Earlier publications

2007

  • Canto, Bea, and Roman Kraeussl (2007): "Electronic Trading Systems and Intraday Non-Linear Dynamics - An Examination of the FTSE 100 Cash and Futures Returns", CFS Working Paper No. 2007/20. Click here to download.
  • Kraeussl, Roman, and Eduard Schellart (2007): "Hedonic Pricing of Artworks - Evidence from German Paintings", Working Paper, VU University Amsterdam. Click here to download.
  • Campbell, Rachel A.J., and Roman Kraeussl (2007): "Merger and Acquisition Behavior in European Banking", Working Paper, VU University Amsterdam. Click here to download.
  • Kraeussl, Roman, and Ralph M.R. Sandelowsky (2007): "The Predictive Performance of Morningstar’s Mutual Fund Ratings", Working Paper, VU University Amsterdam. Click here to download.
  • Ongena, S., G. Tümer-Alkan and N. von Westernhagen (2007), “Creditor Concentration: An Empirical Investigation”, Deutsche Bundesbank Discussion Paper Series 2: Banking and Financial Studies, No 15/2007
  • Molenkamp, J.B. (2007), "Risicobudget en portefeuilleallocatie", in: Frijns, J. en Petersen, C. (eds), Beleggen, PBM dossierreeks, 3, Petersen Consult BV, Epse.
  • Sluis, P.J. van der, Steenkamp, T.B.M., and Vrugt, E.B. (2007), "Nieuwe ontwikkelingen op het gebied van beleggen", in: Petersen, C. en Frijns, J. (eds), Beleggen, PBM dossierreeks, 3, Petersen Consult BV, Epse.
  • Molenkamp, J.B., en Bos, J. (2007), "Institutionele beleggers laten geld liggen; marktwaardegewogen strategieën voldoen niet", VBA Journaal, 3, 7-15.
  • Koopman, S.J., Lucas, A., Ooms, M., Montfort, C.A.G.M., van, and Geest, V. (2007), "Estimating Systematic Continuous-time Trends in Recidivism Using a Non-Gaussian Panel Data Model", TI Discussion Paper (Int. rep. 07-227/4), Tinbergen Institute(TI) Click here to download.
  • Frijns, J.M.G. and Maatman, R.H. (2007), "Private Equity en governance vraagstukken", in: Eijffinger, S.C.W., en Koedijk, C.G. (eds), Private Equity en Aandeelhoudersactivisme, Pre-adviezen 2007, Koninklijke Vereniging voor de Staathuishoudkunde, Amsterdam, 61-109.
  • Frijns, J.M.G., and Petersen, C. (2007), "Beleggen", PBM dossierreeks, 3, Petersen Consult BV, Epse.
  • Frijns, J.M.G., and Maatman, R.H. (2007), "Governance and Private Equity", Ondernemingsrecht 17.
  • Dorsman, A.B. (2007), "Een evaluatie van IFRS", ESB, 92(4510), 317-137.
  • Dorsman, A.B., Amstelveen, E., Dijk, E. van, and Kuijl, J.G. (2007), "Investment implications of a restricted universe: ’The Forbidden List’ in accounting firms", NRG working paper series, Breukelen. Click here to download.
  • Boender, C.G.E. (2007), "LDI: Investors beware", Global Pensions, mei 2007.
  • Boender, C.G.E., Vos, M., and Lieshout, L. (2007), "Juich niet te vroeg, de minnen van LDI", Pensioen, Bestuur & Management, 4(1), 37-38.
  • Calcagno, R., and Heider, F. (2007), "Market based compensation, trading and liquidity", WCP Working Paper Series. ECB, Frankfurt am Main. Click here to download.
  • Frijns, J.M.G. (2007), "Compliance", in: Busch, D., Doorenbos, D.R., Lemmers, N., Maatman, R.H., e.a (eds), Onderneming en Financieel Toezicht, (Onderneming en Recht, 40), Kluwer, Deventer, 473-492.
  • Dorsman, A.B., Amstelveen, E., Dijk, E. van, and Kuijl, J.G. (2007), "De Verboden Lijst", MAB, 81(4), 151-157.
  • Kraeussl, Roman, and Michel Topper (2007), "Size Does Matter: An Investigation of the Dutch M&A Market", in: Gregoriou, N., and Renneboog, L.(eds), International Mergers and Acquisitions Activity Since 1990 - Recent Research and Quantitative Analysis, Elsevier Science, Oxford, 279-294 Click here to download.
  • Boender, C.G.E., Bovenberg, A.L., Hoogdalem, S. van, en Nijman, Th.E. (2007), "Optimal Risk Sharing in Private and Collective Pension Contract", in: Lecq, S.G. and Steenbeek, O.W., (eds), Cost and Benefits of Collective Pension Systems, Springer, New York, 75-95.
  • Boender, C.G.E., Hoek, H., Dert, C.L., and Heemskerk, F. (2007), "A scenario approach of ALM", in: Zenios, S.A. and Ziemba, W. (eds), Handbook of Asset Liability Management, Elsevier, North Holland.
  • Campbell, R.A., and Kraeussl, R. (2007), "Revisiting the Home Bias Puzzle: Downside Equity Risk", Journal of International Money and Finance, 26(7), 1239-1260. Click here to download.
  • Chan, K.A., Menkveld, A.J., and Yang, Z. (2007), "Are domestic investors more informed than foreign investors? Evidence from the Perfectly Segmented Market in China", Journal of Financial Markets, 10, 391-415. Click here to download.
  • Calcagno, R., and Renneboog, L. (2007), "The incentive to give incentives: On the relative seniority of debt claims and managerial compensation", Journal of Banking and Finance, 31, 1795-1815. Click here to download.
  • Borovkova, S.A., and Geman, H. (2007), "Seasonal and Stochastic Effects in Commodity Forward Curves", Reviews of Derivatives Research, 9, 167-186.
  • Borovkova, S.A., Permana, F.J., and Weide, H. v.d. (2007) "A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options," The Journal of Derivatives, 14(4), 8-24.
  • Lucas, A. (2007): "The elusive credit cycle," Fiducie, 15(1), 14-17.
  • Schoenmaker, Dirk and Christiaan van Laecke (2007), ‘Current State of Cross-Border Banking’, in: Douglas D. Evanoff, George G. Kaufman and John R. LaBrosse (eds), International Financial Instability: Global Banking & National Regulation, World Scientific, Singapore, 39-63.
  • Wajid, S. Kal, Alexander Tieman, May Khamis, Francois Haas, Dirk Schoenmaker, Plamen Iossifov and Kalin Tintchev (2007), Financial Integration in the Nordic-Baltic Region: Challenges for Financial Policies, International Monetary Fund, Washington D.C. Click here to download.
  • Boots, Michiel en Dirk Schoenmaker (2007), ‘Het doel van de WFT: een economische benadering’, in: D. Busch, D.R. Doorenbos, N. Lemmers, R.H. Maatman, M.P. Nieuwe Weme, W.A.K. Rank (eds), Onderneming en Financieel Toezicht, Kluwer, Deventer, 9-22. Click here to download.
  • van der Nat,M.(2007):"Corporaties vrijwaren van dwang", het Financieele Dagblad, 12 maart 2007
  • van der Nat,M.(2007); "Stork, Nedlloyd en Centaurus, de strijd om de zeggenschap in de onderneming", Liberaal Reveil, maart 2007 (jaargang 48), 52-56.
  • Schoenmaker, Dirk and Christiaan van Laecke (2007), ‘Determinants of International Banking: Evidence from the World’s Largest Banks’, Working Paper: SSRN #965826. Click here to download.
  • Menkveld, A.J., S.J. Koopman, and A. Lucas (2007): "Round-the-Clock Price Discovery for Cross-Listed Stocks: U.S.-Dutch Evidence," Journal of Business and Economic Statistics, 25(2), 213-225. Click here to download.
  • Elliott, W.B., J. Koëter-Kant, and R.S. Warr (2007): "A Valuation-Based Test of Market Timing”, Journal of Corporate Finance, 13, 112-128. Click here to download.
  • Gregoriou, Greg, Maher Kooli, and Roman Kraeussl (2007): Venture Capital in Europe, Elsevier – North Holland, Quantitative Finance Series, New York, USA.
  • Kraeussl, Roman (2007): “Improvements and Limitations of the Revised Morningstar Fund Rating Methodology”, in F. Lhabitant (eds.): Diversification and Portfolio Management of Mutual Funds, chapter 6, Palgrave - MacMillan, New York, USA.
  • Campbell, Rachel, and Roman Kraeussl (2007): “A Survey of the Venture Capital Industry in Central and Eastern Europe”, in G.N. Gregoriou, M. Kooli and R. Kräussl (eds.): Venture Capital in Europe, chapter 4, Elsevier – North Holland, Quantitative Finance Series, New York, USA.
  • Campbell, Rachel, and Roman Kraeussl (2007): “Time Varying Downside Risk: An Application to the Art Market”, in G.N. Gregoriou: Asset Allocation and International Investments, chapter 1, Palgrave - MacMillan, New York, USA.
  • Boes, M.-J., F.C. Drost, and B.J.M. Werker (2007). The Impact of Overnight Periods on Option Pricing. Journal of Financial and Quantitative Analysis, 42(2), 517-534.
  • Siegmann, A.H. (2007), "Optimal Investment Policies for Defined Benefit Pension Funds", Journal of Pension Economics and Finance, 6(1), pp. 1-20.
  • Schoenmaker, Dirk and Sander Oosterloo (2007), ‘Cross-border Issues in European Financial Supervision’, in: David Mayes and Geoffrey Wood (eds), The Structure of Financial Regulation, Routledge, London, 264-291. Click here to download.

2006
  • Campbell, Rachel A.J., and Roman Kraeussl (2006): "Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector", CFS Working Paper No. 2006/32. Click here to download.
  • Kraeussl, Roman, and Bea Canto (2006): "Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets", CFS Working Paper No. 2006/25 Click here to download.
  • Swinkels, L.A.P. and Van der Sluis, P.J. (2006) Return-based style analysis with time-varying exposures. European Journal of Finance. Vol. 12 No 6-7, 529-552
  • Hernández-Cánovas, G., and J. Koëter-Kant "The institutional European environment and relationship lending: Should we care?", VU Research Memorandum RM 2006-18. Click here to download.
  • Hernández-Cánovas, G., and J. Koëter-Kant "SME Financing in Europe: Cross-Country Determinants of Debt Maturity", VU Research Memorandum RM 2006-9.
    Click here to download.
  • Molenkamp, J.B., "Model based transition management;a pragmatic approach applied to a multi-asset example", Journal of Portfolio Management, Fall 2006, Vol. 33, pp.37-45.
  • van der Nat,M.(2006),"Opleiding en training financieel management : kennis van het eigen bedrijf wordt steed belangrijker", Opleiding & Carrière Magazine (Millian) 2006.
  • Bosch, Thijs and Dirk Schoenmaker (2006), ‘The Role and Importance of Institutional Investors in Europe’, Financial and Monetary Studies, 24(3-4), SDU Uitgevers, The Hague.
  • Schoenmaker, Dirk and Christiaan van Laecke (2006), ‘Current State of Cross-Border Banking’, FMG Special Paper no. 168, London School of Economics. Click here to download.
  • Calcagno, R., Lovo, S., (2006): "Bid-Ask Price Competition between Market Makers with Asymmetric Information," Review of Economic Studies, 73, 329-355. Click here to download.
  • Monteiro, Andre, Georgi V. Smirnov, and Andre Lucas (2006) "Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk," Tinbergen Institute Discussion paper TI06-024/2. Click here to download.
  • Calcagno, R., and W. Wagner (2006): "Dispersed initial ownership and the efficiency of the stock market under moral hazard," Journal of Mathematical Economics, 42, 36-45. Click here to download.
  • Goodhart, Charles and Dirk Schoenmaker (2006), ‘Burden Sharing in a Banking Crisis in Europe’, Economic Review, no. 2, 34-57, Sveriges Riksbank, Stockholm. Click here to download.
  • Schoenmaker, Dirk and Sander Oosterloo (2006), ‘Financial Supervision in Europe: Do We Need a New Architecture?’, Cahier Comte Boël, no. 12, European League for Economic Co-operation, Brussels. Click here to download.
  • Altman E.I and H.A. Rijken, 2006, "The added value of Rating Outlooks and Rating Reviews to corporate bond ratings", working paper
  • Altman E.I and H.A. Rijken, 2006, "The effects of rating trough-the-cycle on rating stability, rating timeliness and default-prediction performance", Financial Analysts Journal, Vol 62, no 1, 54 - 70
  • Lucas, Andre, and Pieter Klaassen (2006): "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking and Finance, 30(1), 23-35. Click here to download.
  • Gilbert C.L. and H.A. Rijken, 2006, "How is futures trading affected by the move to a computerized trading system ? Lessons from the LIFFE FTSE 100 contract", Journal of Business Finance and Accounting 33 (7-8), 1267–1297

2005
  • Posthuma N. and Van der Sluis, P.J. (2005) The Hedge Fund Paradigm. Chapter 8 in Risk Management: A Modern Perspective, Michael Ong (ed). Academic Press.
  • Posthuma, N. and Van der Sluis, P.J. (2005) Analyzing Style Drift in Hedge Funds. Chapter 4 in Hedge Funds : Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, Greg N. Gregoriou, Nicolas Papageorgiou, Georges Hübner, Fabrice Rouah (eds) New York: Wiley. ISBN: 0-471-73743-7.
  • van der Nat,M.(2005):"Pensioenfondsen en aandeelhoudersmacht: stilzitten is geen optie", bijdrage in: Vergezichten, over beleggen, pensioen en toezicht, Riskmatrix, Driebergen, 2005, ISBN 90 8023 237 8, 175 -180.

  • Kräussl, Roman (2005): “Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?”, Journal of Financial Stability, 1(3), pp. 355-385.
  • Houweling, Patrick, and Ton Vorst (2005): "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, 24(8), 1200-1225.
    Click here to download.
  • Houweling, P. and A.C.F Vorst (2005), "Comparing Possible Proxies of Corporate Bond Liquidity", Journal of Banking and Finance 29(6), 1331-1358.
  • Boyle, P., M. Hardy and A.C.F Vorst (2005), "Life after VaR", The Journal of Derivatives, (13)1, 48-55.
  • Slijkerman, Jan Frederik, Dirk Schoenmaker and Casper G. de Vries (2005), ‘Risk Diversification by European Financial Conglomerates’, Tinbergen Institute Discussion Paper TI2005-110/2. Click here to download.
  • De Haas, Bruno en Dirk Schoenmaker (2005), ‘Macro-randvoorwaarden voor regulering pensioenfondsen’, Economisch Statistische Berichten, 90, nr. 4476, 535-537.
  • Schoenmaker, Dirk (2005), ‘Europa: een kans of een bedreiging voor de financiële sector?’, Inaugurele rede, Vrije Universiteit Amsterdam. Click here to download.
  • Schoenmaker, Dirk (2005), ‘De ECB na vijf jaar’, Economisch Statistische Berichten, 90, nr. 4474, 494-495. Click here to download.
  • Altman E.I. and H.A. Rijken, "The Impact of the Rating Agencies’ Through-the-cycle Methodology on Rating Dynamics", Economic Notes, Vol. 34, No 2 (July), pp. 127-54
  • Anglingkusumo, Reza (2005): "Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Instistute Discussion paper 05-051/4.
  • Anglingkusumo, Reza (2005): "Stability of the Demand for Real Narrow Money in lndonesia," Tinbergen Instistute Discussion paper 05-051/4.
  • Schoenmaker, Dirk en Sander Oosterloo (2005), ‘Grensoverschrijdend bankieren in Europa’, Economisch Statistische Berichten, 90, nr. 4466, 306-309. Click here to download.
  • Koopman, S.J., A. Lucas, and A. Monteiro (2005): "The multi-state latent factor intensity model for credit rating transitions," Tinbergen Institute Discussion paper TI05-071/4. Click here to download.
  • Koopman, S.J., A. Lucas, and R.J. Daniels (2005): "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion paper, TI 05-060/4. Click here to download.
  • Rijken H.A., 2005,"De gevolgen van Basel II voor de individuele MKB-onderneming blijven onzeker", Accounting, mei, 21 - 31
  • Rijken H.A. and A.A. Buckley, 2005, "Calendar patterns in momentum profits", working paper
  • Schoenmaker, Dirk and Anke Struijs (2005), ‘Cross-Border Mergers and Acquisitions in the European Banking Sector’, Fiducie, 13(3), 45-50.
  • Rooij, M.C.J. van, A.H. Siegmann and P.J.G. Vlaar (2005), "Beleidsopties voor pensioenfondsen", Economische Statistische Berichten(ESB), 25 maart 2005, 90, nr. 4456, pp. 124-127
  • Temel, T., and A. Lucas (2005): "Technical efficiency of Georgian farms after independence," International Journal of Applied Econometrics and Quantitative Studies, 2(1).
  • Schoenmaker, Dirk en Sander Oosterloo (2005), ‘Een lead supervisor voor Europese banken?’, Bank- en Effectenbedrijf, 54, maart, 20-23. Click here to download.
  • Koopman, S.J., A. Lucas, and P. Klaassen (2005): "Empirical Credit Cycles and Capital Buffer Formation", Journal of Banking and Finance, 29, 3159-3179.
  • Rooij, M.C.J. van, A.H. Siegmann and P.J.G. Vlaar (2005), "De consequenties van fair value bij pensioenfondsen: Een analyse met het DNB pensioenmodel PALMNET". De Actuaris 12(3), p. 17-20
  • Schoenmaker, Dirk (2005), ‘Central Banks and Financial Authorities in Europe: What Prospects?’, in: Donato Masciandaro (ed.), The Handbook of Central Banking and Financial Authorities in Europe, Edward Elgar, Cheltenham, 398-456. Click here to download.
  • Schoenmaker, Dirk and Sander Oosterloo (2005), ‘Financial Supervision in an Integrating Europe: Measuring Cross-Border Externalities’, International Finance, 8(1), 1-27. Click here to download.
  • Genton, M., and A. Lucas (2005): "Discussion of ’Breakdown and Groups’", Annals of Statistics, 33, 988-993.
  • Siegmann, A.H. and A. Lucas (2005), "Discrete-time financial planning models under loss-averse preferences", Operations Research, 53(3), 403-414. Download here.
  • Koopman, Siem Jan, and André Lucas (2005): "Business and Default Cycles for Credit Risk," Journal of Applied Econometrics, 20, 311-323. Click here to download.

2004
  • Posthuma, N. and Van der Sluis, P.J. (2004), A critical examination of historical hedge fund returns. Chapter 13 in Intelligent Hedge Fund Investing: Successfully Avoiding Pitfalls through Better Risk Evaluation, Barry Schachter (ed). Risk Books. ISBN 1 904339 22 0.
  • Posthuma N. and Van der Sluis, P.J. (2004), Unveiling hedge funds. Fiducie 13/2, 17-24.
  • Cheuk, T. and A.C.F Vorst (2004), " Shout Floors ", Financial Engineering Review 2(1), 15-35 (Also appeared in Net Exposure (2) 1997).
  • Houweling, P., A. Mentink and A.C.F Vorst (2004), " Valuing Euro Rating-Triggered Step-Up Telecom Bonds ", The Journal of Derivatives 11(3), 63-80.
  • Penas, M.F., and H. Unal (2004): "Gains in Bank Mergers: Evidence from the Bond Markets," Journal of Financial Economics, 74(1), 149-179.
  • Hamelink, F. and M. Hoesli, 2004, "Portefeuilles institutionnels suisses et immobilier européen", 2004, L’Expert-Comptable Suisse 8, 637-643
  • Fraser, P., F. Hamelink, M. Hoesli and B. MacGregor, 2004, "Time-varying betas and cross-sectional return-risk relation: evidence from the UK", European Journal of Finance 10, 255-276, (with P. Fraser, M. Hoesli and B. MacGregor)
  • Hamelink, F. and M. Hoesli, 2004, "Maximum Drawdown and the allocation to real estate", Journal of Property Research 21(3), 5-29
  • Hamelink, F. and M. Hoesli, 2004, "What factors determine international real estate security returns?", Real Estate Economics 3, 437-462
  • Schoenmaker, Dirk and Peter Wierts (2004), ‘Survival of the Fittest: Competing Models for Financial Supervision in Europe’, Current Politics and Economics of Europe, 13(1), 43-64.
  • Buckley, Adrian (2004): Instructors Manual: Multinational Finance, fifth edition, published by Financial Times - Prentice Hall.
  • Buckley, Adrian (2004): Multinational Finance, fifth edition, published by Financial Times - Prentice Hall.
  • van der Nat,M.(2004):"Zuid-Hollandse Bankiersaffaire: woningbouwcorporaties klaar voor herhaling", Controllers Magazine, december 2004, 42 -44.
  • Molenkamp, J.B. and C. Zweekhorst, "Z-scores bedrijfstakpensioenfondsen 1999-2003 geanalyseerd; Pensioenfondsen scoren in de tweede 5-jaars z-toets aanzienlijk beter; een kritische analyse," VBA journaal zomer 2004, nr.2, p 37-41.
  • Oosterloo, Sander and Dirk Schoenmaker (2004), ‘A Lead Supervisor Model for Europe’, Financial Regulator, 9(3), 34-42. Click here to download.
  • van der Nat,M.(2004):"Corporaties klaar voor nieuwe bankiersaffaire". Economisch Statistische Berichten (ESB), jaargang 89, oktober 2004, 518-520.
  • Altman E.I and H.A. Rijken, 2004, "Do credit rating migrations signal new information ?", working paper
  • Kraeussl, R. (2004): "The Impact of Sovereign Rating Changes during Emerging Market Crises", in M. Frenkel, A. Karmann and B. Scholtens: "Sovereign Risk and Financial Crises", pp. 89-111, Springer, Berlin.
  • Rijken H.A., 2004, “Risico Management”, FINEM publicatie
  • Rijken H.A., 2004,"Beschermingsconstructies: de netto balans voor de aandeelhouder", Accounting, november, 4 - 13
  • Rooij, M.C.J. van, A.H. Siegmann, and P.J.G. Vlaar(2004), "PALMNET: een Pensioen Asset en Liability Model voor Nederland". WO Research Memoranda no. 760, Netherlands Central Bank, DNB Click here to download.
  • Bogaerts, Bas, Alex Halsema, André Lucas, Erik de Wit (2004): "Visualisaties van financiële risico’s: voorstellen voor een kwantitatieve risico-indicator getoetst," [Visualizations of financial risk: an empirical test of four proposals for a quantitative risk indicator (in Dutch)] Maandblad voor Accountancy en Bedrijfseconomie (MAB), juli/augustus, 367-374. Click here to download.
  • Altman E.I and H.A. Rijken, 2004, "What do we prefer ? Stable ratings or timely ratings", to be published in Treasury Affairs 1 (2)
  • Altman E.I. and H.A. Rijken, 2004, "How rating agencies achieve rating stability", Journal of Banking and Finance, 28(11), 2679-2714. Click here to download.
  • Rijken H.A., 2004, "Risicomanagement is niet nieuw, de expliciete en gecoördineerde aanpak wel", Accounting, mei
  • Rijken H.A., 2004, "Stabiele of tijdige kredietratings ?", Accounting 108 (1/2), 3 - 11
  • Molenkamp J.B., "Risk allocation under shortfall constraints", Journal of Portfolio Management, Vol. 30 nr. 2 Winter 2004, p. 46-52.
  • Rijken, H.A., and A.B. Dorsman, 2004, "Are smallcaps undervalued ?," (Zijn smallcaps ondergewaardeerd ?; in Dutch) Fiducie12(2), 30-36
  • Siegmann, A.H. (2004), "Optimal Investment for Defined Benefit Pension Funds", DNB Staff Report 112, January 2004 Click here to download.
  • Siegmann, A.H. (2004), "Comment on Hovanov, Kolari and Sokolov: A stable currency numeraire?", Journal of Economic Dynamics and Control (28), nr. 8, pp. 1505-1510 Click here to download.
  • Abadir, K.M., Lucas, A. (2004): "A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model." Journal of Econometrics, 119(1), 45-71. Click here to download.
  • Franses, P.H., van Dijk, D., Lucas, A. (2004): "Short patches of outliers, ARCH and volatility modeling." Applied Financial Economics, 14(4), 221-232. Click here to download.

2003
  • Kraeussl, Roman (2003): "Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?", CFS Working Paper No. 2003/22. Click here to download.
  • Kraeussl, Roman (2003): "Sovereign Ratings and Their Impact on Recent Financial Crises", Working Paper, Center for Financial Studies. Click here to download.
  • Kraeussl, Roman (2003): "A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II", CFS Working Paper No. 2003/23. Click here to download.
  • Gondzio, J., R. Kouwenberg and A.C.F Vorst (2003), "Hedging Options under Transaction Costs and Stochastic Volatility ", Journal of Economic Dynamics & Control, 27(6), 1045-1068.
  • Hamelink, F. 2003, "Systematic patterns before and after large price changes: an investigation using high frequency data from the Paris Bourse", Journal of Forecasting 22, 533-549.
  • Buckley, Adrian (2003): "Why is Fundamental Value so Fundamental to Directors?", European Management Journal, 21(5), 635-646.
  • Buckley, A. (2003): "Why is Fundamental Value so Fundamental to Directors?" , 21(5).
  • Schoenmaker, Dirk (2003), ‘Financial Supervision: From National to European?’, Financial and Monetary Studies, 22(1), NIBE-SVV, Amsterdam. Click here to download.
  • Kremers, Jeroen, Dirk Schoenmaker and Peter Wierts (2003), ‘Cross-Sector Supervision: Which Model?’, in: Richard Herring and Robert Litan (eds), Brookings-Wharton Papers on Financial Services: 2003, Brookings Institution Press, Washington DC, 225-243. Click here to download.
  • Schoenmaker, Dirk (2003), ‘Discussion of “Is there a Goodhart’s Law in Financial Regulation?” and “Working with Market Forces”’, in: Paul Mizen (ed.), Monetary History, Exchange Rates and Financial Markets, Edward Elgar, Cheltenham, UK, 267-274. Click here to download.
  • Kremers, Jeroen, Dirk Schoenmaker and Peter Wierts (eds) (2003), Financial Supervision in Europe, Edward Elgar, Cheltenham, UK.
  • van der Nat, M.(2003):"Cash managers:terug in de realiteit", Controllers Magzine, mei 2003, 15-19.
  • van der Nat, M.(2003):"Fusieperikelen bij de Europese vennootscchap", Fusie & Overname, januari/februari 2003, 8-10.
  • van der Nat, M.(2003):Value-at-risk for non-financial enterprises, Treasury Affairs, Vol. 1, July 2003, 23-38.
  • van der Nat, M, and A. Buckley (2003): "Liquidity management, performace measurement and benchmarking", Treasury Affairs, 1, 15-22
  • van der Nat, M, and A. Buckley (2003): "Derivatives and the non-executive director", European Management Journal, 21, 389-397.
  • van der Nat, M(2003): "DACT and the Free University - Working together for treasury education", Treasury Management International, March 2003, 42-43.
  • Eerden, L.A. van (2003), ’International Financial Fragility and Basel-2’, Paper, Annual Meeting European Association of University Teachers of Banking and Finance, Michael Smurfit Graduate School of Business, University College Dublin, 6 p.
  • Kraeussl, R. (2003): "Sovereign Risk, Credit Ratings and the Recent Financial Crises in Emerging Markets: Empirical Analysis and Policy Conclusions", PhD Thesis, CFS Monograph Series Vol. 18, Fritz Knapp, ISBN: 3-8314-2610-4. Click here to download.
  • Peeters, Bas, Cees L. Dert, and Andre Lucas (2003): "Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong," TI Discussion Paper 2003-90/2. Click here to download.
  • Siegmann, A.H. (2003), "Shortfall Allowed: Loss Aversion and Habit Formation", WO Research Memoranda, no. 741, Netherlands Central Bank (DNB) Click here to download.
  • Siegmann, A.H. (2003), "Optimal Investment for Defined Benefit Pension Funds", WO Research Memoranda, no. 728, Netherlands Central Bank (DNB) Click here to download.
  • Lucas, Andre, Pieter Klaassen, Peter Spreij, and Stefan Straetmans (2003): "Tail behavior of credit loss distributions for general latent factor models," Applied Mathematical Finance10(4), 337-357.
  • Molenkamp, J.B. and C. Zweekhorst, "Z-scores bedrijfstakpensioenfondsen 1998-2002 geanalyseerd;de eerste 5-jaars z-toets levert de eerste uitvallers; een herbezinning", VBA journaal nr.2 19e jaargang,zomer 2003, p.26-34.
  • Dorsman, A.B., H.P.A.J. Langendijk, and B. van Praag (2003): "The association between qualitative management earnings forcasts and discretionary accounting in the Netherlands," European Journal of Finance9, 19-40.
  • Rijken, H.A., S.H. Roelofs and H.G. Eijgenhuijsen, 2003, "Relationship between value creation measures and stock return for the Dutch companies" (De relatie tussen waardecreatie en koersontwikkeling voor Nederlandse ondernemingen), 2003, MAB juli
  • Lucas A. and H.A. Rijken, 2003, “The limited dynamics of agency credit ratings: desired or unwanted ?” (De beperkte dynamiek van kredietratings: gewenst of ongewenst ?”), submitted for publication
  • Altman, E.I. and H.A. Rijken, 2003, “Benchmarking the timeliness of agency credit ratings with credit model scores”, working paper series, NYU Stern School of Business Salomon Center, S-03-10
  • Altman, E.I. and H.A. Rijken, 2003, “Influence rating methodology and rating migration "policy" on the dynamics of agency credit ratings”, working paper series, NYU Stern School of Business Salomon Center, S-03-11
  • Dert, C.L., M. Lodewijk, B. Oldenkamp, and M. de Pooter "The design and production of new retirement savings products: a note",Journal of Portfolio Management, Volume 29, number 3, Spring 2003, pp 123-126
  • Eerden, L.A. van (2003),’To Regulate or To Be Regulated’, in: Fuhrman, N., E. Schmoly and R. Singh Sud (eds.), Gegen den Strich.Oekonomische Theorie und politischen Regulierung, Munchen: Rainer Hampp Verlag, pp.103-121.
  • Berk, J.M. and B. Bierut (2003), "Committee structure and its implications for monetary policy decision-making",Research Memorandum 2003-6, Faculty of economics and business administration, Vrije Universiteit Amsterdam
  • Bakker, A.F.P. (2003): "Wie houdt toezicht op de kredietbeoordelaars?" Fiducie, 11(2), 37-42.
  • Keuleneer, L. and W. Verhoog (2003) Recent Trends in Valuation, From Strategy to Value. Chichester, UK: John Wiley & Sons Ltd. (ISBN 0470-85029-0)
  • Maeseneire, W. de, L. Keuleneer and N. Vermeiren (2003) Waardering van het Midden- en Kleinbedrijf (MKB). paper Vlerick Leuven Gent Management School (forthcoming).
  • Temel, T., and A. Lucas (2003): "Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression," VU Research Memorandum 2003-7 and ISNAR Working Paper No. 03-3. Click here to download.
  • Lucas, A. and H.A. Rijken, 2003, "De dynamiek van kredietwaardigheidsbeoordelingen," Fiducie, 11(2), 16-23.
  • Molenkamp, J.B. and A.H. Siegmann (2003), "Beter pensioentoezicht door discriminatie", Economische Statistische Berichten(ESB), 88(4393), 32.
  • Siegmann, A.H. (2003), Optimal Financial Decision Making under Loss Averse Preferences, Ph.D. thesis, promotie Vrije Universiteit Amsterdam (7 januari 2003). Amsterdam: Tinbergen Insitute Research Series, nr. 302 (ISBN 90-5170-671-5).
  • Berk, J.M. (2003), ’New Economy, Old Central Banks?’,Review of Banking, Finance and Monetary Economics, 32(1), 1-35.
  • Molenkamp J.B., "Risk allocation under shortfall constraints;Improved allocation by incorporating parameter uncertainty", research memorandum Vrije Universiteit 2003-9
  • Berk, J.M. and Berben, R.P.(2003), "Requirements for succesful currency regimes: the Dutch and Thai experiences", DNB Occasional Papers, 1,no 1, De Nederlandsche Bank (forthcoming)
  • Boender, C.G.E. (2003): "Asset Liability Management," in: Bestuur en management van pensioenen: regelingen, beleggingen en uitvoering, Den Haag: SDU Uitgeverij, forthcoming.
  • Genton, M.G., Lucas, A. (2003): "Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations," J.R.Statist.Soc. B, 65(1), 81-94.

2002
  • Hamelink, F., B. MacGregor, N. Nanthakumaran and A. Orr, 2002, "A comparison of UK equity and property duration", Journal of Property Research 19, 61-80
  • Mink, Eric en Dirk Schoenmaker (2002), ‘Europese toezichtcomités in beweging’, Bank- en Effectenbedrijf, 51, december, 32-35. Click here to download.
  • Schoenmaker, Dirk en Peter Wierts (2002), ‘Naar één Europese financiële markt!’, Economisch Statistische Berichten, 87, nr. 4380, 766-768. Click here to download.
  • Goodhart, Charles, Dirk Schoenmaker and Paolo Dasgupta (2002), ‘The Skill Profile of Central Bankers and Supervisors’, European Finance Review, 6(3), 397-427. Click here to download.
  • van der Nat,M.(2002:"Duration als instrument voor risicomanagement",bijdrage in: Handboek Treasury Management, Kluwer Fiscale en Financiele Uitgevers, Deventer, E6160-1-E6160-12, update december 2002
  • Compaijen, B. (2002) "Legde het kabinet-Balkenende de lat te hoog? Een timmermansoog.", Openbare Uitgaven, 34(5), pp 272-276
  • Compaijen, B. (2002) "Miljoenennota 2003: nu de lasten, later de lusten?", Economisch Statistische Berichten,87, pp 660-662
  • Gilbert, C.L. and E. Tollens (2002) Does market liberalization jeopardize export quality? Cameroonian cocao 1995-2000. CEPR Trade Discussion paper, nr. 3224.
  • Gilbert, C.L. (2002) "Commodity risk management: preliminary lessons from the International Task Force. In: Resource Management in Asia Pacific Developing countries. R. Garnault (ed.), Canberra: Asia Pacific Press.
  • Burger, C.P.J., C.L. Gilbert and H.P. Smit (2002)"Regulation and Deregulation of Commodity Markets in the Twentieth Century, In: International Commodity Organisations in Transition, E. Chrispeels (ed), London: Cameroon May Ltd.
  • Bakker, A.F.P. (2002) "Das Konigreich der Niederlande: Der niederlandische Weg zu einer Stabilen und Dauerhaften Hauspolitik". Wege aus der Schuldenfalle, Finanzpolitische Stabilitat fur Europa,(Reihe "Wirtschaftspolitische Diskurse", 146, pp. 31-37.
  • Bakker, A.F.P. (2002) Advanced Country Experiences with Capital Account Liberalisation. Occasional Paper, 214. Washington DC, Inernational Monetary Fund, 58 pp
  • Bakker, A.F.P. (2002) "Promoting financial stability: The role of central banks", Central Bank of Malta Quarterly Review, 35(2), pp. 52-57
  • Dert, C. (2002). Boekbespreking: "Spelen met Kansen", VBA Journaal,3, 13.
  • Buckley A.A., K.L. Tse, H.A. Rijken and H.G. Eijgenhuijsen, 2002,"Stock Market Valuation with Real Options: lessons from Netscape", European Management Journal, vol. 20(5), 512-526
  • Rijken H.A. en A.B. Dorsman, "Zijn smallcaps ondergewaardeerd ? Analyse van het smallcap probleem in Nederland", Accounting, 2002
  • Rijken, H.A., S.H. Roelofs, en H.G. Eijgenhuijsen, "EVA levert een bescheiden bijdrage aan de verklaring van abnormale koersontwikkeling" VU Research Memorandum 2002-35
  • van der Nat,M.(2002):"De baggeraars en de nieuwe structuurregeling",Economisch Statistische Berichten (ESB), jaargang 87, september 2002, 643-645
  • van der Nat,M.(2002):"Gewapend voor de toekomst", Controllers Magazine, juni/juli 2002, 25-29.
  • Dert, C.L., M. Lodewijk, B. Oldenkamp, and M. de Pooter (2002): "The design and production of new retirement savings products: a note," VU Research Memorandum 2002-33. Click here to download.
  • Menkveld, A.J., 2002, "Fragmented Markets: Trading and Price Discovery", PhD Thesis, Tinbergen Institute Research Series 276, ISBN 90-5170-595-6.
  • Hupperets, E.C.J., and A.J. Menkveld, 2002, "Intraday Analysis of Market Integration:
    Dutch Blue Chips traded in Amsterdam and New York", Journal of Financial Markets 5(1), 57-82.
    Click here to download.
  • Klaassen, P. (2002): “Comment on ‘Generating scenario trees for multistage decision problems’”, Management Science, 48(11), 1512-1516.
  • Koopman, S.J., A. Lucas, and P. Klaassen (2002): "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation", Tinbergen Institute Discussion paper 02-107/2. Click here to download.
  • Molenkamp, J.B., and K. Zweekhorst, "Prestaties bedrijfstakpensioenfondsen geanalyseerd;
    De z-score toets zegt niet alles", VBA journaal december 2002,nr. 3, p.24-30.
  • Berk, J.M. and Swank, J. (2002), "Regional price adjustment in a monetary union: the case of EMU", Tinbergen Institute Discussion paper, TI 2002-0777/2
  • Berk, J.M.(2002), "Central banking and financial innovation: a survey of the modern literature", Quarterly Review, Banca Nazionale del Lavoro,222, pp. 1-35
  • Berkelaar, A.B., C.L.Dert, B.Oldenkamp and S. Zhang, "A Primal Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming", Operations Research, Volume 50, number 5 (September-October), 2002
  • Plantinga, A. and L.J.R. Scholtens, "Socially Responsible Investing and Management Style of Mutual Funds in the Euronext Stock Markets", Revue bancaire et financière, Vol. 66, No. 4, 2002, pp.248-254. Click here to download.
  • Plantinga, A en E.Y. Heydenrijk, ‘De waarde van beleggingsadviezen’, Economisch Statistische Berichten , nr 4355, pp. 296-298.
  • Plantinga, A and J.S. de Groot, ‘Risk-adjusted performance measures and implied risk attitudes’, The Journal of Performance Measurement, Volume 6, Number 2 (Winter), pp. 9 - 20.
    Click here to download.
  • Lucas, A. , Klaassen, P. , Spreij, P. , Straetmans (2002): "Extreme Tails for Linear Portfolio Credit Risk Models," Risk Measurement and systemic risk. Proceedings of the Third Joint Central Bank Research Conference, October, Basle: Bank of International Settlements, pp. 271-283. Click here to download.
  • Lucas, A., and P. Klaassen (2002): "Dynamic credit risk modeling", External research report, 69p.
  • Siegmann, A.H. and A. Lucas (2002), "Explaining Hedge Fund returns by Loss Aversion: A rational alternative". Tinbergen Discussion Paper 02-046/2. Click here to download.
  • van der Nat,M. (2002):"Treasury management ook na de introductie van de euro nog interessant", Dossier over Onderneming, Financiering en Recht, april 2002 (nr 50), 79-83.
  • van der Nat,M. (2002): "De register treasurer : penningmeester of financieel directeur", Avenir Economisch Bulletin, Vol. 8, februari 2002, 17-18.
  • Penas, M., "Bailout Policy and Risk-Taking Behavior", Working Paper, 2002. Click here to download.
  • Penas, M., and H. Unal, "Gains in Bank Mergers: Evidence from the Bond Markets", Working Paper, 2002. Click here to download.
  • Berk, J.M.(2002),"Monetaire transmissie in een nieuwe economie", Economisch-Statistische Berichten, vol 87, no 4347, pp. 128-130
  • van der Nat,M. (2002): "De overheidsbankier is terug",Economisch Statistische Berichten (ESB), jaargang 87,januari 2002, 68-69
  • Siegmann, A.H., A. Lucas, and J.B. Molenkamp, "Pensioenfondsen: Omgaan met onvermijdbare risico’s", Economisch Statistische Berichten(ESB), 1 februari 2002, 87, nr. 4345, p. 88-89.
  • Lucas, A., J.B. Molenkamp and A.H. Siegmann: "De Pensioen- en Verzekeringskamer komt van rechts:
    Buffervorming en beleggingsbeleid bij Nederlandse pensioenfondsen," VU Research Memorandum RM 2002-2. Click here to download.
  • Berk, J.M. (2002), "Consumers’ inflation expectations and monetary policy in Europe", Contemporary Economic Policy, 20, pp. 122-133.
  • Rijken H.A. en K. van Montfort, "Determinanten van overnamepremies: de waarde van zeggenschap en beschermingsconstructies ten tijde van overnames", Bedrijfskunde 74 (4), 2002, 85 - 92
  • Siegmann, A.H. (2002), "Optimal saving rules for loss-averse agents under uncertainty", Economics Letters, 77(1), 27-34.
    Available as Tinbergen Discussion paper 01/079 Click here to download.
  • Lucas, A. (2002) "Het risicobegrip vanuit het perspectief van de financiele economie en kansrekening," in Perspectieven op Milieurisico’s, B. Wissink en J. Bouma (eds.), WRR Working Document W128, pp. 25-66. Den Haag, Wetenschappelijke Raad voor het Regeringsbeleid.
    [Dealing with environmental risks: lessons from probability theory and financial economics.] Click here to download.
  • Boswijk, H.P., and A. Lucas (2002): "Semi-nonparametric cointegration testing," Journal of Econometrics, 108(2), 253-280.
  • Lucas, A., van Dijk, R., Kloek, T. (2002): "Stock Selection, Style Rotation, and Risk." Journal of Empirical Finance, 9(1), 1-34. Click here to download.

2001
  • Hamelink, F. 2001, "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?", European Journal of Finance 7, 1-21.
  • Kremers, Jeroen, Dirk Schoenmaker and Peter Wierts (2001), ‘Does Europe Need a Euro-wide Supervisor?’, Financial Regulator, 6(3), 50-56. Click here to download.
  • Jonk, Annet, Jeroen Kremers and Dirk Schoenmaker (2001), ‘A New Dutch Model’, Financial Regulator, 6(3), 35-38. Click here to download.
  • Gilbert, C.L. and F. Ferretti (2001) "Price variability and marketing method in non-ferrous metals: Slade’s analysis revisited", Resources Policy, 27, pp. 169-177
  • Boender, C.G.E., B. Kramer, H. Steehouwer, and T.B.M. Steenkamp (2001): "Indexleningen bij Pensioenfondsen," VBA-journaal, April.
  • Rijken H.A., A.A. Buckley and K.L. Tse, “Past-return strategies in the UK stock market”, November 2001, working paper
  • Rijken H.A., K.L. Tse and A.A. Buckley, “Contrarian strategies in bear and bull markets: empirical evidence from the UK stock market”, August 2001, working paper
  • Berk, J.M. and K. Knot (2001), "Testing for long horizon UIP using PPP-based exchange rate expectations", Journal of Banking and Finance, volume 25, 377-391
  • Berk, J.M. (2001),"New economy, old central banks? Monetary transmission in a new economic environment", VU Research Memorandum, 2001-32, Vrije Universiteit Amsterdam
  • Berk, J.M. and K. Knot(2001), "The term structure of UIP: Evidence from survey data",Applied Economic Letters, volume 8, 459-462.
  • Berk, J.M.(2001), " The preparation of monetary policy: essays on a multi-model approach", Kluwer Academic Publishers, Boston.
  • Berk, J.M., and P.A.G. Van Bergeijk (2001),"On the information content of the yield curve: lessons for the Eurosystem", Kredit und Kapital, volume 34, 2001, 28-47
  • Gilbert, C.L. (2001), review of N. Cartwright, “The Dappled World: A Study of the Boundaries of Science”, Economic Journal, 111 (2001), F139-41.
  • Gilbert, C.L. (2001), “What is an exchange?”, The Ringsider, March 2001, 10-12.
  • Gilbert, C.L., G. Irwin and D. Vines (2001), “Capital account convertibility, poor developing countries and international financial architecture”, Development Policy Review, 19 (2001) 121-41.
  • Qin, D., and C.L. Gilbert (2001), “The error term in econometrics”, Econometric Theory, 17 (2001), 424-50.
  • Dorsman, A.B., L. VanThienen, L. Keuleneer, C. van Hulle, L. Gheysens, Gestion Financiere, Editions Standaard, ISBN 90-341-9649-6.
  • Buckley, A., and A.B. Dorsman, The Amsterdam Stock exchange in 1998: How the supervisory authorities turned a problem into a crisis, European Management Journal, vol. 19, no. 3, June 2001, pp. 286-290.
  • Dorsman, A.B., K. van Montfort and I. Vink, An augmented Lintner dividend model tested with data from the Netherlands, International Journal of Management, vol. 18, no. 2, June 2001.
  • Rijken, H.A., A.B. Dorsman, F.B.F. Meijer en D. van Sluis, “Waardering smallcaps”, FINEM publicatie 2001, ISBN 90-5667-010-7
  • Michon, R.H.L., H.A. Rijken en E.J. Wentzel, “Toename convertibles: meer dan een last best optie”, Tijdschrift voor Corporate Finance, 2001, jaargang 6 (1), 22 - 32
  • Rijken, H.A., “Value Based Management”, FINEM publicatie 2001, ISBN 90-5667-008-5
  • Rijken, H.A., L.P.F. van de Voort en T.C.V. Rutgers, “Tracking stocks hebben nog geen track record”, Tijdschrift voor Financieel Management, maart/april 2001, 51 - 63.
  • Rijken, H.A., en P.C.M. Claes, “Het meten van waardecreatie: verandering van de mindset is belangrijk, niet de exacte berekening”, Tijdschrift voor Bedrijfsadministratie, september 2001, 260 - 267
  • van der Nat, M. (2001): "New Duration techniques," Risk, July (Vol.14), South Africa Special Report (supplement), S18-S21.
  • Dorsman e.a, Gestion Financiere, 2001, Editions Standards, ISBN 90-341-9649-6
  • Plantinga, Auke and Carel Huijgen, "Performance measurement and insurance liabilities" , Journal of Portfolio Management, Volume 27, Number 3 (Spring) 2001, pp 105 - 115.
  • Plantinga, Auke and Sebastiaan de Groot, "Utility theory and value functions", In: Managing Downside Risk in Financial Markets , Eds. Steven Satchell & Frank Sortino, 2001.
  • Lucas, A. (2001) Wat willen we eigenlijk? Over preferenties, risico’s en financiele markten, Inaugurele rede, Amsterdam: VU drukkerij. Click here to download.
  • Dert, C. "Volatilitijden?", Bank- en Effectenbedrijf, 50e jaargang - juli/augustus 2001, 2-3.
  • Vanbergeijk, P.A.G., Berk, J.M. (2001): "European monetary union, the term structure and the Lucas critique." Kyklos, volume 54, 547-557.
  • van der Nat, M. (2001): "Maatschappelijk ondernemen : geen wetgeving, maar niet vrijblijvend", Liberaal Reveil, jaargang 42, juni 2001, 131-135
  • van der Nat, M. (2001): "Schatkistbankieren : een stap te ver", Economisch Statistische Berichten (ESB), jaargang 86, juni 2001, 513-515,
  • van der Nat, M. (2001): "Maatschappelijk ondernemen (redactioneel)", Tijdschrift Financieel Management, jaargang 21, januari/februari 2001, 3.
  • Eerden, L.A. van (2001),’Structural regulation of the banking industry in the Netherlands: shift of power 1980-1995’, in: Mark Bovens, Paul ’t Hart and B. Guy Peters (eds.), Success and Failure in Public Governance. A Comparative Analysis, Cheltenham: Edward Elgar, pp.363-382.
  • Brunetti, C., Gilbert, C.L. (2001): "Bivariate FIGARCH and fractional cointegration." Journal of Empirical Finance7(5) 509-530. Download here.
  • Lucas, A., Klaassen, P., Spreij, P., Straetmans (2001): "Tail Behavior of Credit Loss Distributions for General Latent Factor Models." TI Discussion Paper 01-023/2. Click here to download.
  • Lucas, A., Klaassen, P., Spreij, P., S. Straetmans (2001): "An analytic approach to credit risk of large corporate bond and loan portfolios." Journal of Banking & Finance, 25 (9), 1635-1664.
    [Erratum to “An analytic approach to credit risk of large corporate bond and loan portfolios,” Journal of Banking and Finance 26, no. 1, pp 201-202. Click here.]
    Additional proofs (the available upon request part): download here.
    Complete paper: Click here to download.
  • Lucas, A., Klaassen, P. (2001): "Fat tails and the effect on optimal asset allocations." in: Banking Strategies and Challenges in the New Europe, E.P.M. Gardener and P.J. Versluijs (eds.), Basingstoke: Palgrave, pp. 272-288.
  • Lucas, A. (2001): "An Evaluation of the Basle Guidelines for Backtesting Banks’ Internal Risk Management Models," Journal of Money, Credit, and Banking33(3), 826-846.

2000
  • Jiang, G..J and Van der Sluis, P.J. (2000), Option Pricing with the Efficient Method of Moments , Chapter 42, p661-687 in Computational Finance 1999, Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend (eds.). Cambridge, MA: MIT Press. ISBN 0-262-01178-6
  • Kemna, A.G.Z. and A.C.F Vorst (2000), "A Pricing Method for Options Based on Average Asset Values ", in: ed. Lane Hughston, Options, Classic Approaches to Pricing and Modelling, RISK Books, 345-360. First published in Journal of Banking and Finance.
  • Donders, Monique W.M., R. Kouwenberg and A.C.F Vorst (2000), "Options and Earnings Announcements: An Empirical Study of Volatility", Trading Volume, Open Interest and Liquidity , European Financial Management, 6(2), 149-171.
  • Menkveld, Albert J. and A.C.F Vorst (2000), "A Pricing Model for American Options with Gaussian Interest Rates ", Annals of Operations Research, 100, 211-226.
  • Vorst, A.C.F (2000), "Optimal Portfolios under a Value at Risk Constraint",">in: Progress in Mathematics, eds. C. Casacuberta, R.M. Miró-Roig, J. Verdera, S. Xambó-Descamps, Proceedings of the European Congress of Mathematics, Barcelona, Volume II, Birkhäuser.
  • Beneder, R. and A.C.F Vorst (2000), "Options on Dividends Paying Stocks ", in Proceedings of the International Conference on Mathematical Finance, Shanghai, 204-217, World Scientific Publishing Company.
  • Kremers, Jeroen, Tjerk Kroes and Dirk Schoenmaker (2000), ‘Reforming Financial Supervision: Experiences from the Netherlands’, Financial Market Trends, 75, OECD, 159-169.
  • Schoenmaker, Dirk (2000), ‘What Kind of Financial Stability for Europe?’, in: Charles Goodhart (ed.), Which Lender of Last Resort for Europe?, Central Banking Publications, London, 213-223. Click here to download.
  • Schoenmaker, Dirk (2000), ‘The Role of the Central Bank in the Financial System’, in: Bo Green (ed.), Risk Behaviour and Risk Management in Business Life, Kluwer, Dordrecht, 329-333.
  • van der Nat, M.(2000): "Do derivatives increase the volatilities of the financial markets?",IFC Bulletin, October 2000, Irving Fischer Committee on Central-Bank Statistics, 4-10.
  • Lucas, A. (2000): "A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior," Journal of Business and Economic Statistics, 18(1), 31-39.
  • Berk, J.M. and P van Bergeijk (2000), "Is the yield curve a useful information variable for the Eurosystem?",ECB Working Paper, no 11.
  • Berk, J.M., A. Houben and J.Kakes (2000), "The monetary policy strategy of the Eurosystem", in: P.van Bergeijk, R. Berndsen and J. Jansen (eds), The Economics of the euro area,Edward Elgar,173-195
  • Rijken. H.A., M. Booij and A.A. Buckley, "Valuation differences between quoted and unquoted companies - empirical evidence from the UK", The European Journal of Finance 5, 2000, 256 - 275
  • Frijns, J.M.G., Steenkamp, T.B.M. (2000): "Financieel toezicht op conglomoraten vanuit perspecief van een groot pensioenfonds". Liber Amicorum Vermaat
  • Hamelink F., M. Hoesli, C. Lizieri and B. MacGregor, 2000, "Homogeneous property market groupings and portfolio construction in the UK", Environment and Planning A, volume 32, 323-344.
  • Eerden, L.A. van, D.M.N. van Wensveen (2000),The New Capital Framework: A Challenge to Supervisory Review, Paper,4th Annual EUNIP Conference, Tilburg University, December 7-9
  • Eerden, L.A. van, D.M.N. van Wensveen, R. Mahieu (2000), ‘Wat waardeert de belegger?’, in: Economisch Statistische Berichten, 85e Jaargang, nr. 4280, 10 november 2000, pp.900-904.
  • Taylor, N., van Dijk, D., Franses, P.H., Lucas (2000): "SETS, arbitrage activity and stock price dynamics." Journal of Banking and Finance, 24(8), 1289-1306.
  • van der Nat, M. (2000): "Leverage in de treasury : kennis, ervaring en controle." Controllers Magazine2000 .
  • van der Nat, M. (2000): "Zuid Holland een jaar na het debacle." Provincie en Gemeente51(oktober 2000) 16-19.
  • van der Nat, M. (2000): "Managing a loan portfolio with a duration matrix." The Canadian Treasurer2000(october/november) 41-44.
  • Straetmans, S.T.M. (2000): "Spillovers in Equity Markets." in: Extremes and Integrated Risk Management2000. London:Risk Publishers. 187-204.
  • Steehouwer, H., van Hoogdalem, S., Boender, C.G.E. (2000): "Dynamische asset-allocatie strategieen voor pensioenfondsen." VBA Journaalforthcoming .
  • Siegmann, A.H. and A. Lucas (2000): "Analytic decision rules for financial stochastic programs." Tinbergen Institute Discussion papers, TI 2000-041/2. Click here to download.
  • Siegmann, A.H. (2000): "Book review: Worldwide Asset and Liability Modeling by W.T. Ziemba and J.M. Mulvey (eds.), Cambridge University Press, Cambridge, 1998." European Journal of Operations Research122 173-174.
  • Klaassen, P. (2000): "Kwantitatief Kredietrisicomanagement." Medium Econometrische Toepassingen 8 (3) 9-15.
  • Driessen, J., Klaassen, P., Melenberg, B. (2000): "The performance of multi-factor term structure models for pricing and hedging caps and swaptions.", Center for Economic Research No. 2000-93, Katholieke Universiteit Brabant. Download here. Journal of Financial and Quantitative Analysis, forthcoming.
  • Dert, C.L., Oldenkamp, K.P.B. (2000): "Optimal Guaranteed Portfolios and the Casino Effect." Operations Research48, nr.5(September-October) .
  • Dert, C.L. (2000): "Asset Liability Management en Derivaten." VBA Journaaljuni 2-6.
  • Dert, C.L. (2000): "Wie niet waagt, die wint Over opties en gemiste kansen." Risico & RendementAflevering 26, augustus G.7.3-01 - G.7.2-22.
  • Boswijk, H.P., Lucas, A., Taylor, N. (2000): "A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests." in: Advances in Econometrics: Applying Kernel and Nonparametric Estimation to Economic Topics, Vol. 142000. Cambridge:Cambridge University Press. 25-47. Click here to download.
  • Boender, C.G.E., Vos, M. (2000): "Risk/return budgeting at pension plans." in: Risk Budgeting2000. New York:Institutional Investor Inc.. 80-88.
  • Boender, C.G.E., van Hoogdalem, S., Jansweijer, R.M.A., van Lochem (2000): "Intergenerationele solidariteit en individualiteit in de tweede pensioenpijler: een scenario-analyse." Werkdocument Wetenschappelijke Raad voor het RegeringsbeleidW114 86. Click here to download.
  • Bakker, A.F.P., Schrijvers, M. (2000): "The financial benefits of the IMF." VU Research Memorandum2000-30 (22 pp.).
  • Abadir, K.M., Lucas, A. (2000): "Quantiles for t-statistics based on M-estimators of unit roots." Economics Letters67(2) 131-137.

1999
  • Van der Sluis, P.J. (1999), Estimation and Inference with the Efficient Method of Moments: With Applications to Stochastic Volatility Models and Option Pricing, Amsterdam: Thela Thesis. Tinbergen Institute PhD Series no 204.
  • Jiang, G.J. and Van der Sluis, P.J. (1999), Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. European Finance Review 3, 273-310. Journal renamed Review of Finance in 2004.
  • Vorst, A.C.F (1999), "Parisian Option Valuation", Derivatives Week, VIII(8), 6-7.
  • Cheuk, T. and A.C.F Vorst (1999), "Average Interest Rate Caps ", Computational Economics, 14, 183-196.
  • Schoenmaker, Dirk (1999), ‘Contagion Risk in Banking’, in: Jun Muranaga (ed.), Risk Measurement and Systemic Risk, Bank of Japan, Tokyo, 85-103. Click here to download.
  • Rijken H.A. en K.L. Tse, "Is de B/M-waarde beleggingsstrategie risicovol ?", VBA Journaal 14, juni 1999
  • Eigenhuijsen H.G., S. Plomp, H.A. Rijken en L.P.F. van der Voort, "Equity carve-out: onbekend maakt ondergewaardeerd", Tijdschrift Financieel Management mei/juni 1999, 33 – 42
  • Vries W. de, H.A. Rijken en B. Wiegmans, "Maakt aandelenbezit loyaal ?", Tijdschrift voor Marketing juli/aug 1999, 20 - 22
  • Berk, J.M. and K.Knot (1999),"Co-movement in long-term interest rates and the role of PPP-based exchange rate expectations",IMF Working Paper, WP/99/81, IMF, Washington
  • Sortino, Frank, Robert van der Meer, and Auke Plantinga, "The Dutch Triangle: A Framework to Measure Upside Potential relative to Downside Risk", Journal of Portfolio Management, Fall, 1999, pp. 50-58.
  • Sortino, Frank, Robert van der Meer, and Auke Plantinga, "The upside potential ratio", The Journal of Performance Measurement, Vol. 4, No. 1, 1999, pp 10-15.
  • Berk, J.M. and A. Houben (1999): "De monetaire beleidsstrategie van het Eurosysteem", Economisch Statistische Berichten, volume 84, 49.
  • Berk, J.M.(1999),"Did markets expect Italy to join EMU? Evidence from options markets",Applied Economic Letters, volume 6, 481-484
  • Berk, J.M.(1999),"Measuring inflation expectations: a survey data approach", Applied Economics, volume 31, 1467-1480
  • Giliberto M, F. Hamelink, M. Hoesli and B. MacGregor, 1999, "Optimal diversification within multi-asset portfolios using a conditional heteroscedasticity approach: evidence from the US and the UK", Journal of Real Estate Portfolio Management, Volume 5, Number 1, 31-46.
  • Bourassa S, F. Hamelink, M. Hoesli and B. MacGregor, 1999, "Defining Residential Submarkets: Evidence from Sydney and Melbourne", Journal of Housing Economics 8, 160-183.
  • van Dijk, D., Franses, P.H., Lucas, A. (1999): "Testing for smooth transition nonlinearity in the presence of outliers." Journal of Business and Economic Statistics17(2) 217-235.
  • van Dijk, D., Franses, P.H., Lucas, A. (1999): "Testing for ARCH in the presence of additive outliers." Journal of Applied Econometrics14 539-562.
  • van der Nat, M. (1999): "Value at risk in een Euro context." VBA Journaal1999(july) 10-13.
  • van der Nat, M. (1999): "Value at risk in an Euro context." in: Hoe goed is een woord op zijn tijd1999. Amsterdam:Koninklijke NIVRA. .
  • van der Nat, M. (1999): "Bestuurders, aandeelhouders en commissarissen : wapenstilstand of wetgeving." Tijdschrift Financieel Management1999(september/oktober) 77-81.
  • van der Nat, M. (1999): "VAR in an East European Context." Treasury Management International1999(December) 37-41.
  • van der Nat, M. (1999): "Value at risk in an Euro context." The Treasurer1999(May) 18-20.
  • van der Nat, M. (1999): "Het einde van de overheidsbankier?." Tijdschrift Financieel Management1999(september/oktober) .
  • Siegmann, A.H. and A. Lucas (1999): "Continuous-time dynamic programming for ALM with Risk averse loss functions." in: Proceedings of the 9th International AFIR Colloquium1999. Tokyo:The Institute of Actuaries of Japan. 183-193. Click here to download.
  • Lucas, A., Straetmans, S.T.M., Klaassen, P., P. Spreij (1999): "Tail behavior of credit loss distributions." VU Research Memorandum 1999-60.
  • Lucas, A. (1999): "Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement." Economisch en Sociaal Tijdschrift53(3) 369-410.
  • Lucas, A. (1999): "Value-at-Risk en risicomanagement in de banksector." FSR Forum4(1) 27-30.
  • Lucas, A. (1999): "Testing backtesting. Merging elements of the pre-commitment approach with the Basle guidelines for backtesting internal risk management models." in: : Internal Modelling and CAD II1999. London:Risk Book Publication. 13-26.
  • Klaassen, P., Lucas, A., Spreij, S., Straetmans S. (1999): "On the Distribution of Credit Losses of Corporate Bond and Loan Portfolios." in: Financiering en Belegging 1999 (deel 22). Rotterdam: Erasmus Universiteit. 172-188.
  • Franses, P.H., Kloek, T., Lucas, A. (1999): "Outlier robust analysis of long-run marketing effects for weekly scanning data." Journal of Econometrics89(1-2) 293-315.
  • Dorsman, A.B. (1999): Vlottend financieel managementDeventer:Kluwer Bedrijfswetenschappen.
  • Dert, C.L. (1999): Wie niet waagt, die wint. Over opties en gemiste kansen. (inaugural lecture)Amsterdam:Vrije Universiteit.
  • Boender, C.G.E., van Hoogdalem, S. (1999): "Defined benefit/defined contribution: een risico-rendement perspectief." in: Studies naar defined benefit- en defined contributionregelingen1999. Den Haag:Stichting Pensioenwetenschap. 156-169.
  • Bakker, A.F.P., Meesters, J.H. (1999): Grenzen aan het kapitaalverkeer? LIberalisatie in opkomende economieën: een herwaarderingGroningen:Wolters Noordhoff.
  • Bakker, A.F.P., Frankena, G.A., Meesters, J.H. (1999): (On)beheersbare kapitaalstromenAmsterdam:Monetaire Monografieën.
  • Bakker, A.F.P. (1999): "Monetary policy and price stability in an integrated financial world Comments on papers by Karen Johnson and Erich Streissler." in: Möglichkeiten und Grenzen der Geldpolitik1999. Vienna:Österreichische Nationalbank. .
  • Bakker, A.F.P. (1999): "A fiscal insurance for the EMU. Comments on a paper by Jürgen von Hagen." in: Tools for regional stabilisation; Research Memorandum 99031999. The Hague:Ministry of Economic Affairs. .

1998
  • Van der Sluis, P.J. (1998), Computationally Attractive Stability Tests for the Efficient Method of Moments, Econometrics Journal 1, C203-C227.
  • Kofman, P., M. Martens and A.C.F Vorst (1998), "A Threshold Error Correction Model for Intraday Futures and Index Returns ",  Journal of Applied Econometrics, 13, 245-263.
  • Donders, Monique W.M. and A.C.F Vorst (1998), "Trading Volume", Open Interest and Liquidity in Stock Options Around Earnings Announcements , Proceedings of the Tenth Annual European Futures Research Symposium, 189-217.
  • Donders, Monique W.M. and A.C.F Vorst (1998), "The Impact of Firm Specific News on Implied Volatilities ", in: ed. Robert Jarrow, Volatility; New Estimation Techniques for Pricing Derivatives, RISK Books, 147-154.
  • Cheuk, T. and A.C.F Vorst (1998), "Breaking down Barriers ", in: ed. Mark Broadie and Paul Glasserman, Hedging with Trees: Advances in Pricing and Risk Managing Derivatives, RISK Books, 21-24.
  • Klaassen, P., E. van Leeuwen,and B. Schreurs (1998), "One-Factor Fallacy", Risk11 (December), 56-59.
  • Berk, J.M.(1998),"Recovering and using market expectations from options markets",DNB STaff Reports,25
  • Berk, J.M.(1998),"Beleid en wetenschap in de centrale bank", Economisch Statistische Berichten, volume 83, 570
  • Berk, J.M.(1998),"De interactie tussen financiele structuur en conjunctuur", Maandschrift Economie, volume 62, 79-96
  • Berk, J.M.(1998), "The information content of the yield curve for monetary policy", De Economist, volume 146, 303-320
  • Hamelink F., and M. Hoesli, 1998, "A multivariate conditional CAPM with threshold ARCH specifications", Advances in Investment Analysis and Portfolio Management, Volume 5, 1998, Jai Press Inc., 217-234.
  • Hamelink F, 1998, "On the specification of duration between price changes and the predictability of high frequency returns: an application to the French CAC 40", Finance, Vol. 19, 139-163.
  • Eerden, L.A. van, C. Graafsma (1998), ‘Een zoektocht naar nieuwe financiële verhoudingen’, in: B. van Riel et.al.(red.), Het kapitalisme sinds de jaren zeventig, Tilburg University Press, pp.157-179.
  • Eerden, L.A. van, B. van Riel, S. Stoop en C. van Diek (1998): Hoofdstuk 1: Inleiding, in B. van Riel et.al(red.), Het kapitalisme sinds de jaren zeventig, Tilburg University Press, pp 7-21.
  • Eerden, L.A. van, B. van Riel, S. Stoop, C. van Diek (red.)(1998), Het kapitalisme sinds de jaren zeventig, Tilburg University Press.
  • Eerden, L.A. van, J. de Bruijne, C. Groothuizen, M. Koenen, R. van der Tweel, A. van der Venne, R. van der Zee (1998), Management of Banking Crises: Towards an Early-Warning System: the cases of Japan, Mexico and Thailand, Rotterdam, Management Report Series 1998-7, 80 p.
  • Eerden, L.A. van (1998), Het effect van geruchten en voorspellingen op handelsgedrag. Plaatsbepaling’, in: Tijdschrift voor Strategische Bedrijfscommunicatie, Jaargang 4, nummer 1, pp.66-68.
  • Take, R. (1998): "De jaarrekening, kasstroomanalyse en de financier." Tijdschrift Controlling11(11) 52-55.
  • Steenkamp, T.B.M. (1998): "Het pensioenfondsoverschot doorgelicht." Economische Statistische BerichtenVolume missing 756-760.
  • Rijken, H.A en P. de Bruin, "Realiseer uw marktstrategie met organisatievernieuwing." Holland Management Review 59, 1998, 70-81
  • Lucas, A., Klaassen, P. (1998): "Extreme returns, downside risk, and optimal asset allocation." The Journal of Portfolio Management 25 (Fall), 71-79.
  • Lucas, A., Franses, P.H. (1998): "Outlier detection in cointegration analysis." Journal of Business and Economic Statistics16(4) 459-468.
  • Lucas, A., Dert, C.L. (1998): "On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework." VU Research Memorandum1998-57 .
  • Lucas, A. (1998): "Inference on cointegration ranks using LR and LM tests based on pseudo-likelihoods." Econometric Reviews17(2) 185-214.
  • Klaassen, P. (1998): "Solving stochastic programming models for asset/liability management using iterative disaggregation." in: Worldwide Asset and Liability Modeling, W.T. Ziemba and J.M. Mulvey (eds), 1998. Cambridge:Cambridge University Press. Chapter 18.
  • Klaassen, P. (1998): "Financial asset-pricing theory and stochastic programming models for asset/liability management: a synthesis." Management Science 44 (January) 31-48.
  • Groenendijk, P.A., Lucas, A., de Vries, C.G. (1998): "A Hybrid Joint Moment Ratio Test for Financial Time Series." VU Research Memorandum1998-47. Click here to download.
  • Goslings, J.H.W. (1998): "Beleggingen van levensverzekeraars en pensioenfondsen1900-heden." 958-985.
  • Goslings, J.H.W. (1998): Leven met risicoAmsterdam:Bedrijfskunde van de financiele sector.
  • Eijgenhuijsen, H.G., Valk, R. van der, Wengel, J. ter (1998): "Access to the stock exchange in Mexico and Argentina." IDPAD Occasional Papers and Reprints2 .
  • Eijgenhuijsen, H.G., Steenkamp, T.B.M. (1998): "De waarde van Ajax." in: Onzware Ernst en Droomrigheid1998. Utrecht:Lemma. 74-78.
  • Eijgenhuijsen, H.G., Groningen, A.V. van (1998): Handboek van het eigen vermogen:Delwel Uitgeverij.
  • Dorsman, A.B. en H.A. Rijken, "Value based management: EVA, een beperkt hulpmiddel bij prestatiemeting" Research Memorandum 1998-43
  • Dorsman, A.B., Langendijk, H.P.A.J., Praag, B. (1998): "Kwalitatieve winstvoorspellingen door het bestuur van beursondernemingen in Nederland." Tijdschrift voor Bedrijfsadministratie102(1209) 25-31.
  • Dorsman, A.B., Buist, G., Thibeault, A.E. (1998): "Securisatie." VBA Journal14(4) 17-19.
  • Dorsman, A.B., Buist, G., Thibeault, A.E. (1998): "Securisatie in Nederland." Tijdschrift voor Bedrijfsadministratie102(1210) 77-82.
  • Dorsman, A.B. (1998): "Meten is soms: de schijn wekken te weten." Tijdschrift Controlling13(11) 44-49.
  • Dorsman, A.B. (1998): "Repurchase agreements." Tijdschrift voor Administrateur en Controller13(4) 54-56.
  • Dorsman, A.B. (1998): "AKZO Nobel, gebrek aan eigen vermogen?." VBA Journal14(4) 26-28.
  • Dert, C.L., Donselaar, J., de Groot, J.R., K.H.A. Kromhout, S.C.M. Lijesen, B. Oldenkamp, L. van Pol, P.P.C. van Zijp (1998): Gegarandeerd rendement, risico verzekerd? Een analyse van nieuwe financiele producten:AG Monografie 3.
  • Dert, C.L. (1998): "A dynamic model for asset liability management for defined benefit pension funds." in: Worldwide asset and liability modeling1998. Cambridge:Cambridge University Press. 501-536.
  • de Koning, C., Straetmans, S. (1998): "Time-varying forex market inefficiency." VU Research Memorandum1998-63 . Download here.
  • Buijs, A. (1998): Statistiek om mee te werken; DocentenhandleidingHouten:Educatieve Partners Nederland.
  • Buijs, A. (1998): "Production and Operations Management." in: Business Management1998. Petroria, Zuid-Afrika:J.L. van Schaik Publishers. 436-470.
  • Buijs, A. (1998): "Theoretische waardering van opties." in: Handboek Opties & Futures1998. Nieuwegein:Arko. .
  • Boender, C.G.E., Compaijen, B. (1998): "De Nederlandse pensioenpolder." in: Onzware Ernst en Droomrigheid1998. Utrecht:Lemma. 166-171.
  • Boender, C.G.E., Aalst, P. van, Heemskerk, F. (1998): "Modelling and mamagement of assets and liabilities of pension plans in the Netherlands." in: World-Wide Asset and Liability Modelling1998. Cambridge:Cambridge University Press. 561-580.
  • Bakker, A.F.P., Wolswijk, G.F.T. (1998): "Some thoughts on the monetary framework in EMU." in: European Monetary Union, The way forward1998. Londen:Routledge. 80-88.
  • Bakker, A.F.P., Schrijvers, M.A. (1998): "De financiering van de Europese Unie in perspectief." Internationale SpectatorVolume missing .
  • Bakker, A.F.P., Kapteijn, J.M. (1998): "Financial crisis mamangement and the role of the IMF: 1970-1995." in: Financial crisis management in regional blocks1998. Dordrecht:Kluwer. 299-322.
  • Bakker, A.F.P., Gruijters, N. (1998): "A global order for sustainable economic growth." .
  • Bakker, A.F.P., Eijpe, H.A.J.M. (1998): Met gelijke muntAmsterdam:De Nederlandsche Bank.
  • Bakker, A.F.P. (1998): "De prijs van de euro. De gevaren van de Europese monetaire unie." De Economist146 633-635.
  • Bakker, A.F.P. (1998): "De euro en het internationale monetaire stelsel." Internationale Spectator52 124-130.
  • Bakker, A.F.P. (1998): "The challenges for the international financial system at the eve of the 21th century." in: Regulatory and supervisory challenges in a new era of global finance1998. Den Haag:Fondad. 269-273.

1997
  • Van der Sluis, P.J. (1997), EmmPack 1.01: C/C++ code for use with Ox for Estimation of Univariate Stochastic Volatility Models, Studies in Nonlinear Dynamics and Econometrics 2, 77-94.
  • Vorst, A.C.F (1997), "Marktwaarde versus boekwaarde overtuigende voorspeller: Twijfel aan efficiëntie financiële markten", Management Control & Accounting, 1(3), 13-18.
  • Vorst, A.C.F (1997), "Een prijs voor optietheorie", Economisch Statistische Berichten, 4126, 823-825.
  • Mercurio, F. and A.C.F Vorst (1997), "Option Pricing and Hedging in Discrete Time with Transaction Costs and Incomplete Markets", in: M.A.H. Dempster and S.R. Pliska (eds), Mathematics of Derivative Securities, 190-215.
  • Cheuk, T. and A.C.F Vorst (1997), "Currency Lookback Options and the Observation Frequency: A Binomial Approach ", Journal of International Money and Finance, 16(2), 173-187.
  • Oldenkamp, B. and A.C.F Vorst (1997), "Time Diversification and Option Pricing Theory: Another Perspective ", Journal of Portfolio Management, 23(2), 56-63.
  • Pelsser, A. and A.C.F Vorst (1997), "Option Pricing", Arbitrage and Martingales , Financial Mathematics, CWI Quarterly, 10(1), 35-53.
  • Cheuk, T. and A.C.F Vorst (1997), "Shout Floors ", Net Exposure, The Electronic Journal of Financial Risk, Issue 2, November.
  • Moraleda, J.M. and A.C.F Vorst (1997), "Pricing Derivative Securities with One-Factor Yield Curve Models ", Ch. Heij, H. Schumacher, B. Hanzon and C. Praagman (eds.) System Dynamics in Economic and Financial Models, 137-167, John Wiley & Sons, England.
  • Moraleda, J. and A.C.F Vorst (1997), "Pricing American Interest Rate Claims with Humped Volatility Models ", Journal of Banking and Finance, 21(8), 1131-1157.
  • Board, John, Charles Goodhart, Michael Power and Dirk Schoenmaker (1997), ‘Derivatives Regulation’, in: Barry Schachter (ed.), Derivatives, Regulation and Banking, Elsevier Science, Amsterdam, 237-261.
  • Schoenmaker, Dirk (1997), ‘Banking Supervision and Lender of Last Resort in EMU’, in: Mads Andenas, Laurence Gormley, Christos Hadjiemmanuil and Ian Harden (eds), European Economic and Monetary Union: The Institutional Framework, Kluwer International, London, 419-445.
  • Rijken H.A., "De speurtocht naar het verband tussen rendement en risico", Economische Statistische Berichten 1997, 646 - 653
  • Berk, J.M.(1997),"Trade flows as a channel for the transmission of business cycles",BNL Quarterly Review, 50,187-213
  • Hamelink F, M. Hoesli and B. MacGregor, 1997, "Inflation hedging versus inflation protection in the U.S. and the U.K.", Journal of Real Estate Finance 14, 63-73.
  • Hamelink F, and M. Hoesli, 1997, "An examination of the role of Geneva and Zurich housing in Swiss institutional portfolios", Journal of Property Valuation and Investment 15, 354-371.
  • Eerden, L.A. van, Rombouts, J.A.M. (1997), Barings: Some Lessons for management, Rotterdam: Management Report Series, No. 12(13), 49 pag.
  • van der Nat, M. (1997): "Bestuurders, aandeelhouders en commissarissen. De strijd om de macht." Liberaal Reveil10 199-204.
  • van der Nat, M. (1997): "Managing the uncertainty." Treasury Management International1997(May) 10-12.
  • van der Nat, M. (1997): "The debate on corporate governance in the Netherlands." The Treasurer1997(March) 44-46.
  • van der Nat, M. (1997): "Treasury performance. Some general considerations." in: Global Treasury Handbook1997. London:Hemmington Scott. 1.6-1.9.
  • van der Nat, M. (1997): "Treasury polycies in the supervisory board." in: Global Treasury Handbook1997. London:Hemmington Scott. 1.1-1.5.
  • van der Nat, M. (1997): "Value-at-risk in hoofdlijnen." Controllers Magazine4 46-49.
  • van der Nat, M. (1997): "De gevolgen van de euro voor valutamanagement." Fiducie1997 5-5.
  • Steenkamp T.B.M., Frijns J.M.G. (1997): "Beleggingsrendementen van Pensioenfondsen en Verzekeraars." Economische Statistische Berichten 9.10 1.
  • Steenkamp, T.B.M. (1997): "De waardering van pensioenverplichtingen." De Naamloze Vennootschap75(1) 20-25.
  • Steenkamp, T.B.M. (1997): "Balanceren tussen mythe en werkelijkheid." FiducieVolume missing 4-9.
  • Steenkamp, T.B.M. (1997): "Performance-meting bij pensioenfondsen." Pensioen Magazine3 30-33.
  • Lucas, A., Groenendijk, P.A., Vries, C.G. (1997): "Stochastic processes, non-normal innovations and the use of scaling ratios." Research Memorandum VU Amsterdam1997-58 .
  • Lucas, A., Franses, P.H. (1997): "Outlier robust cointegration analysis of Dutch interest rates." in: Proceedings American Statisical Association, 1996 meeting, Business and Economics Section1997. :. 106-109.
  • Lucas, A. (1997): "Asymptotic robustness of least median of squares for autoregressions with additive outliers." Communications in Statistics; Theory and Methods26(10) 2363-2380.
  • Lucas, A. (1997): "Onherroepelijke schuldverklaringen wegens moord en doodslag. Een verkennnende tijdreeksanalyse." in: Kritisch & Constructief. 40 jaar grensverkenningen in de econometrie. Liber amicorum voor prof. dr. T. Kloek1997. Rotterdam:Erasmus Universiteit. 209-223.
  • Lucas, A. (1997): "Robustness of the student t based M-estimator." Communications in Statistics; Theory and Methods26(5) 1165-1182.
  • Lucas, A. (1997): "Strategic and tactical asset allocation and the effect of long-run equilibrium relations." Research Memorandum VU Amsterdam1997-42. Click here to download.
  • Lucas, A. (1997): "Cointegration testing using pseudo likelihood ratio tests." Econometric Theory13 149-169.
  • Klaassen, P., Doude van Troostwijk, R. (1997): "De invloed van het stochastisch proces voor de rente op de waardering van rentederivaten." VBA Journaal 13 (December) 2-7.
  • Klaassen, P. (1997): "Discretized reality and spurious profits in stochastic programming models for asset/liability management." European Journal of Operational Research 101 (September) 374-392.
  • Frijns, J.M.G. (1997): "Public private partnerships in mainport development." in: Mainports in the 21th century1997. Groningen:Wolters Noordhoff. 141-152.
  • Frijns, J.M.G. (1997): "Naar nieuwe kerncompetenties voor het pensioenfonds ABP en ABP-beleggingen." Bedrijfskunde69(2) 4-9.
  • Frijns, J.M.G. (1997): "Is ons pensioenstelsel te ambitieus?." Tijdschrift voor pensioenwetenschappen3 94-100.
  • Eijgenhuijsen, H.G., Valk, van der, R. (1997): "Initial public offerings in Mexico and Argentina." Research Memorandum VU Amsterdam9 .
  • Eijgenhuijsen, H.G., Buckley, A. (1997): "A conceptual framework for evaluating foreign investments." Research Memorandum VU Amsterdam.
  • Eijgenhuijsen, H.G., Boerendonk, K. (1997): "The performance of Dutch investment institutions over the period 1992 through 1996." Research Memorandum VU Amsterdam49 .
  • Dorsman, A.B. (1997): Vermogensstructuur en vermogensmarktDeventer:Kluwer Bedrijfsinformatie.
  • Dorsman, A.B. (1997): "De onvolkomenheid van de boekwaardebalans." Tijdschrift voor Administrateurs en Controllers12(12) 25-27.
  • Dert, C.L. (1997): "Asset liability management for pension funds." in: Ten years LNMB1997. Amsterdam:CWI. 287-299.
  • Dert, C.L. (1997): "Optimal guaranteed portfolios and the casino effect." Research Memorandum VU AMsterdam1997-25 .
  • Buijs, A. (1997): Statistiek om mee te werkenHouten:EPN.
  • Boender, C.G.E., Oldenkamp, B., Vos, M. (1997): "Solvency insurance with optioned portfolios. An empirical investigation." in: Proceedings 7th AFIR Collequium1997. Cains, Australië:. 167-179.
  • Boender, C.G.E. (1997): "A hybrid simulation/optimisation scenario model for asset/liability mamangement." European Journal of Operational Research99(1) 126-135.
  • Bakker, A.F.P., Kapteyn, A. (1997): "De internationale rol van de euro." in: De juridische aspecten van de euro1997. Deventer:Kluwer. 76-85.
  • Bakker, A.F.P. (1997): "Financial crisis management and the role of the IMF 1970-1995." in: Financial crisis management in the regional blocks1997. Den Haag:SDU. 56-91.
  • Bakker, A.F.P. (1997): "Implicaties van de EMU voor de financiële omgeving." Banking ReviewVolume missing 67-73.
  • Bakker, A.F.P. (1997): "Het juridisch fundament voor de stabiele euro." in: Geldeffecten, Jonge Balie Congres 19971997. Den Haag:SDU. 1-11.
  • Bakker, A.F.P. (1997): "De veranderende Europese financiële omgeving." FiducieVolume missing 13-20.
  • Bakker, A.F.P. (1997): "De overgang op de euro. Gevolgen voor de management." NIVE Management MagazineVolume missing 67-73.
  • Bakker, A.F.P. (1997): "De komst van de euro en het bankwezen." Pacioli JournaalVolume missing 23-33.
  • Bakker, A.F.P. (1997): "De euro. Perspectieven voor beleggers." Beter BeleggenVolume missing 24-36.
  • Bakker, A.F.P. (1997): "De komst van de euro. De uitdaging, de kansen." De accountantVolume missing 23-37.

1996
  • Vorst, A.C.F (1996), "Hoofdstuk 12F en Appendix 12E t/m 12M", H.G.K. Harbrink Numan en E.P.C. Schreurs (eds.), Handboek Opties & Futures, Arko Uitgeverij bv, Nieuwegein.
  • Franses, Ph.P.B.F. and A.C.F Vorst (1996), "Vijf jaar voor econometrie ", Economisch Statistische Berichten, 4059, 474.
  • Vorst, A.C.F (1996), "Averaging Options", in: I. Nelken (ed.), The Handbook of Exotic Options, 175-199, Irwin, Chicago.
  • Donders, M.M.W. and A.C.F Vorst (1996), "Options and Earnings Announcements: An Empirical Study for the European Options Exchange ", Statistica Neerlandica, 50(1), 52-68.
  • Pelsser, A. and A.C.F Vorst (1996), "Transaction Costs and Efficiency of Portfolio Strategies ", European Journal of Operational Research, 91(2) 250-263.
  • Kalb, G.R.J., P. Kofman and A.C.F Vorst (1996), "Mixtures of Tails in Clustered Automobile Collision Claims ", Insurance: Mathematics and Economics, 18(2), 89-107.
  • Mercurio, F. and A.C.F Vorst (1996), "Option Pricing and Hedging at Fixed Trading Dates ", Applied Mathematical Finance, 3, 135-158.
  • Donders, M.M.W. and A.C.F Vorst (1996), "The Impact of Firm Specific News on Implied Volatilities ", Journal of Banking and Finance, 20, 1447-1461.
  • Cheuk, T. and A.C.F Vorst (1996), "Breaking down Barriers ", RISK, 9(4) 64-67.
  • Cheuk, T. and A.C.F Vorst (1996), "Complex Barrier Options ", Journal of Derivatives, 4(1), 8-22.
  • Folkerts-Landau, David, Peter Garber and Dirk Schoenmaker (1996), ‘The Reform of Wholesale Payment Systems and its Impact on Financial Markets’, Group of Thirty Occasional Paper, No. 51, Group of Thirty, Washington DC.
  • Schoenmaker, Dirk (1996), ‘Lender of Last Resort – The European Central Bank’, Central Banking, VI, 98-103.
  • Rijken H.A., "Zoeken naar innovatieve ideeën", Holland/Belgium Management Review 49, 1996, 36 - 46
  • Hamelink F., and M. Hoesli, 1996, "Le rôle de l’immobilier dans un portefeuille diversifié: analyse du cas suisse", L’expert-comptable suisse 7-8, 625-630.
  • Hamelink F., and M. Hoesli, 1996, "Allocation optimale de portefeuille et immobilier en Suisse", Réflexions Immobilières 13, 52-57.
  • Hoesli M, and F. Hamelink, 1996, "Swiss real estate as a hedge against inflation: new evidence using hedonic and autoregressive models", Journal of Property Finance 7, 33-49 (with M. Hoesli)
  • Hamelink F., and M. Hoesli, 1996, "Conditional heteroscedasticity and real estate in diversified portfolios: an application of the QTARCH methodology", Journal of Property Research 13, 17-30 (with M. Hoesli)
  • Hoesli M, and F. Hamelink, 1996, "Diversification of Swiss portfolios with real estate: results based on a hedonic index", Journal of Property Valuation and Investment 14, 59-75.
  • Eerden, L.A. van (1996c), ‘Financiële crises in Latijns Amerika: het geval Mexico’, in: Fiducie, Vierde Jaargang, Nummer 4, juni, pp.10-15.
  • Eerden, L.A. van, J. Dietz(1996b), Turbulentie op financiële markten. De beheersbaarheid van risico’s, Den Haag: Stichting Maatschappij en Onderneming, 94 pag.
  • Eerden, L.A. van (1996a), ‘Banken en het management van internationale financiële systeemrisico’s, in: C. van Dam, Th van Beek, Bedrijfskundige Uitdagingen & de Manager van Nu, Deventer: Kluwer Bedrijfswetenschappen, pp.35-47.
  • van der Nat, M., Brouwer, F. (1996): "Asset Class Allocation and Downside Risk Versus the Variance." Rotterdam Studies in Finance and Accounting1 1-30.
  • van der Nat, M. (1996): "Rentemanagement, Wet FILO en derivatencirculaire." in: Actualiteiten in Accountancy 96/971996. Alphen a.d. Rijn:Samsom Bedrijfsinformatie. 231-247.
  • van der Nat, M. (1996): "De Bankwereld als EB-leverancier: terug naar corebusiness?." in: Treasury Informatie Systemen: keuze en implementatie1996. Den Haag:SIM Publishers. 104-108.
  • van der Nat, M. (1996): "European Parliament gets tough in the derivatives debate." The Treasurerjan 15-19.
  • Lucas, A., Franses, P.H. (1996): "Measuring the impact of promotion on weekly market shares." RIBES Research MememorandumR9617/M .
  • Lucas, A., Dijk, R. van, Kloek, T. (1996): "Forecasting stock returns bilinearities in fundamentals and macroeconomic variables." ECFR Report9608 .
  • Klaassen, P., Leeuwen, E. van, Schreurs, B. (1996): "Avoiding pitfalls with one-factor term structure models." in: Financiering en Belegging 1996. Rotterdam: Erasmus Universiteit. 87-110.
  • Eijgenhuijsen, H.G., Scheffer, V.M. (1996): "Participatiemaatschappij en onderneming; onderzoek naar de factoren naar de invloed op de kwaliteit van de samenwerking." in: Risicokapitaal in Nederland1996. Rotterdam:DelWel. 93-137.
  • Eijgenhuijsen, H.G., Mennega, F.C. (1996): "Asset securitisation: motieven en obstakels." Bedrijfskunde3 66-73.
  • Eijgenhuijsen, H.G. (1996): Risicokapitaal in NederlandDen Haag:DelWel.
  • Dorsman, A.B. (1996): "Leverancierskrediet: een middel tot waardecreatie." in: Praktijkboek Financieel Management, afl. 311996. Deventer:Kluwer Bedrijfswetenschappen. 1-12.
  • Dorsman, A.B. (1996): "Heren boekhouders: Wolters Kluwer te koop gevraagd, Hoogovens aangeboden." Tijdschrift voor Administrateurs en Controllers11(12) 26-27.
  • Dorsman, A.B. (1996): "Financiële herstructurering." Bedrijfskunde68(2) 71-75.
  • Dorsman, A.B. (1996): "De voorspelkracht van beursgenoteerde ondernemingen in Nederland." in: Financiering en Belegging, deel 191996. Rotterdam:Erasmus Universiteit. 52-75.
  • Dorsman, A.B. (1996): "Waardecreatie met geïnduceerd werkkapitaal: een analyse van het voorraadbeheer." in: De financiële functie en de ondernemingswaarde1996. Alphen a.d. Rijn:Samson Bedrijfsinformatie. 217-230.
  • Dert, C.L., Oldenkamp, B. (1996): "Optioned portfolios: the trade-off between expected and guaranteed returns." in: Proceedings of the 6th International AFIR-Colloquium1996. Nuremberg:VVW Karlsruhe. 1443-1461.
  • Dert, C.L. (1996): "A dynamic model for asset liability management for defined benefit pension funds." Research Memorandum VU Amserdam1996-53 .
  • Buijs, A. (1996): "Vroegtijdige uitoefening van aandelenopties." in: Educatieve Partners Nederland1996. :Amsterdam. .
  • Boender, C.G.E., Heemskerk, F., Hoogdalen, S. van (1996): "Asset/liability management: de indexeringsafspraken." Het verzekeringsarchief73. 3e kw 98-102.
  • Bakker, A.F.P. (1996): "De euro: de gevolgen voor de financiële markten." Bank- en Effectenbedrijfsept 13-18.
  • Bakker, A.F.P. (1996): "De euro, een uitdaging voor beleggers." VBA Journaal12(2) 12-16.
  • Bakker, A.F.P. (1996): The liberalization of capital movements in Europe; the monetary committee and financial integrationDordrecht:Kluwer Academic Publishers.
  • Bakker, A.F.P. (1996): Met gelijke munt. Van gulden naar euroAmsterdam:Contact.
  • Bakker, A.F.P. (1996): International Financial InstitutionsLondon/New York:Longman.

1995
  • Vorst, A.C.F (1995), "De Tijdshorizon van Beleggers", Economisch Statistische Berichten, 3991, 14.
  • Kremer, G.J. and A.C.F Vorst (1995), "Opties op rente-instrumenten; een overzicht ", Kwantitatieve Methoden 50(16), 31-53.
  • Donders, M.W.M., P. Kofman" and A.C.F Vorst (1995), "Het gebruik van futures bij het actieve beheer van een portefeuille , VBA-Journaal 11(1), 22-26.
  • Vorst, A.C.F (1995), "Beleggen in een pyramide", Economisch Statistische Berichten, 4021, 741.
  • Vorst, A.C.F (1995), "Exotische Opties", in: A.B. Dorsman, C.H. Veld and A.H.F. Verboven (eds), De Nederlandse Vermogensmarkt, 215-231.
  • Steenbeek, O.W. and A.C.F Vorst (1995), "Zijn goed geleide ondernemingen ook goede beleggingen? ", Economisch Statistische Berichten, 4038, 1146-1147.
  • Pelsser, A. and A.C.F Vorst (1995), "Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints ", Advances in Quantitative Analysis of Finance and Accounting 3A, 205-219.
  • Schoenmaker, Dirk (1995), ‘Les externalités des systèmes de paiement: questions pour l’Europe’, Revue d’Economie Financière, 33, 217-245.
  • Lannoo, Karel, Dirk Schoenmaker and Stéphane van Tilborg (1995), ‘The Single Market in Banking: From 1992 to EMU’, CEPS Research Report, No. 17, Centre for European Policy Studies, Brussels.
  • Goodhart, Charles and Dirk Schoenmaker (1995), ‘Should the Functions of Monetary Policy and Banking Supervision be Separated?’, Oxford Economic Papers, 47(4), 539-560. Click here to download.
  • Eerden, L.A. van (1995a),Internationaal Bankieren en het Management van Financiële Systeemrisico’s, Paper, Conferentie: Uitdagingen voor de Bedrijfskunde, Zeist.
  • Eerden, L.A. van (1995b), ’Naar een bedrijfskundige toekomst’, in: Femus Magazine, Jaargang 2, nummer 2, december, pp.6-8.
  • Berk, J.M and J. Bikker (1995),"The use of leading indicators for forecasting and analysis",Journal of Forecasting, volume 14, 1-25
  • van der Nat, M. (1995): "Dutch goverment gets tough." The Treasurer1995(June) 54.

1994
  • Lucas, A., R. van Dijk, and T. Kloek (1994): "Outlier robust GMM estimation of leverage determinants," Tinbergen Institute Discussion Paper 94-132. Click here to download.
  • Heijnen, R., A.G.Z. Kemna" and A.C.F Vorst (1994), "Analysis of the Term Structure of Implied Volatilities , Journal of Financial and Quantitative Analysis 29(1), 31-51.
  • Pelsser, A. and A.C.F Vorst (1994), "The Binomial Model and the Greeks ", Journal of Derivatives 1(3), 45-49.
  • Cheuk, T. and A.C.F Vorst (1994), "Binomial Models for Some Path-Dependent Options ", in: A.B.M. Soppe, J. Spronk, E.M. Vermeulen and A.C.F. Vorst (eds.), Financiering en Belegging, Stand van Zaken Anno 1994, 231-245.
  • D’Amato, L., Penas, M., and J. Streb, "A cost function for the banking industry", Economica, Volume 40, Number 2, 1994, 1-33.
  • Berk, J.M. en J. Bikker (1994), "De voorspelkwaliteit van de DNB conjunctuurindicator", Economisch Statistische Berichten, volume 79, 903-905
  • Berk, J.M.(1994),"Overheid en inflatie",Economisch-Statistische Berichten, volume 79, 53-57
  • Berk, J.M. en J. Bikker (1994), "Conjunctuur in het buitenland: indicatoren voor veertien landen", Maandschrift Economie, Jaargang 58, 1994, pp. 129-150
  • Berk, J.M., and C. Winder (1994), "Price movements in the Netherlands and Germany and the guilder-Dmark peg", De Economist, volume 142, 1994,63-74

1993
  • Vorst, A.C.F (1993), "Theoretische opties in de afgelopen tien jaar", VBA-Journaal 9(3), 17-23, reprinted in VBA-Journaal, 1994, 10(4), 34-40.
  • Schoenmaker, Dirk (1993), ‘The Design of a Possible Pension Compensation Fund’, Journal of the Society of Fellows, 7, 15-26.
  • Schoenmaker, Dirk (1993), ‘Home Country Deposit Insurance?’, in: Philip Arestis (ed.), Money and Banking: Issues for the Twenty-First Century, St. Martin’s Press, London, 95-116.
  • Schoenmaker, Dirk (1993), ‘Internationalisation of Banking Supervision and Deposit Insurance’, Journal of International Banking Law, 8, 106-112.

1992
  • Vorst, A.C.F (1992), "Hoofdstuk 12A t/m 12 E en Appendix 12A t/m 12D", H.G.K. Harbrink Numan en E.P.C. Schreurs (eds.), Handboek Opties & Futures, Arko Uitgeverij bv, Nieuwegein, 1991.
  • Vorst, A.C.F (1992), "Prices and Hedge Ratios of Average Exchange Rate Options", The International Review of Financial Analysis 1(3), 179-193.
  • Boyle, P.P. and A.C.F Vorst (1992), "Option Pricing in Discrete Time with Transaction Costs", Journal of Finance 47, 271-294.
  • Fingleton, John and Dirk Schoenmaker (eds) (1992), The Internationalisation of Capital Markets and the Regulatory Response, Graham & Trotman, London.

1991
  • Boender, C.G.E., R.J. Caron, A.H.G. Rinnooy Kan, J.F. McDonald, H.E. Romeijn, R.L. Smith, J. Telgen and A.C.F Vorst (1991), "Shake-and-bake Algorithms for Generating Uniform Points on the Boundary of Bounded Polyhedra", Operations Research 39, 945-954.

1990
  • Kemna, A.G.Z. and A.C.F Vorst (1990), "A Pricing Method for Options Based on Average Asset Value", Journal of Banking and Finance 14, 113-129.
  • Vorst, A.C.F (1990), "Option Pricing and Stochastic Processes", van der Ploeg (ed.), Quantitative Methods in Economics, Academic Press, London, 421-441.
  • Vorst, A.C.F (1990), "Probability Theory in Finance", Nieuw Archief voor Wiskunde 4, vol. 8(3), 399-412.
  • Heenk, B.A., A.G.Z. Kemna and A.C.F Vorst (1990), "Asian Options on Oil Spreads", Review of Futures Markets 9(3), 510-528.

1989
  • Vorst, A.C.F (1989), "Immunisatie", VBA-Journaal 5(1), 7-11.
  • Munnik, J.F.J. de and A.C.F Vorst (1989), "De Waardering van Vervroegd Aflosbare Staatsobligaties", H. Berkman, J.v.d.Meulen, A.B.M. Soppe (eds.), Financiering en Belegging, Rotterdam 1989, 355-366.
  • Kemna, A. and A.C.F Vorst (1989), "A Futures Contract on an Index of Existing Bonds: a Reasonable Alternative", Review of Futures Markets 7, 467-479.
  • Vorst, A.C.F (1989), "On the Mathematical Aspects of an Urban Retail Model", in A. Wakulics (ed.) Numerical Analysis and Mathematical Modelling, Banach Center Publications 24, PWN-Polish Scientific Publishers Warsaw, 137-145.
  • Boneh, A., R.J. Caron, F.W. Lemaire, J.F. McDonald, J. Telgen and A.C.F Vorst (1989), "Note on Prime Representation of Convex Polyhedral Sets", Journal of Optimization Theory and Applications 61, 137-142.

1988
  • Kemna, A. and A.C.F Vorst (1988), "The Value of an Option Based on an Average Security Value", in: S. Albeverio, P. Blanchard, M. Hazewinkel and L. Strest (eds.), Stochastic Processes in Physics and Engineering, Reidel, Dordrecht, 193-204.

1987
  • Vorst, A.C.F (1987), "Optimal Housing Maintenance under Uncertainty", Journal of Urban Economics 21, 209-227.
  • Kemna, A. and A.C.F Vorst (1987), "Options and Optimal Investment Timing", F. Bemelman a.o. (eds.), Finance, State of the Art, Rotterdam, 107-122.

1986
  • Vorst, A.C.F (1986), "The General Linear Group of Discrete Hodge Algebras", Proceedings Ring Theory Conference, Antwerp 1985, Lecture Notes in Mathematics 1197, 225-231.
  • Vorst, A.C.F (1986), "The Relation Between the Rent and Selling Price of a Building Under Optimal Maintenance with Uncertainty", Journal of Economic Dynamics and Control 10, 315-320.
  • Vorst, A.C.F (1986), "Some Properties of a Nonlinear Migration Model", Geographical Analysis 18, 263-274.

1985
  • Vorst, A.C.F (1985), "A Stochastic Version of the Urban Retail Model", Environment and Planning A17, 1569-1580.

1984
  • Vorst, A.C.F (1984), "A Survey on the K-theory of Polynomial Extensions", Lecture Notes in Mathematics 1046, 422-441.
  • Kaashoek, J.F. and A.C.F Vorst (1984), "The Cusp Catastrophe in the Urban Retail Model", Environment and Planning A16, 851-862.

1983
  • Vorst, A.C.F (1983), "The Serre Problem for Discrete Hodge Algebras", Mathematische Zeitschrift 184, 425-433.
  • Rijk, F.J.A. and A.C.F Vorst (1983), "On the Uniqueness and Existence of Equilibrium Points in an Urban Retail Model", Environment and Planning A15, 475-482.
  • Rijk, F.J.A. and A.C.F Vorst (1983), "Equilibrium Points in an Urban Retail Model and their Connection with Dynamical Systems", Regional Science and Urban Economics 13, 383-399.

1982
  • Hazewinkel, M. and A.C.F Vorst (1982), "On the Snapper/Liebler-Vitale/Lam Theorem on Permutation Represations of the Symmethric Group", Journal of Pure and Applied Algebra 23, 29-32.

1981
  • Vorst, A.C.F (1981), "The General Linear Group of Polynomial Rings over Regular Rings", Communications in Algebra 9, 499-509.

1979
  • Vorst, A.C.F (1979), "Localization of the K-theory of Polynomial Extensions", Mathematische Annalen 244, 33-53.
  • Vorst, A.C.F (1979), "Polynomial Extensions and Excision for K1", Mathematische Annalen 244, 193-204.