The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed...

The first part of this paper is based on a study by Faust, Rogers and Wright (2004). They found someevidence of predictability of GDP revisions for the G-7 countrie s, especially for the UK, Italy and Japan. In this paper we investigate the quality of the first Dutch GDP releases by using the...

This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...

Well-known results for the Fréchet and Weibull distribution are streamlined using a unifying parametrisation. Expected values for order statistics follow through a fractional matrix power and the likelihood surface in case of a loglinear specification for the scale parameter is shown to have...

This paper discusses the method of comonotonicity to estimate the sum of risks. Two applications are presented. First, we estimate a property insurer.s exposure to claims after a severe storm. Second, we apply our approach to a pension fund.s investment risk to estimate the prospective total...

Based on household surveys from 2004 and 2014 we show how payment patterns in the Netherlands have changed. This data is unique because it covers a long time span and includes detailed information on payment behaviour per point-of-sale (POS). In this period the usage of the debit card has...

This paper uses a large dataset, covering more than 70% of the Dutch housing market, to analyze the relationship between market thinness, price setting behavior and time to sell. Our findings confirm the typical result that overpricing increases the time on market. In addition, we find evidence...

This paper analyzes one of the major factors underlying old agents' saving and consumption decisions - the individual intentions to leave bequests. We present two simple model of altruistically motivated bequests and use data from the Health and Retirement Study (HRS) to confront the theoretical...

The study quantifies stock market and housing market wealth effects on households' non-durable consumption using Italian household panel data (SHIW) of 1989-2002. We found, averaging over all households, both statistically and economically insignificant housing wealth effects. However, we found...

This report analyses the portfolio behaviour of Dutch households. The study is partly based on information from a broad survey commissioned by the Nederlandsche Bank, held in March of this year. The investigation shows that risk bearing elements are becoming more and more important in households...