CentER

Ronald Mahieu

Ronald Mahieu is an associate professor of financial econometrics in the department of Econometrics & Operations Research at Tilburg University. He is also affiliated to Netspar as a research fellow.

His research interests are concentrated in the fields of finance and econometrics, with a specialization to empirical finance, time series analysis and risk management. Application fields: international finance, institutional investing, entrepreneurial finance, and energy finance.

 

Contact information:

Department of Econometrics and Operations Research- Office K 624
Tilburg University
Warandelaan 2
P.O.Box 90153
5000 LE Tilburg
The Netherlands

Phone: +31 13 466 8752 (office)
Phone: +31 13 466 2430 (secretary)
Fax: +31 13 466 3280
Email: r [dot] j [dot] mahieu [at] uvt [dot] nl

 

International publications

-         R. Huisman, R. Mahieu and F. Schlichter, “Hedging Exposure to Electricity Price Risk in a Value at Risk Framework”, 2008, forthcoming Energy Economics.

-         R. Huisman, C. Huurman and R. Mahieu, “Hourly Electricity Prices”, 2007, Energy Economics, volume 29 (2), pp. 240-248.

-         B. Tims and R. Mahieu, “A Range-Based Multivariate Model for Exchange Rate Volatility”, 2006, Econometric Reviews, volume 25 (2-3),.pp. 409-424.

-         R. Huisman and R. Mahieu, “Regime Jumps in Electricity Prices”, 2003, Energy Economics, volume 25, pp. 425-434.

-         R. Huisman and R. Mahieu, “Regime Jumps in Power Prices”, 2001, Energy & Power Risk Management, September.

-         C.Bos, H. van Dijk and R. Mahieu, “On the Variation of Hedging Decisions in Daily Currency Risk Management”, 2001, Proceedings of the International Society of Bayesian Statistics.

-         C. Bos, H. van Dijk and R. Mahieu, “Daily Exchange Rate Behaviour and Hedging of Currency Risk”, 2000, Journal of Applied Econometrics, Vol. 15, No. 6, 2000, pp. 671-696.

-         M. Flood, R. Huisman, C. Koedijk and R. Mahieu, “Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets”, 1999, The Review of Financial Studies, Spring, volume 12, no.1, pp. 37-59.

-         R. Mahieu and P. Schotman, “An Application of Stochastic Volatility Models”, 1998, Journal of Applied Econometrics, volume 13, pp. 333-360.

-         F. de Jong, R. Mahieu and P. Schotman, “Price Discovery in the Foreign Exchange Market : An Empirical Analysis of the Yen/DMark Rate”, 1998, Journal of International Money and Finance, volume 17, pp. 5-27.

-         R. Bauer and R. Mahieu, “A Bayesian Analysis of Stock Return Volatility and Trading Volume”, 1998, Applied Financial Economics, volume 8, no.6, pp. 671-687.

-         R. Mahieu and P. Schotman, “Neglected Common Factors in Exchange Rate Volatility”, 1994, Journal of Empirical Finance, volume 1, pp. 279-311.

-         R. Mahieu, P. Naber and V. Petri, “Hedging Foreign Currency Exposure in a Chaotic Environment”, 1993, Financiering en Belegging, Stand van zaken anno 1993, volume 16.

-         C. Koedijk and R. Mahieu, “Asian-Pacific Real Exchange Rates”, 1992, Applied Economics, volume 24, pp. 1255-1262.

 

 



See also:

Contact:

CentER
PO Box 90153
5000 LE Tilburg
The Netherlands