dr. (Ronald) R Huisman

All publications (65)

• Article (37)

  • Scholarly Publication (23)

    • P. Eichholtz, R. Huisman & R. Zwinkels (2015). Fundamentals or trends? A long-term perspective on house prices. Applied Economics, 47 (10), 1050-1059. doi: 10.1080/00036846.2014.987919
    • R. Huisman & M. Kilic (2015). Time variation in European carbon pass-through rates in electricity futures prices. Energy Policy, 86 (November), 239-249. doi: 10.1016/j.enpol.2015.07.005
    • R. Huisman & M. Kilic (2013). A History of European Electricity Day-Ahead Prices. Applied Economics, 45 (18), 2683-2693. doi: 10.1080/00036846.2012.665601
    • R. Huisman, N.L. van der Sar & R.C.J. Zwinkels (2012). A new measurement method of investor overconfidence. Economics Letters, 114 (1), 69-71. doi: 10.1016/j.econlet.2011.09.022
    • R. Huisman & M. Kilic (2012). Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums. Energy Economics, 34 (4), 892-898. doi: 10.1016/j.eneco.2012.04.008
    • D. Hofman & R. Huisman (2012). Did the Financial Crisis Lead to Changes in Private Equity Investor Preferences Regarding Renewable Energy Policies?". Energy Policy, 47, 111-116. doi: 10.1016/j.enpol.2012.04.029
    • A. Bloys van Treslong & R. Huisman (2010). A Comment on: Storage and the Electricity Forward Premium. Energy Economics, 32 (2), 321-324. doi: 10.1016/j.eneco.2009.11.007
    • R. Huisman, R.J. Mahieu & F. Schlichter (2009). Electricity portfolio management: Optimal peak/off-peak allocations. Energy Economics, 31 (1), 169-174. doi: 10.1016/j.eneco.2008.08.003
    • R. Huisman (2008). The influence of temperature on spike probability in day-ahead power prices. Energy Economics, 30 (5), 2697-2704. doi: 10.1016/j.eneco.2008.05.007
    • R. Huisman & C.I. Huurman (2007). Being in Balance: More Efficiency Through Liberalization. ICFAI Journal of Environmental Economics, 5 (1), 28-43.
    • R. Huisman, C.I. Huurman & R.J. Mahieu (2007). Hourly electricity prices in day-ahead markets. Energy Economics, 29 (2), 240-248. doi: 10.1016/j.eneco.2006.08.005
    • R. Huisman & R.A.J. Campbell (2003). Measuring Credit Spread Risk. The Journal of Portfolio Management, 29 (4), 121-127.
    • R. Huisman & R.J. Mahieu (2003). Regime Jumps in Electricity Prices. Energy Economics, 25 (5), 425-434. doi: 10.1016/S0140-9883(03)00041-0
    • R. Huisman, C.G. Koedijk, C. Kool & F. Palm (2002). The Tail-Fatness of FX Returns Reconsidered. De Economist, 150 (3), 299-312.
    • R. Huisman, C.G. Koedijk, F. Palm & C. Kool (2001). Tail index estimates in small samples. Journal of Business and Economic Statistics, 19 (2), 208-216. doi: 10.1198/073500101316970421
    • R.A.J. Campbell, R. Huisman & C.G. Koedijk (2001). Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking and Finance, 25 (9), 1789-1804. doi: 10.1016/S0378-4266(00)00160-6
    • C.G. Koedijk, R.J. Mahieu, R. Huisman & M.D. Flood (1999). Quote disclosure and price discovery in multiple dealer financial markets. The Review of Financial Studies, 12, 37-60. doi: 10.1093/rfs/12.1.37
    • R. Huisman & C.G. Koedijk (1998). Financial market competition: the effects of transparency. De Economist, 3 (146), 463-473.
    • R. Huisman, P. Eichholtz, C.G. Koedijk & L. Schuin (1998). Continental factors in international real estate returns ISSN 1067-8433. Real Estate Economics, 26 (3), 493-509.
    • R. Huisman, C.G. Koedijk, C. Kool & F. Nissen (1998). Extreme support for uncovered interest parity. Journal of International Money and Finance, 211-228.
    • R. Huisman, C.G. Koedijk & R. Pownall (1998). VaR-x: fat tails in financial risk management. The Journal of Risk, 1 (1), 47-62.
    • R. Huisman & R. Verheul (1997). Technische analyse in Nederland. Economisch-Statistische Berichten, 42-45.
    • R. Huisman (1996). Nieuw leven voor safety first. Economisch-Statistische Berichten, 493-493.

  • Professional Publication (14)

    • R. Huisman, C. Jepma & M. Mulder (2014). Energie-economie. Tijdschrift voor het Economisch Onderwijs, 114 (6 november 2014), 4-8.
    • R. Huisman, C.J. Jepma & M. Mulder (2014). Canon deel 10: Energie-economie. Economisch-Statistische Berichten, 99 (4694), 598-603.
    • R. Huisman & M. Kilic (2013). Geen schaliegasrevolutie weggelegd voor Europa. Economisch-Statistische Berichten, 496-497.
    • H.E. Reedijk & R. Huisman (2012). Feedback door digitale toetsen leidt tot significant betere studieresultaten. Onderzoek van Onderwijs, 41 (3), 66-70.
    • R. Huisman & C.I. Huurman (2004). Meer efficientie door liberalisering electriciteitsmarkt. Economisch-Statistische Berichten, 89 (4445), 510-512.
    • C. de Jong & R. Huisman (2003). Option pricing for power prices with spikes. Energy and Power Risk Management, 7 (11), 12-16.
    • R. Huisman, R.J. Mahieu & F. Limburg (2002). Slimmer valuta's afdekken. Economisch-Statistische Berichten, 87 (4368), 510-511.
    • R. Huisman & R.J. Mahieu (2001). Regime Jumps in Power Prices. Energy and Power Risk Management, September, 32-35.
    • R. Huisman, C.G. Koedijk & R. Pownall (1999). Dealing with Market Extremes. Derivatives Week, 29.
    • R. Huisman & M. Schweitzer (1999). Dutch Corporate Bonds in a Mixed Asset Portfolio. VBA Journaal.
    • R. Huisman, P. Eichholtz, H. op 't Veld & L. Schuin (1998). International diversification for Dutch real estate investors. Bedrijfskunde, 72-77.
    • R. Huisman & R. Verheul (1998). Technical Analysis in the Netherlands. Nederbelgisch Magazine, 42-45.
    • R. Huisman, M. Helden & M. Schweitzer (1998). The rapid growth of the European corporate bond market. Economisch-Statistische Berichten, 407-407.
    • R. Huisman & R. Corman (1998). Football shares: toto or serious investment? Economisch-Statistische Berichten, 680-682.

• Book / Monograph / Book editorial (1)

  • R. Huisman (2009). An Introduction to Models for the Energy Markets: The Thinking behind Econometric Techniques and Their Application. London: RISK Books

• Part of book - Chapter (5)

  • R. Huisman, K.E. Dahlen & S. Westgaard (2015). Risk Modelling of Energy Futures: A comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression. In A. Steland, E. Wafajlowicz & K. Szajowski (Eds.), Stochastic Models, Statistics and Their Applications (Springer Proceedings in Mathematics & Statistics, 122) (pp. 283-292). Wroclaw, Poland: Springer International Publishing
  • R. Huisman & M. Kilic (2015). Managing oil price risk: Dealing with the time-varying relationship between the price of oil and fundamentals. In V. Kaminsky (Ed.), Managing energy price risk. Risk Books
  • R. Huisman (2009). Energy Trading, Emission Certificates and risk Management. In A. Bausch & B. Schwenker (Eds.), Handbook of Utility Management (pp. 349-360). Berlin: Springer Verlag
  • R. Huisman, K. Koedijk & R. Pownall (2007). VaR-X: Fat Tails in Financial Risk Management. In J. Danielsson (Ed.), The Value at Risk Reference: Key Issues in the Implementation of Market Risk (pp. 383-400). London: Risk Books
  • R. Huisman & P. Eichholtz (2001). The Cross-Section of Global Property Shares Returns. In S Brown & C Liu (Eds.), A Global Perspective on Real Estate Cycles. The NYU Salomon Center

• Book editorship (1)

  • J.J.J. Annaert, J. Spronk & R. Huisman (Ed.). (1999). Financiering en Belegging. Rotterdam: Sectie Finance & Investments

• Journal editorship / Referee (1)

  • R. Huisman (Ed.). (2012-2012) Energy Economics.

• Report (5)

  • C.I. Huurman & R. Huisman (2003). Fat Tails in Power Prices. (Intern rapport, ERIM Report Series Research in Management, no 2003-059). :
  • C. de Jong & R. Huisman (2002). Option formulas for mean-reverting power prices with spikes. (Intern rapport, ERIM Report Series Research in Management (issn 1566-5283)). :
  • R. Huisman & R.J. Mahieu (2001). Regime jumps in electricity prices. (Intern rapport, ERIM Report Series Research in Management 2001, no 48-F&A). :
  • R. Huisman & R.J. Mahieu (2001). Regime Jumps in Electricity Prices. (Intern rapport, ERIM Report Series Research in Management (issn 1566-5283)). : Erasmus Research Institute of Management
  • C. de Jong & R. Huisman (2000). From Skews to a Skewed-t: Modelling option-implied returns by a skewed Student-t. (Intern rapport, ERIM Report Series Research in Management (issn 1566-5283), no 12). : ERIM

• Article in volume (6)

  • D. Koolen, R. Huisman & W. Ketter (2017). The Electricity Forward Price with Increasing Intermittent Supply. In 2017 International Conference on Energy Finance. Hangzhou, China
  • D. Koolen, R. Huisman & W. Ketter (2016). Risk and Decision Making for Electricity Forward Markets with Volatile Resources. In Energy and Commodity Finance Conference 2016. Paris, France
  • R. Huisman, D. Michels & S. Westgaard (2015). Hydro reservoir levels and power price dynamics. Empirical insight on the nonlinear influence of fuel and emission cost on Nord Pool day-ahead electricity prices. In Journal of Energy and Development (pp. 149-187)
  • S.E. Fleten, R. Huisman, M. Kilic, H.P.G. Pennings & S. Westgaard (2015). Electricity futures prices: time varying sensitivity to fundamentals. In Risk (pp. 1-22). Journal of Energy Markets
  • R. Huisman & M. Kilic (2013). Letter from the guest editors. In Journal of Energy Markets. RISK
  • R. Huisman & M. Kilic (2011). Extreme Changes in Prices of Electricity Futures. In Insurance Markets and Companies: Analyses and Actuarial Computations (pp. 21-25)

• Other output (2)

  • Scholarly Publication (1)

    • R. Huisman & R.J. Mahieu (2008). Revisiting Uncovered interest rate parity: Switching between UIP and the Random Walk.

  • Professional Publication (1)

    • R. Huisman (2010). De mogelijkheden voor structurele financiering van warmteprojecten in Zuid-Holland", voor de Provincie Zuid-Holland in samenwerking met KISSZ en Stroomversneller.

• Contribution weekly / daily journal (7)

  • Professional Publication (5)

    • R. Huisman, A. Katsman & M. Kilic Opslag dempt variaties in gasprijs. Energie beurs bulletin (15), pp. 8-8.
    • R. Huisman Moet Nederland elektriciteit willen exporteren? ESB
    • R. Huisman (2007, november 1). Currency Risk: Is is a strategic choice? IPE, pp. 14-16.
    • R. Huisman (2005, juli 1). Currency Management adds Systematic Value. Global Pensions, pp. 27-28.
    • R. Huisman & C. Huurman (2004, januari 1). Meer efficientie foor liberalisering electriciteitsmarkt. Economisch-Statistische Berichten, pp. 510-512.

  • Semiscientific Publication (2)

    • R. Huisman, N.L. van der Sar & R.C.J. Zwinkels Risicoperceptie is te meten. economieopinie.nl
    • R. Huisman & M. Kilic De economische waarde van de Bergermeer gasopslag. economieopinie.nl

Ancillary activities (6)

Teaching (2)

PhD list (10)

Editorial positions (1)

Present position