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model price exchange market volatility result return parameter variance electricity period regime series currency table estimate exchange rate interest strategy value exchange rates t t t contract paper error off-peak density day-ahead process ratio correlation figure management equation level journal section sample dollar decision change portfolio information likelihood deviation observation research risk premium purchaser component electricity prices interest rate parity distribution factor exchange rate returns premium delivery risk appetite day-ahead market ronald mahieu report interest rates quote y t t 1998 john wiley state function investor uip regime order 2000 john wiley utility 0.5 volume number c 1 t huisman covariance q t t
10 Most Recent Publications
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Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations
(Article)
Huisman, R. Mahieu, R.J. Schlichter, F. |
2009-01-01
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Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later
(Research Paper)
Campbell-Pownall, R.A.J. Koedijk, C.G. Lothian, J.R. Mahieu, R.J. |
2007-12-07
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Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations
(Research Paper)
Huisman, R. Mahieu, R.J. Schlichter, F. |
2007-12-07
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Hedging Exposure to Electricity Price Risk in a Value at Risk Framework
(Research Paper)
Huisman, R. Mahieu, R.J. Schlichter, F. |
2007-02-21
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Do Exchange Rates Move in Line With Uncovered Interest Parity?
(Research Paper)
Huisman, R. Mahieu, R.J. Mulder, A. |
2007-02-19
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Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk
(Research Paper)
Huisman, R. Mahieu, R.J. |
2007-01-15
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Hourly Electricity Prices in Day-Ahead Markets
(Research Paper)
Huisman, R. Huurman, C. Mahieu, R.J. |
2007-01-15
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Financial Integration Through Benchmarks: The European Banking Sector
(Research Paper)
Moerman, G.A. Mahieu, R.J. Koedijk, C.G. |
2004-12-22
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A Range-Based Multivariate Model for Exchange Rate Volatility
(Research Paper)
Tims, B. Mahieu, R.J. |
2003-03-10
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International Portfolio Choice
(Research Paper)
Tims, B. Mahieu, R.J. |
2003-03-04
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