Thijs D. Markwat

Robeco Asset Management

Weena 850

3014 DA

Rotterdam

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 15,106

SSRN RANKINGS

Top 15,106

in Total Papers Downloads

4,240

SSRN CITATIONS
Rank 23,375

SSRN RANKINGS

Top 23,375

in Total Papers Citations

10

CROSSREF CITATIONS

32

Scholarly Papers (6)

1.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 2,061 (9,526)
Citation 1

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asset allocation, risk parity, portfolio optimization, Bayesian analysis, Black-Litterman

2.

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

ERIM Report Series Reference No. ERS-2007-096-F&A, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 29 Jan 2008 Last Revised: 19 Oct 2010
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) and APG Asset Management
Downloads 1,098 (25,280)
Citation 2

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emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents

3.

The Rise of Global Stock Market Crash Probabilities

Number of pages: 40 Posted: 15 Jul 2012
Thijs D. Markwat
Robeco Asset Management
Downloads 363 (105,549)
Citation 1

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Crashes, Stock Markets, Copulas, Dependence, Asymmetry

4.

Time Variation in Asset Return Dependence: Strength or Structure?

22nd Australasian Finance and Banking Conference 2009, ERIM Report Series Reference No. ERS-2009-052-F&A
Number of pages: 64 Posted: 25 Aug 2009 Last Revised: 25 Nov 2013
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 292 (133,719)
Citation 9

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Dependence, Stock markets, Copulas, International correlations

5.

Contagion as Domino Effect in Global Stock Markets

ERIM Report Series Reference No. ERS-2008-071-F&A
Number of pages: 50 Posted: 21 Nov 2008
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 216 (180,203)
Citation 5

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contagion, stock market crises, interdependence

6.

Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Tinbergen Institute Discussion Paper 15-140/III
Number of pages: 91 Posted: 06 Jan 2016 Last Revised: 25 Apr 2017
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Robeco Asset Management, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 210 (185,032)
Citation 2

Abstract:

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forecast evaluation, aggregation, Value-at-Risk, model comparison