119 Discussion Papers

• 14-097/IV - Need for Speed? Exchange Latency and Liquidity

  Authors: Albert J. Menkveld, VU University Amsterdam; Marius A. Zoican, VU University Amsterdam

  Date: July 28, 2014

• 14-092/IV - Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting

  Authors: André Lucas, VU University Amsterdam, the Netherlands; Xin Zhang, Sveriges Riksbank, Sweden

  Date: July 22, 2014

• 14-079/IV - Mutual Funds and Information Diffusion: The Role of Country-Level Governance

  Authors: Chunmei Lin, Erasmus University Rotterdam, the Netherlands; Massimo Massa, INSEAD, France; Hong Zhang, INSEAD, France, Tsinghua University, Singapore

  Date: July 01, 2014

• 14-073/IV - New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

  Authors: Pawel Janus, UBS Global Asset Management, the Netherlands; André Lucas, VU University Amsterdam; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick J.C. van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: June 19, 2014

• 14-070/IV - Common Risk Factors in Equity Markets

  Author: Victoria Atanasov, VU University Amsterdam, the Netherlands

  Date: June 17, 2014

• 14-065/IV - Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

  Author: Albert J. Menkveld, VU University Amsterdam, the Netherlands

  Date: June 02, 2014

• 14-059/IV - Does Competition make Banks more Risk-seeking?

  Author: Stefan Arping, University of Amsterdam

  Date: May 12, 2014

• 14-032/IV - The Dynamic Skellam Model with Applications

  Authors: Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam; André Lucas, VU University Amsterdam

  Date: March 10, 2014

• 14-018/IV - The Effects of Liquidity Regulation on Bank Assets and Liabilities

  Authors: Patty Duijm, Duisenberg School of Finance, De Nederlandsche Bank, Amsterdam, the Netherlands; Peter Wierts, De Nederlandsche Bank, Amsterdam, the Netherlands

  Date: February 06, 2014

• 14-010/IV - Testing for Parameter Instability in Competing Modeling Frameworks

  Authors: Francesco Calvori, Department of Statistics 'G. Parenti', University of Florence, Italy; Drew Creal, Booth School of Business, University of Chicago; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam

  Date: January 14, 2014

• 13-210/IV - Bank Deregulation, Competition and Economic Growth: The US Free Banking Experience

  Authors: Philipp Ager, University of Southern Denmark, Odense; Fabrizio Spargoli, Rotterdam School of Management, Erasmus University Rotterdam, Rotterdam, The Netherlands

  Date: December 20, 2013

• 13-186/IV - Short-Selling, Leverage and Systemic Risk

  Authors: Amelia Pais, Massey University, College of Business, School of Economics and Finance, Auckland, New Zealand; Philip A. Stork, VU University Amsterdam, and Duisenberg School of Finance

  Date: November 15, 2013

• 13-181/IV - Central Clearing and Asset Prices

  Authors: Albert J. Menkveld, VU University Amsterdam; Emiliano Pagnotta, NYU Stern School of Business, United States of America; Marius A. Zoican, VU University Amsterdam, Tinbergen Institute and Duisenberg School of Finance

  Date: November 08, 2013

• 13-180/IV - The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns

  Authors: Victoria Atanasov, VU University Amsterdam; Thomas Nitschka, Swiss National Bank, Switzerland

  Date: November 07, 2013

• 13-156/IV - Economic Valuation of Liquidity Timing

  Authors: Dennis Karstanje, Erasmus University Rotterdam; Elvira Sojli, Erasmus University Rotterdam; Wing Wah Tham, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam

  Date: October 08, 2013

• 13-154/IV - Identifying Cross-Sided Liquidity Externalities

  Authors: Johannes A. Skjeltorp, Norges Bank, Norway; Elvira Sojli, Rotterdam School of Management, Erasmus University Rotterdam, Duisenberg school of finance; Wing Wah Tham, Erasmus University Rotterdam

  Date: October 03, 2013

• 13-153/IV - Hole in the Wall: Informed Short Selling ahead of Private Placements

  Authors: Henk Berkman, University of Auckland, Australia; Michael McKenzie, University of Sydney; Patrick Verwijmeren, Erasmus University Rotterdam, Duisenberg School of Finance, The Netherlands; University of Melbourne; University of Glasgow

  Date: October 03, 2013

• 13-152/IV - Does it pay to invest in Art? A Selection-corrected Returns Perspective

  Authors: Arthur Korteweg, Stanford Graduate School of Business, Stanford, California, United States of America; Roman Kräussl, Luxembourg School of Finance and the Center for Alternative Investments at Goizueta Business School, Emory University; Patrick Verwijmeren, Erasmus University Rotterdam, Duisenberg School of Finance,The Netherlands; University of Melbourne; University of Glasgow

  Date: October 03, 2013

• 13-097/IV - Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models

  Authors: Francisco Blasques, VU University Amsterdam; Andre Lucas, VU University Amsterdam; Erkki Silde, VU University Amsterdam, and Duisenberg school of finance

  Date: July 19, 2013

• 13-088/IV - Behavioural Real Estate

  Authors: Diego A. Salzman, London South Bank University, London, United Kingdom, and University of Amsterdam; Remco C.J. Zwinkels, Erasmus University Rotterdam

  Date: July 16, 2013