119 Discussion Papers

• 19-051/IV - Time-varying variance and skewness in realized volatility measures

  Authors: Anne Opschoor, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam

  Date: July 31, 2019

• 19-029/IV - Constructing and using double-adjusted alphas to analyze mutual fund performance

  Authors: Erik Kole, Erasmus University Rotterdam; Reza Brink, Erasmus University Rotterdam

  Date: April 17, 2019

• 19-013/IV - Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

  Authors: Anne Opschoor, Vrije Universiteit Amsterdam and Tinbergen Institute; André Lucas, Vrije Universiteit Amsterdam and Tinbergen Institute; Istvan Barra, Independent Research; Dick van Dijk , Erasmus Universiteit Rotterdam and Tinbergen Institute

  Date: February 19, 2019

• 18-101/IV - Incentives, Performance and Choking in Darts

  Authors: Bouke Klein Teeselink, VU Amsterdam; Rogier J. D. Potter van Loon, Erasmus University Rotterdam; Martijn (M.J.) van den Assem, VU Amsterdam; Dennie van Dolder, VU Amsterdam

  Date: December 28, 2018

• 18-100/IV - Do information contagion and business model similarities explain bank credit risk commonalities?

  Authors: Dieter Wang, VU Amsterdam, De Nederlandsche Bank; Iman (I.P.P.) van Lelyveld, VU Amsterdam, De Nederlandsche Bank; Julia (J.) Schaumburg, VU Amsterdam

  Date: December 22, 2018

• 18-075/IV - Income Inequality and Stock Market Returns

  Authors: Agnieszka (A.P.) Markiewicz, Erasmus University Rotterdam; Rafal Raciborski, European Commission

  Date: October 07, 2018

• 18-058/IV - Measuring Biases in Expectation Formation

  Authors: Florian Peters, University of Amsterdam; Simas Kucinskas, University of Amsterdam

  Date: June 21, 2018

• 18-038/IV - Unsecured and Secured Funding

  Authors: Mario di Filippo, The World Bank; Angelo Ranaldo, University of St. Gallen; Jan Wrampelmeyer, Vrije Universiteit Amsterdam

  Date: April 14, 2018

• 18-025/IV - Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean

  Authors: Marta Banbura, European Central Bank, Germany; Andries van Vlodrop, VU Amsterdam, the Netherlands

  Date: March 21, 2018

• 18-016/IV - Bank Capital Regulation in a Zero Interest Environment

  Author: Robin Dottling, University of Amsterdam

  Date: February 28, 2018

• 17-106/IV - Information Asymmetry, Lease Incentives, and the Role of Advisors in the Market for Commercial Real Estate

  Authors: Martijn (M.I.) Droes, University of Amsterdam & Amsterdam School of Real Estate; Tinbergen Institute, The Netherlands; Boris Ziermans, Cushman & Wakefield; Philip Koppels, TU Delft

  Date: November 10, 2017

• 17-092/IV - High-Frequency Trading around Large Institutional Orders

  Authors: Vincent van Kervel; Albert J. Menkveld, VU University Amsterdam; Tinbergen Institute, The Netherlands

  Date: September 29, 2017

• 17-080/IV - Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program

  Authors: Martijn (M.I.) Droes, University of Amsterdam & Amsterdam School of Real Estate; Tinbergen Institute, The Netherlands; Ryan van Lamoen, Dutch Central Bank; Simona Mattheussens, Dutch Central Bank

  Date: September 05, 2017

• 17-078/IV - Foreign Investment and Domestic Productivity: Identifying Knowledge Spillovers and Competition Effects

  Authors: Christian Fons-Rosen, Universitat Pompeu Fabra, CEPR, and Barcelona Graduate School of Economics, Spain; Sebnem Kalemli-Ozcan, University of Maryland, CEPR, and NBER, the USA; Bent E. Sorensen, University of Houston and CEPR, the USA; Carolina Villegas-Sanchez, ESADE - Universitat Ramon Llull, Spain; Vadym (V.) Volosovych, Erasmus University Rotterdam, Erasmus Research Institute of Management, the Netherlands; Tinbergen Institute, The Netherlands

  Date: September 05, 2017

• 17-041/IV - Do Negative Interest Rates Make Banks Less Safe?

  Authors: Federico Nucera, LUISS Guido Carli University, Rome; Andre Lucas, Vrije Universiteit Amsterdam and Tinbergen Institute; Julia Schaumburg, Vrije Universiteit Amsterdam and Tinbergen Institute; Bernd Schwaab, European Central Bank, Financial Research

  Date: April 25, 2017

• 17-002/IV - Implied Volatility Sentiment: A Tale of Two Tails

  Authors: Philip Stork, VU Amsterdam, The Netherlands; Luiz Felix, VU Amsterdam, The Netherlands; Roman Kraussl, University of Luxembourg, Luxembourg

  Date: January 13, 2017

• 16-093/IV - The (Self-)Funding of Intangibles

  Authors: Robin Döttling, University of Amsterdam, The Netherlands; Tomislav Ladika, University of Amsterdam, The Netherlands; Enrico Perotti, University of Amsterdam, The Netherlands

  Date: November 03, 2016

• 16-087/IV - Liquidity Runs

  Authors: Rafael Matta, University of Amsterdam, The Netherlands; Enrico Perotti, University of Amsterdam, The Netherlands

  Date: October 19, 2016

• 16-074/IV - Network, Market, and Book-Based Systemic Risk Rankings

  Authors: Michiel C.W. van de Leur, VU University Amsterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands

  Date: September 08, 2016

• 16-069/IV - Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands

  Date: September 02, 2016