Working paperProfessional

Corporate diversification
Agency costs of debt
Cost of debt
Financial accounting standards
Treatment effects

Do Negative Interest Rates Make Banks Less Safe?

Nucera, F., Lucas, A., Schaumburg, J. & Schwaab, B., 2017, Amsterdam: Tinbergen Institute, 9 p. (TI Discussion Paper Series; no. 17-041/IV).

Research output: Working paperAcademic

Finite Sample Optimality of Score-Driven Volatility Models

Blasques Albergaria Amaral, F., Lucas, A. & van Vlodrop, A. C., 2017, Amsterdam: Tinbergen Institute, 23 p. (TI Discussion Paper Series; vol. 17, no. 111/III).

Research output: Working paperAcademic

High-Frequency Trading around Large Institutional Orders

van Kervel, V. L. & Menkveld, A. J., 2017, Amsterdam: Tinbergen Institute, 53 p. (TI Discussion Paper Series; vol. 17, no. 092/IV).

Research output: Working paperAcademic

Real-Estate Agent Commission Structure and Sales Performance

Gautier, P. A., Siegmann, A. H. & van Vuuren, A. P., 2017, Amsterdam: Tinbergen Institute, 39 p. (Tinbergen Institute Discussion Paper Series; vol. 2017, no. 049/VI).

Research output: Working paperAcademic

The Occurence and Impact of Pension Fund Discontinuity

van der Lecq, S. G., Alserda, G. A. G. & Steenbeek, O. W., 2017, Rotterdam: ERIM, p. 1, 38 p. (ERIM Research Series)(ERIM Research Series; vol. 2017, no. 008).

Research output: Working paperAcademic

File
Discontinuity
Pension funds
Pensions
Simulation model
Trade-offs

X-inefficiency and economies of scale in pension fund administration and investment

van der Lecq, S. G., Alserda, G. A. G. & Bikker, J., Mar 2017, Amsterdam: De Nederlandsche Bank, 45 p. (DNB Working Papers; vol. No. 547).

Research output: Working paperAcademic

Open Access
File
2016

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Lucas, A., Opschoor, A. & Schaumburg, J., 2016, Amsterdam: Tinbergen Institute, 7 p. (TI Discussion Series; no. 16-067/IV).

Research output: Working paperProfessional

A Network Map of Information Percolation

Menkveld, A. J. & Hagströmer, B., 2016, Online: SSRN.

Research output: Working paperProfessional

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2016, Amsterdam: Tinbergen Institute, 56 p. (TI Discussion Series; no. 16-066/IV).

Research output: Working paperProfessional

Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

Barra, I. & Koopman, S. J., 2016, Amsterdam: Tinbergen Institute, 52 p. (TI Discussion Paper; no. 16-028/III).

Research output: Working paperProfessional

Efffective Macroprudential Policy: Cross-Sector Substitution from Price and Quantity Measures

Cizel, J., Frost, J. J., Houben, A. & Wierts, P. J., 2016, Washington: IMF, 47 p. (IMF Working Paper; no. 16/94, April 2016).

Research output: Working paperProfessional

Factor-Based Investing

Lausberg, P., Slager, A. M. H. & Stork, P. A., 2016, Amsterdam: ABN AMRO.

Research output: Working paperProfessional

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

Lucas, A. & Opschoor, A., 2016, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Series; no. 16-069/IV).

Research output: Working paperProfessional

Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

Koopman, S. J., Lit, R. & Lucas, A., 2016, Amsterdam: Tinbergen Institute, 19 p. (TI Discussion Series; no. 16-051/IV).

Research output: Working paperProfessional

Network, Market, and Book-Based Systemic Risk Rankings

van de Leur, M. C. W. & Lucas, A., 2016, Amsterdam: Tinbergen Institute, 14 p. (TI Discussion Paper; no. 16-074/IV).

Research output: Working paperProfessional

Single Stock Call Options as Lottery Tickets

Felix, L., Kraeussl, R. G. W. & Stork, P. A., 2016, Amsterdam: Tinbergen Institute, 48 p. (TI Discussion Paper; no. 16-022/IV).

Research output: Working paperProfessional

Sovereign to corporate risk spillovers

Schnitzler, J. A. F., Augustin, P., Boustanifar, H. & Breckenfelder, J., 2016, (ECB Working Paper Series).

Research output: Working paperProfessional

Unobserved components in corporate defaults and bond prices

Barra, I. & Lucas, A., 2016, EU Syrto Project.

Research output: Working paperProfessional

Why Do Parent Companies Guarantee Their Subsidiaries’ Bonds? The Dark Side of Separate Legal Liability

Altieri, M., Massa, M. & Manconi, A., 2016, INSEAD, p. 1-49, (INSEAD Working Paper; vol. 2016, no. 72).

Research output: Working paperProfessional

Legal liability
Subsidiaries
Covenant
Parent company
Guarantee
2015

Do Exposures to Sagging Real Estate, Subprime or Conduits Abroad Lead to Contraction and Flight to Quality in Bank Lending at Home?

Ongena, S., Tumer Alkan, G. & Von Westernhagen, N., 2015, Frankfurt am Main: Deutsche Bundesbank, (Deutsche Bundesbank Discussion Paper; no. 09/2015).

Research output: Working paperProfessional

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

Kole, E., Markwat, T., Opschoor, A. & van Dijk, D., 2015, Amsterdam: Tinbergen Institute, 79 p. (TI Discussion Paper; no. 15-140/III).

Research output: Working paperProfessional

Generalized Autoregressive Method of Moments

Creal, D. D., Koopman, S. J., Lucas, A. & Zamojski, M. J., 2015, Amsterdam: Tinbergen Institute, 49 p. (TI Discussion Paper; no. 15-138/III).

Research output: Working paperProfessional

Global Credit Risk: World, Country and Industry Factors

Schwaab, B., Koopman, S. J. & Lucas, A., 2015, Amsterdam: Tinbergen Institute/Duisenberg School of Finance, 43 p. (TI Discussion Paper; no. 15-029/III/DSF87).

Research output: Working paperProfessional

Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

Koopman, S. J., Lit, R. & Lucas, A., 2015, Amsterdam: Tinbergen Institute, 38 p. (TI Discussion Paper; no. 15-076/IV/DSF94).

Research output: Working paperProfessional

Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

Koopman, S. J., Lit, R. & Lucas, A., 2015, Amsterdam: Tinbergen Institute/Duisenberg School of Finance, 40 p. (TI Discussion Paper; no. 15-037/III/DSF90).

Research output: Working paperProfessional

Mixed Density based Copula Likelihood

Azam, K. O. & Lucas, A., 2015, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Paper; no. TI 15-003 / IV/ DSF084).

Research output: Working paperProfessional

Modeling the Interactions between Volatility and Returns

Harvey, A. & Lange, R. J., 2015, Cambridge: University of Cambridge, 35 p. (Cambridge Working Papers in Economics; no. 1518).

Research output: Working paperProfessional

Penalized Indirect Inference

Blasques, F. & Duplinskiy, A., 2015, Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper; no. 15-09/III).

Research output: Working paperProfessional

Regulating the Financial Cycle: An Integrated Approach with a Leverage Ratio

Schoenmaker, D. & Wierts, P. J., 2015, Amsterdam: Tinbergen Institute / Duisenberg School of Finance, 17 p. (TI Discussion Paper; no. 15-057/IV/DSF93).

Research output: Working paperProfessional

Show Me Yours and I'll Show You Mine: Sharing Borrower Information in a Competitive Credit Market

Bos, J. W. B., de Haas, R. & Millone, M., 2015, Tilburg: CentER, (CentER Discussion Paper Series; no. 2015-027).

Research output: Working paperProfessional

The Information in Systemic Risk Rankings

Nucera, F., Schwaab, B., Koopman, S. J. & Lucas, A., 2015, Amsterdam: Tinbergen Institute, 24 p. (TI Discussion Paper; no. 15-070/III/DSF94).

Research output: Working paperProfessional

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, N., Grassi, S., Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2015, Amsterdam: Tinbergen Institute, 42 p. (TI Discussion Paper; no. 15-042/III).

Research output: Working paperProfessional

Volatility Modeling with a Generalized t-distribution

Harvey, A. & Lange, R. J., 2015, Cambridge: University of Cambridge, 38 p. (Cambridge Working Papers in Economics; no. 1517).

Research output: Working paperProfessional

2014

A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market

Blasques, F., Brauning, F. U. & Van Lelyveld, I., 2014, La Hulpe, Belgium: SWIFT Institute, 51 p. (SWIFT INSTITUTE Working Paper; no. 2012-007).

Research output: Working paperProfessional

A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk

Bormann, C., Schienle, M. & Schaumburg, J., 2014, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Paper; no. 14-024/III).

Research output: Working paperProfessional

Capital Structure Arbitrage revisited

Wojtowicz, M. P., 2014, Amsterdam: Tinbergen Institute / Duisenberg School of Finance, 52 p. (TI Discussion Paper; no. 14-137/IV/ DSF 81).

Research output: Working paperProfessional