Ronald Huisman : Citation Profile


Are you Ronald Huisman?

Erasmus Universiteit Rotterdam

7

H index

6

i10 index

533

Citations

RESEARCH PRODUCTION:

5

Articles

2

Papers

RESEARCH ACTIVITY:

   9 years (1998 - 2007). See details.
   Cites by year: 59
   Journals where Ronald Huisman has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 2 (0.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu61
   Updated: 2021-03-27    RAS profile: 2008-09-18    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ronald Huisman.

Is cited by:

Weron, Rafał (26)

Mahieu, Ronald (13)

cotter, john (11)

Trueck, Stefan (11)

Janczura, Joanna (9)

Verbeek, Marno (6)

Hurn, Stan (6)

Pontines, Victor (6)

Siregar, Reza (6)

Rodríguez Caballero, Carlos (6)

Tille, Cédric (6)

Cites to:

Flood, Robert (2)

Bilson, John (2)

Mahieu, Ronald (2)

Baldwin, Richard (2)

Hodrick, Robert (2)

Knittel, Christopher (2)

Rose, Andrew (2)

Bekaert, Geert (2)

Hamilton, James (1)

Escribano, Alvaro (1)

Sharpe, William (1)

Main data


Where Ronald Huisman has published?


Journals with more than one article published# docs
Energy Economics2

Recent works citing Ronald Huisman (2021 and 2020)


YearTitle of citing document
2020Fast calibration of two-factor models for energy option pricing. (2018). de Nicolao, Giuseppe ; Marziali, Andrea ; Fabbiani, Emanuele. In: Papers. RePEc:arx:papers:1809.03941.

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2021COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486.

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2020Static Hedging of Weather and Price Risks in Electricity Markets. (2020). Vera, Juan C ; Robayo, Javier Pantoja . In: Papers. RePEc:arx:papers:2011.08620.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Forecasting the Colombian Electricity Spot Price under a Functional Approach. (2021). Barrientos, Jorge ; Gallon, Santiago . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-9.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2021Market stability with machine learning agents. (2021). Georges, Christophre ; Pereira, Javier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302001.

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2020The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Dependence structure in the Australian electricity markets: New evidence from regular vine copulae. (2020). Gözgör, Giray ; Apergis, Nicholas ; Wang, Shixuan ; Marco, Chi Keung ; Gozgor, Giray . In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301742.

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2021Attractive and non-attractive currencies. (2021). Marsh, Ian W ; James, Jessica ; Dupuy, Philippe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302096.

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2020Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union. (2020). Krištoufek, Ladislav ; Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:553:y:2020:i:c:s0378437120300698.

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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2020Comparison of Electricity Spot Price Modelling and Risk Management Applications. (2020). Adiyeke, Esra ; Anakolu, Ethem . In: Energies. RePEc:gam:jeners:v:13:y:2020:i:18:p:4698-:d:411305.

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2020Electricity Portfolio Optimization for Large Consumers: Iberian Electricity Market Case Study. (2020). Sawik, Bartosz ; Pinto-Varela, Tania ; Canelas, Emanuel. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:9:p:2249-:d:353782.

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2021Transformational Approach to Analytical Value-at-Risk for near Normal Distributions. (2021). Singh, Kewal ; Sangwan, Vikas ; Prakash, Puneet. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:51-:d:487006.

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2021Project Portfolio Construction Using Extreme Value Theory. (2021). Tabasi, Hamed ; Yousefi, Vahidreza ; Tamoaitien, Jolanta. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:2:p:855-:d:481501.

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2020Impacts of subsidized renewable electricity generation on spot market prices in Germany : Evidence from a GARCH model with panel data. (2020). Lemoine, Killian ; Pham, Thao. In: Working Papers. RePEc:hal:wpaper:hal-02568268.

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2020Parametric Representation of the Top of Income Distributions: Options, Historical Evidence and Model Selection. (2020). Hlasny, Vladimir. In: Working Papers. RePEc:inq:inqwps:ecineq2020-547.

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2020Forecasting Electricity Prices Using Ensemble Kalman Filter. (2020). Mageto, Thomas ; Aduda, Jane ; Korir, Emmanuel Kipchumba. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:1:f:9_1_2.

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2020Testing the Dismal Theorem. (2020). Tol, Richard ; Anthoff, David. In: Working Paper Series. RePEc:sus:susewp:1920.

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2020Parametric Representation of the Top of Income Distributions: Options, Historical Evidence and Model Selection. (2020). Hlasny, Vladimir. In: Commitment to Equity (CEQ) Working Paper Series. RePEc:tul:ceqwps:90.

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Works by Ronald Huisman:


YearTitleTypeCited
2001Tail-Index Estimates in Small Samples. In: Journal of Business & Economic Statistics.
[Citation analysis]
article105
2003Regime jumps in electricity prices In: Energy Economics.
[Full Text][Citation analysis]
article139
2007Hourly electricity prices in day-ahead markets In: Energy Economics.
[Full Text][Citation analysis]
article95
2001Optimal portfolio selection in a Value-at-Risk framework In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article97
1998Extreme support for uncovered interest parity In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article62
1998VaR-x: Fat Tails in Financial Risk Management. In: Southern California - School of Business Administration.
[Citation analysis]
paper27
1998Search Costs: The Neglected Spread Component. In: Research Program in Finance Working Papers.
[Full Text][Citation analysis]
paper8

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