dr. R.J. (Ronald) Mahieu

Tilburg School of Economics and Management

Table of contents

• Journal articles
• Books
• Book chapters
• Working and/or discussion papers
• Reports (government and other final research reports)
• Conference papers
• Other publications

Journal articles

• 2009
  • Huisman, R., Mahieu, R.J., & Schlichter, F. (2009). Electricity portfolio management: Optimal peak/off-peak allocations. Energy Economics, 31(1), 169-174.
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• 2007
  • Beetsma, R.M.W.J., Mahieu, R.J., & Slager, A. (2007). CDC en de rol van de werkgever in de pensioenregeling. Economisch-Statistische Berichten, 92(4522), 696-697.
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  • Huisman, R., Huurman, C., & Mahieu, R.J. (2007). Hourly electricity prices in day-ahead markets. Energy Economics, 29(2), 240-248.
    (Free access)
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• 2006
  • Tims, B., & Mahieu, R.J. (2006). A range-based multivariate stochastic volatility model for exchange rates. Econometric Reviews, 25(2-3), 409-424.
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• 2003
  • Bosma, B., Mahieu, R.J., & Nillesen, P. (2003). De waarde van regulering. Economisch-Statistische Berichten, 88(4419), 544-546.
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  • Huisman, R., & Mahieu, R.J. (2003). Regime jumps in electricity prices. Energy Economics, 25(5), 425-434.
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• 2002
  • Huisman, R., Limburg, F., & Mahieu, R.J. (2002). Slimmer valuta’s afdekken. Economisch-Statistische Berichten, 87(4368), 510-511.
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  • Tims, B., & Mahieu, R.J. (2002). Portefeuille-allocatie en beleggingshorizon: Een algemene benadering. TFA: The Financial Analyst,(2), 42-45.
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• 2001
  • Huisman, R., & Mahieu, R.J. (2001). Regime jumps in power prices. Energy & Power Risk Management.
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• 2000
  • Bos, C.S., Mahieu, R.J., & Dijk, H.K. van (2000). Daily exchange rate behaviour and hedging of currency risk. Journal of Applied Econometrics, 15(6), 671-696.
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  • Wensveen, D. van, Eerden, L. van, & Mahieu, R.J. (2000). Wat waardeert de belegger? Economisch-Statistische Berichten, 85(4280), 900-903.
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• 1999
  • Flood, M., Huisman, R., Koedijk, C.G., & Mahieu, R.J. (1999). Quote disclosure and price discovery in multiple-dealer financial markets. Review of Financial Studies, 12(1), 37-59.
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• 1998
  • Jong, F.C.J.M. de, Mahieu, R.J., & Schotman, P.C. (1998). Price discovery in the foreign exchange market: An empirical analysis of the Yen/Dmark rate. Journal of International Money and Finance, 17(1), 5-27.
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  • Mahieu, R.J., & Schotman, P.C. (1998). An empirical application of stochastic volatility models. Journal of Applied Econometrics, 13(4), 333-360.
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  • Mahieu, R.J., & Bauer, R. (1998). A Bayesian analysis of stock return volatility and trading volume. Applied Financial Economics, 8(6), 671-687.
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• 1997
  • Mahieu, R.J. (1997). Asset liability management: Anker in financieel risico-management. VBA journaal, 13(4), 8-11.
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• 1996
  • Bussel, A. van, Kerkhoffs, P., & Mahieu, R.J. (1996). Een nieuwe index voor de huizenmarkt. Economisch-Statistische Berichten, 81(4079), 897-899.
    (Free access)
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• 1994
  • Mahieu, R.J., & Schotman, P. (1994). Neglected common factors in exchange rate volatility. Journal of Empirical Finance, 1(3-4), 279-311.
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• 1992
  • Koedijk, C.G., & Mahieu, R.J. (1992). Asian-Pacific real exchange rates. Applied Economics, 24(11), 1255-1262.
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Books

• 1995
  • Mahieu, R.J. (1995). Financial market volatility: Statistical models and empirical analysis. Maastricht: Universitaire Pers Maastricht.
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Book chapters

• 2010
  • Tims, B., & Mahieu, R.J. (2010). International portfolio choice: A spanning approach. In G.N. Gregoriou & R. Pascalau (Eds.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models (pp. 1-20). Basingstoke: Palgrave Macmillan.
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• 2006
  • Mahieu, R.J. (2006). De oplossing voor het beheer van kredietrisico’s? Jaarboek credit management (pp. 14-17). Amsterdam: CxO Media.
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• 1993
  • Mahieu, R.J., Naber, W.F.A.M., & Petri, V.L.M.C. (1993). Hedging foreign currency exposure in a chaotic environment (Discussiant: M.W.M. Donders). In D.J. Baestaens & W.M. van den Bergh (Eds.), Financiering en belegging: Stand van zaken anno 1993 (Dl. 16) (pp. 331-349). Rotterdam: Erasmus Universiteit Rotterdam, Vakgroep Financiering en Belegging.
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Working and/or discussion papers

• 2012
  • Eijffinger, S.C.W., Mahieu, R.J., & Raes, L.B.D. (2012). Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072). (CentER Discussion Paper, 2012-012, 2012-012)
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  • Eijffinger, S.C.W., Mahieu, R.J., & Raes, L.B.D. (2012). Can the Fed Talk the Hind Legs off the Stock Market? (replaces EBC DP 2011-017). (EBC Discussion Paper, 2012-006)
    (Free access)
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• 2011
  • Raes, L.B.D., Eijffinger, S.C.W., & Mahieu, R.J. (2011). Can the Fed Talk the Hind Legs off the Stock Market? (replaced by CentER DP 2012-012). (CentER Discussion Paper, 2011-072, 2011-072)
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  • Raes, L.B.D., Eijffinger, S.C.W., & Mahieu, R.J. (2011). Can the Fed Talk the Hind Legs off the Stock Market? (replaced by EBC DP 2012-006). (EBC Discussion Paper, 2011-017)
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• 2010
  • Eijffinger, S.C.W., Mahieu, R.J., & Raes, L.B.D. (2010). The Bond Yield Conundrum: Alternative Hypotheses and the State of the Economy. (CentER Discussion Paper, 2010-121, 2010-121) pp. 1-35.
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  • Eijffinger, S.C.W., Mahieu, R.J., & Raes, L.B.D. (2010). The Bond Yield Conundrum: Alternative Hypotheses and the State of the Economy. (EBC Discussion Paper, 2010-30) pp. 1-35.
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Reports (government and other final research reports)

• 2007
  • Huisman, R., Mahieu, R.J., & Schlichter, F. (2007). Hedging exposure to electricity price risk in a value at risk framework. (ERIM report series research in management, ERS-2007-013-F&A) Rotterdam: Erasmus Research Institute of Management (ERIM).
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Conference papers

• 2001
  • Bos, C., Dijk, H. van, & Mahieu, R.J. (2001). On the variation of hedging decisions in daily currency risk management. Proceedings of the International Society of Bayesian Statistics,
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Other publications

• 2003
  • Köhne, F., & Mahieu, R.J. (2003, January 13). Bedrijven kunnen zich indekken tegen valutaire tegenwind. Het Financieele Dagblad.
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