Prof Dr Peter Schotman (P.C.)
Key publicaties
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Osterrieder, D., & Schotman, P. (2017). The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums . Review of Economics and Statistics, 99(5), 884-895. https://doi.org/10.1162/REST_a_00624Meer informatie over deze publicatie
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Cosemans, M., Frehen, R., Schotman, P., & Bauer, R. (2016). Estimating Security Betas Using Prior Information Based on Firm Fundamentals. Review of Financial Studies, 29(4), 1072-1112. https://doi.org/10.1093/rfs/hhv131Meer informatie over deze publicatie
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Diris, B. F., Palm, F. C., & Schotman, P. C. (2015). Long-term strategic asset allocation: An out-of-sample evaluation. Management Science, 61(9), 2185-2202. https://doi.org/10.1287/mnsc.2014.1924Meer informatie over deze publicatie
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Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C., & Steenkamp, T. B. M. (2014). Strategic asset allocation for long-term investors: Parameter uncertainty and prior information. Journal of Applied Econometrics, 29(3), 353-376. https://doi.org/10.1002/jae.2331Meer informatie over deze publicatie
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Lönn, R., & Schotman, P. C. (2024). Empirical Asset Pricing with Many Test Assets. Journal of Financial Econometrics, 22(5), 1236-1263. Article nbae002. https://doi.org/10.1093/jjfinec/nbae002Meer informatie over deze publicatie
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Lutgens, F. J. W., & Schotman, P. C. (2010). Robust Portfolio Optimisation with Multiple Experts. Review of Finance, 14(2), 343-383. https://doi.org/10.1093/rof/rfn028Meer informatie over deze publicatie
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Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C., & Steenkamp, T. B. M. (2008). Strategic Asset Allocatoin with Liabilities: Beyond Stocks and Bonds. Journal of Economic Dynamics & Control, 32(9), 2939-2970. https://doi.org/10.1016/j.jedc.2007.11.003Meer informatie over deze publicatie
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Schotman, P. C. (2001). When Unit Roots Matter: Excess Volatility and Excess Smoothness of Long-Term Interest Rates. Journal of Empirical Finance, 8, 669-694. https://doi.org/10.1016/S0927-5398(01)00040-8Meer informatie over deze publicatie
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Bams, W. F. M., & Schotman, P. C. (2003). Direct Estimation of the risk neutral factor dynamics of Gaussian term structure models. Journal of Econometrics, (117), 179-206. https://doi.org/10.1016/S0304-4076(03)00122-2Meer informatie over deze publicatie
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Schotman, P. C., & Beetsma, R. (2001). Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show LINGO. The Economic Journal, 111, 821-848. https://doi.org/10.1111/1468-0297.00661Meer informatie over deze publicatie
Recente publicaties
Overige publicaties
Working papers zijn beschikbaar op SSRN.
Zie CV voor volledige lijst publicaties.