Peter Vlaar : Citation Profile


Are you Peter Vlaar?

Network for Studies on Pensions, Aging and Retirement (NetSPAR)

8

H index

8

i10 index

310

Citations

RESEARCH PRODUCTION:

15

Articles

30

Papers

RESEARCH ACTIVITY:

   18 years (1993 - 2011). See details.
   Cites by year: 17
   Journals where Peter Vlaar has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 13 (4.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pvl3
   Updated: 2020-11-21    RAS profile: 2014-08-19    
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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 Peter Vlaar.

Is cited by:

Angelidis, Timotheos (10)

Haas, Markus (9)

Sahuc, Jean-Guillaume (7)

Fève, Patrick (7)

Degiannakis, Stavros (7)

Matheron, Julien (7)

Giot, Pierre (6)

Mittnik, Stefan (6)

Broeders, Dirk (6)

Bikker, Jacob (6)

Laurent, Sébastien (6)

Cites to:

Blanchard, Olivier (12)

Lütkepohl, Helmut (11)

Campbell, John (10)

Svensson, Lars (9)

Engle, Robert (9)

Hubrich, Kirstin (8)

Gertler, Mark (7)

Bollerslev, Tim (7)

Hendry, David (7)

Rose, Andrew (7)

Watson, Mark (7)

Main data


Where Peter Vlaar has published?


Journals with more than one article published# docs
De Economist2
Journal of Banking & Finance2

Recent works citing Peter Vlaar (2020 and 2019)


YearTitle of citing document
2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

Full description at Econpapers || Download paper

2020The impact of fiscal shocks on real GDP and income inequality: What do Australian data say?. (2020). Selvanathan, EA ; Gunasinghe, Chandika ; Forster, John ; Naranpanawa, Athula. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:2:p:250-270.

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2019Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets. (2019). Baillie, Richard T ; Han, Young Wook . In: Korean Economic Review. RePEc:kea:keappr:ker-20190101-35-1-07.

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2020Short-Term Inflation Projections Model and Its Assessment in Latvia. (2020). Krasnopjorovs, Olegs ; Bessonovs, Andrejs. In: Working Papers. RePEc:ltv:wpaper:202001.

Full description at Econpapers || Download paper

2019Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process.. (2019). Ibrahim, Omar. In: MPRA Paper. RePEc:pra:mprapa:98091.

Full description at Econpapers || Download paper

2020On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting. (2020). ADENOMON, MONDAY ; Nweze, Nwaze Obini ; Emenogu, Ngozi G. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00178-1.

Full description at Econpapers || Download paper

Works by Peter Vlaar:


YearTitleTypeCited
2008Multivariate Feller conditions in term structure models: Why do(nt) we care? In: Papers.
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paper0
2008Multivariate Feller conditions in term structure models: Why do(nt) we care?.(2008) In: DNB Working Papers.
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This paper has another version. Agregated cites: 0
paper
1993The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps. In: Journal of Business & Economic Statistics.
[Citation analysis]
article92
1993Inflation Differentials and Excess Returns in the European Monetary System In: CEPR Financial Markets Paper.
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paper2
1997Inflation differentials and excess returns in the European Monetary System.(1997) In: Journal of International Financial Markets, Institutions and Money.
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This paper has another version. Agregated cites: 2
article
2004ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS In: Econometric Theory.
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article31
1998On the asymptotic distribution of impulse response functions with long run restrictions.(1998) In: WO Research Memoranda (discontinued).
[Citation analysis]
This paper has another version. Agregated cites: 31
paper
2005Defined Benefit Pension Plans and Regulation In: DNB Working Papers.
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paper1
2006Conditional Indexation in Defined Benefit Pension Plans In: DNB Working Papers.
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paper8
2007Term Structure Modeling for Pension Funds:What to do in Practice? In: DNB Working Papers.
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paper0
2007Market Valuation, Pension Fund Policy and Contribution Volatility In: DNB Working Papers.
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paper1
2008Market Valuation, Pension Fund Policy and Contribution Volatility.(2008) In: De Economist.
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This paper has another version. Agregated cites: 1
article
2003On the Influence of capital Requirements on Competition and Risk taking in Banking In: DNB Staff Reports (discontinued).
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paper2
2003Forecasting inflation: An art as well as a science! In: DNB Staff Reports (discontinued).
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paper15
2006Forecasting Inflation: An Art as Well as a Science!.(2006) In: De Economist.
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This paper has another version. Agregated cites: 15
article
2004Forecasting inflation: An art as well as a science!.(2004) In: Computing in Economics and Finance 2004.
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This paper has another version. Agregated cites: 15
paper
1999Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach In: DNB Staff Reports (discontinued).
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paper22
1998Monetary transmission and controllability of money in Europe: a structural vector error correction approach.(1998) In: WO Research Memoranda (discontinued).
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This paper has another version. Agregated cites: 22
paper
1999Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation? In: DNB Staff Reports (discontinued).
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paper25
1999Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?.(1999) In: WO Research Memoranda (discontinued).
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This paper has another version. Agregated cites: 25
paper
2003On the Strenght of the US Dollar: Can it be Explained by Output Growth? In: DNB Staff Reports (discontinued).
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paper3
2001On the Strength of the US dollar: Can it be Explained by Output Growth?.(2001) In: WO Research Memoranda (discontinued).
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This paper has another version. Agregated cites: 3
paper
1997The consequences of the dynamics in the term structure of interest rates for risk management by banks: an analysis of value-at-risk models In: WO Research Memoranda (discontinued).
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paper0
1997International convergence of capital market interest rates In: WO Research Memoranda (discontinued).
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paper6
1999Currency Crises Models for Emerging Markets In: WO Research Memoranda (discontinued).
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paper10
2000Germany and the euro area: differences in the transmission process of monetary policy In: WO Research Memoranda (discontinued).
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paper7
2000Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 7
paper
2000Contagion and capital flows: an empirical analysis of the Asian crisis In: WO Research Memoranda (discontinued).
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2000Capital requirements and competition in the banking industry In: WO Research Memoranda (discontinued).
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paper7
2000Capital requirements and competition in banking industry.(2000) In: Working Paper Series.
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This paper has another version. Agregated cites: 7
paper
2002What do we Understand about Exchange Rates In: WO Research Memoranda (discontinued).
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2002Shocking the Eurozone In: WO Research Memoranda (discontinued).
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paper22
2004Shocking the eurozone.(2004) In: European Economic Review.
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This paper has another version. Agregated cites: 22
article
2003Forecasting Inflation in the Netherlands and the Euro Area In: WO Research Memoranda (discontinued).
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paper0
2003Modelling time-varying correlations of financial markets In: WO Research Memoranda (discontinued).
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paper8
2004Palmnet: A pension asset and liability model for the Netherlands In: WO Research Memoranda (discontinued).
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paper6
2000Value at risk models for Dutch bond portfolios In: Journal of Banking & Finance.
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article28
2002Innovations in testing the stability of risk measures over time and across models In: Journal of Banking & Finance.
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article0
2007GDP growth and currency valuation: The case of the dollar In: Journal of International Money and Finance.
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article1
1994Exchange rate expectations and risk premia in the European Monetary System: 1985–1991 In: Open Economies Review.
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article1
2007Conditional Indexation in Defined Benefit Pension Plans in the Netherlands* In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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article6
1996Methods to determine capital requirements for options In: BNL Quarterly Review.
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article0
1996Methods to determine capital requirements for options.(1996) In: Banca Nazionale del Lavoro Quarterly Review.
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This paper has another version. Agregated cites: 0
article
2004Monetary transmission in Germany: Lessons for the Euro area In: Empirical Economics.
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article5
2011An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model In: Applied Mathematical Finance.
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article1

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