Dr R. (Ronald) Huisman

Ronald Huisman
Erasmus School of Economics (ESE)
Erasmus University Rotterdam
Former Member ERIM
Field: Finance & Accounting
Former Member ERIM
Field: Finance & Accounting
Affiliated since 1999

Ronald Huisman is associate professor at the section Finance of the Department of Business Economics of the Erasmus School Economics. His research fields are energy finance and financial markets. He obtained a PhD from Maastricht University.

Publications

Article (53)

  • Academic (30)

    • Huisman, R., & van Nijen, B. T. C. (2024). Does adaptive capacity reduce funding costs of municipalities that are exposed to climate change risk? Economics of Energy and Environmental Policy, 13(1), 83-97. https://doi.org/10.5547/2160-5890.13.1.rhui

    • Huisman, R., Kyritsis, E., & Stet, V. C. (2022). Fat Tails due to Variable Renewables and Insufficient Flexibility: Evidence from Germany. Energy Journal, 43(5), 231-247. https://doi.org/10.5547/01956574.43.5.rhui, https://doi.org/10.5547/01956574.43.5.rhui

    • Koolen, D., Huisman, R., & Ketter, W. (2022). Decision strategies in sequential power markets with renewable energy. Energy Policy, 167, Article 113025. https://doi.org/10.1016/j.enpol.2022.113025

    • Huisman, R., & Stet, VC. (2022). The dependence of quantile power prices on supply from renewables. Energy Economics, 105, Article 105685. https://doi.org/10.1016/j.eneco.2021.105685

    • Huisman, R., Koolen, D., & Stet, V. C. (2021). Pricing forward contracts in power markets with variable renewable energy sources. Renewable Energy, 180, 1260-1265. https://doi.org/10.1016/j.renene.2021.08.086

    • Huisman, R., Van der Sar, N. L., & Zwinkels, R. C. J. (2021). Volatility expectations and disagreement. Journal of Economic Behavior and Organization, 188, 379-393. https://doi.org/10.1016/j.jebo.2021.05.020

    • Huisman, R., & Kilic, M. (2015). Time variation in European carbon pass-through rates in electricity futures prices. Energy Policy, 86(November), 239-249. https://doi.org/10.1016/j.enpol.2015.07.005

    • Eichholtz, P., Huisman, R., & Zwinkels, R. (2014). Fundamentals or trends? A long-term perspective on house prices. Applied Economics, 47(10), 1050-1059. https://doi.org/10.1080/00036846.2014.987919

    • Huisman, R., & Kilic, M. (2013). A History of European Electricity Day-Ahead Prices. Applied Economics, 45(18), 2683-2693. https://doi.org/10.1080/00036846.2012.665601

    • Huisman, R., van der Sar, N., & Zwinkels, R. (2012). A new measurement method of investor overconfidence. Economics Letters, 114(1), 69-71. https://doi.org/10.1016/j.econlet.2011.09.022

    • Hofman, D., & Huisman, R. (2012). Did the Financial Crisis Lead to Changes in Private Equity Investor Preferences Regarding Renewable Energy Policies?". Energy Policy, 47, 111-116. https://doi.org/10.1016/j.enpol.2012.04.029

    • Huisman, R., & Kilic, M. (2012). Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums. Energy Economics, 34(4), 892-898. Article 4. https://doi.org/10.1016/j.eneco.2012.04.008

    • Bloys van Treslong, A., & Huisman, R. (2010). A Comment on: Storage and the Electricity Forward Premium. Energy Economics, 32(2), 321-324. https://doi.org/10.1016/j.eneco.2009.11.007

    • Huisman, R., Mahieu, RJ., & Schlichter, F. (2009). Electricity portfolio management: Optimal peak/off-peak allocations. Energy Economics, 31(1), 169-174. https://doi.org/10.1016/j.eneco.2008.08.003

    • Huisman, R. (2008). The influence of temperature on spike probability in day-ahead power prices. Energy Economics, 30(5), 2697-2704. https://doi.org/10.1016/j.eneco.2008.05.007

    • Huisman, R., Huurman, CI., & Mahieu, RJ. (2007). Hourly electricity prices in day-ahead markets. Energy Economics, 29(2), 240-248. https://doi.org/10.1016/j.eneco.2006.08.005

    • Huisman, R., & Huurman, CI. (2007). Being in Balance: More Efficiency Through Liberalization. ICFAI Journal of Environmental Economics, 5(1), 28-43.

    • Huisman, R., & Mahieu, RJ. (2003). Regime Jumps in Electricity Prices. Energy Economics, 25(5), 425-434. https://doi.org/10.1016/S0140-9883(03)00041-0

    • Huisman, R., & Campbell, RAJ. (2003). Measuring Credit Spread Risk. The Journal of Portfolio Management, 29(4), 121-127.

    • Huisman, R., Koedijk, CG., Kool, C., & Palm, F. (2002). The Tail-Fatness of FX Returns Reconsidered. De Economist, 150(3), 299-312.

    • Campbell, RAJ., Huisman, R., & Koedijk, CG. (2001). Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking and Finance, 25(9), 1789-1804. https://doi.org/10.1016/S0378-4266(00)00160-6

    • Huisman, R., Koedijk, CG., Palm, F., & Kool, C. (2001). Tail index estimates in small samples. Journal of Business and Economic Statistics, 19(2), 208-216. https://doi.org/10.1198/073500101316970421

    • Koedijk, CG., Mahieu, RJ., Huisman, R., & Flood, MD. (1999). Quote disclosure and price discovery in multiple dealer financial markets. The Review of Financial Studies, 12, 37-60. https://doi.org/10.1093/rfs/12.1.37

    • Huisman, R., Koedijk, CG., & Pownall, R. (1998). VaR-x: fat tails in financial risk management. The Journal of Risk, 1(1), 47-62.

    • Huisman, R., & Koedijk, CG. (1998). Financial market competition: the effects of transparency. De Economist, 3(146), 463-473.

    • Huisman, R., Koedijk, CG., Kool, C., & Nissen, F. (1998). Extreme support for uncovered interest parity. Journal of International Money and Finance, (17), 211-228.

    • Huisman, R., Eichholtz, P., Koedijk, CG., & Schuin, L. (1998). Continental factors in international real estate returns ISSN 1067-8433. Real Estate Economics, 26(3), 493-509.

    • Eichholtz, P., Huisman, R., Koedijk, K., & Schuin, L. (1998). Continental factors in international real estate returns. Real Estate Economics, 26(3), 493-509. https://doi.org/10.1111/1540-6229.00754

    • Huisman, R., & Verheul, R. (1997). Technische analyse in Nederland. Economisch-Statistische Berichten, 42-45.

    • Huisman, R. (1996). Nieuw leven voor safety first. Economisch-Statistische Berichten, 493-493.

  • Popular (2)

    • Huisman, R., van der Sar, N., & Zwinkels, R. (2011). Risicoperceptie is te meten. Unknown.

    • Huisman, R., & Kilic, M. (2011). De economische waarde van de Bergermeer gasopslag. Unknown.

  • Professional (21)

    • Huisman, R. (2021). Hoe lang zal de energieprijs extreem hoog blijven? Mejudice. https://www.mejudice.nl/artikelen/detail/hoe-lang-zal-de-energieprijs-extreem-hoog-blijven

    • Huisman, R., Jepma, CJ., & Mulder, M. (2014). Canon deel 10: Energie-economie. Economisch-Statistische Berichten, 99(4694), 598-603.

    • Huisman, R., Jepma, C., & Mulder, M. (2014). Energie-economie. Tijdschrift voor het Economisch Onderwijs, 114(6 november 2014), 4-8.

    • Huisman, R., & Kilic, M. (2013). Geen schaliegasrevolutie weggelegd voor Europa. Economisch-Statistische Berichten, 496-497.

    • Reedijk, HE., & Huisman, R. (2012). Feedback door digitale toetsen leidt tot significant betere studieresultaten. Onderzoek van Onderwijs, 41(3), 66-70.

    • Huisman, R. (2011). Moet Nederland elektriciteit willen exporteren? ESB.

    • Huisman, R., Katsman, A., & Kilic, M. (2011). Opslag dempt variaties in gasprijs. Unknown, 8-8.

    • Huisman, R. (2007). Currency Risk: Is is a strategic choice? Unknown, 14-16.

    • Huisman, R. (2005). Currency Management adds Systematic Value. Unknown, 27-28.

    • Huisman, R., & Huurman, CI. (2004). Meer efficientie door liberalisering electriciteitsmarkt. Economisch-Statistische Berichten, 89(4445), 510-512.

    • Huisman, R., & Huurman, C. (2004). Meer efficientie foor liberalisering electriciteitsmarkt. Unknown, 510-512.

    • de Jong, C., & Huisman, R. (2003). Option pricing for power prices with spikes. Energy and Power Risk Management, 7(11), 12-16.

    • Huisman, R., Mahieu, RJ., & Limburg, F. (2002). Slimmer valuta's afdekken. Economisch-Statistische Berichten, 87(4368), 510-511.

    • Huisman, R., & Mahieu, RJ. (2001). Regime Jumps in Power Prices. Energy and Power Risk Management, September, 32-35.

    • Huisman, R., Koedijk, CG., & Pownall, R. (1999). Dealing with Market Extremes. Derivatives Week, 29.

    • Huisman, R., & Schweitzer, M. (1999). Dutch Corporate Bonds in a Mixed Asset Portfolio. VBA Journaal.

    • Huisman, R., & Corman, R. (1998). Football share: toto or serious investment? Economisch-Statistische Berichten, vol?(nr?), 680-682.

    • Huisman, R., Eichholtz, P., op 't Veld, H., & Schuin, L. (1998). International diversification for Dutch real estate investors. Bedrijfskunde, (1), 72-77.

    • Huisman, R., & Verheul, R. (1998). Technical Analysis in the Netherlands. Nederbelgisch Magazine, (3), 42-45.

    • Huisman, R., Helden, M., & Schweitzer, M. (1998). The rapid growth of the European corporate bond market. Economisch-Statistische Berichten, (4152), 407-407.

    • Huisman, R., & Corman, R. (1998). Football shares: toto or serious investment? Economisch-Statistische Berichten, (4166), 680-682.

Book (1)

  • Academic (1)

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

Book editing (1)

  • Academic (1)

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

Chapter (5)

  • Academic (5)

    • Huisman, R., Dahlen, KE., & Westgaard, S. (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 (pp. 283-292). Springer-Verlag.

    • Huisman, R., & Kilic, M. (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.

    • Huisman, R. (2009). Energy Trading, Emission Certificates and risk Management. In A. Bausch, & B. Schwenker (Eds.), Handbook of Utility Management (pp. 349-360). Springer-Verlag.

    • Huisman, R., Koedijk, K., & Pownall, R. (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). RISK Books.

    • Huisman, R., & Eichholtz, P. (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.

Conference proceeding (8)

  • Academic (8)

    • Koolen, D., Huisman, R., & Ketter, W. (2017). The Electricity Forward Price with Increasing Intermittent Supply. In 2017 International Conference on Energy Finance

    • Koolen, D., Huisman, R., & Ketter, W. (2016). Risk and Decision Making for Electricity Forward Markets with Volatile Resources. In -

    • Huisman, R., Michels, D., & Westgaard, S. (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 (Vol. 40 (1,2), pp. 149-187)

    • Fleten, SE., Huisman, R., Kilic, M., Pennings, E., & Westgaard, S. (2015). Electricity futures prices: time varying sensitivity to fundamentals. In Risk (Vol. 8, pp. 1-22). Journal of Energy Markets. https://doi.org/10.21314/JEM.2015.136

    • Dahlen, K. E., Huisman, R., & Westgaard, S. (2015). Risk modelling of energy futures: A comparison of riskmetrics, historical simulation, filtered historical simulation, and quantile regression. In E. Rafajłowicz, K. Szajowski, & A. Steland (Eds.), Stochastic Models, Statistics and Their Applications, 2015 (pp. 283-291). Springer New York. https://doi.org/10.1007/978-3-319-13881-7_31

    • Huisman, R., & Kilic, M. (2013). Letter from the guest editors. In Journal of Energy Markets RISK.

    • Huisman, R., & Kilic, M. (2011). Extreme Changes in Prices of Electricity Futures. In Insurance Markets and Companies: Analyses and Actuarial Computations (Vol. 2, pp. 21-25)

    • de Jong, C., & Huisman, R. (2000). From skews to a skewed-t: modelling option-implied returns by a skewed student-t. In IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr) (pp. 132-142). IEEE.

Paper (4)

  • Academic (3)

    • Huisman, R., Stradnic, V., & Westgaard, S. (2014). Renewable energy and electricity prices: indirect empirical evidence from hydro power.

    • Huisman, R., & Trujillo-Baute, E. (2014). Costs of Power Supply Flexibility: the Indirect Impact of a Spanish Policy Change.

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

  • Professional (1)

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

Report (5)

  • Academic (5)

    • Huurman, CI., & Huisman, R. (2003). Fat Tails in Power Prices. (ERIM Report Series Research in Management 2003-059 ed.) ERIM Report Series Research in Management Vol. 2003-059

    • de Jong, C., & Huisman, R. (2002). Option formulas for mean-reverting power prices with spikes. ERIM Report Series Research in Management (issn 1566-5283)

    • Huisman, R., & Mahieu, RJ. (2001). Regime jumps in electricity prices. (ERIM Report Series Research in Management 2001 48-F&A ed.) ERIM Report Series Research in Management 2001 Vol. 48-F&A

    • Huisman, R., & Mahieu, RJ. (2001). Regime Jumps in Electricity Prices. Erasmus Research Institute of Management (ERIM). ERIM Report Series Research in Management (issn 1566-5283)

    • de Jong, C., & Huisman, R. (2000). From Skews to a Skewed-t: Modelling option-implied returns by a skewed Student-t. (ERIM Report Series Research in Management (issn 1566-5283) 12 ed.) ERIM. ERIM Report Series Research in Management (issn 1566-5283) Vol. 12

Working paper (3)

  • Academic (3)

    • Huisman, R., van der Sar, N., & Zwinkels, R. (2018). Volatility, Beliefs Precision, and Disagreement.

    • Huisman, R., van der Sar, N., & Zwinkels, R. (2012). Volatility, Investor Uncertainty, and Dispersion.

    • Huisman, R., & Reedijk, HE. (2012). The Impact of Individual Online Tests in Addition to Group Assignments on Student Learning.

Additional activities (1)

  • Energy Economics (Journal)

    Publication Peer-review (Academic)

PhD Tracks (11)

Empirical Essays on Office Market Dynamics
  • Role: Member Doctoral Committee
  • PhD Candidate: Maarten Jennen
  • Time frame: 2004 - 2008
Investment Strategies based on Social Responsibility and Bubbles
  • Role: Member Doctoral Committee
  • PhD Candidate: Nadja Günster
  • Time frame: 2003 - 2009
Dealing with Electricity Prices
  • Role: Co-promotor
  • PhD Candidate: Christian Huurman
  • Time frame: 2002 - 2007
Government Dilemmas in the Private Provision of Public Goods
  • Role: Member Doctoral Committee
  • PhD Candidate: Arjen Mulder
  • Time frame: 2000 - 2004
Empirical Studies on Exchange Rate Puzzles and Volatility
  • Role: Member Doctoral Committee
  • PhD Candidate: Ben Tims
  • Time frame: 1999 - 2006
Empirical Studies on Asset Pricing and Banking in the Euro Area
  • Role: Member Doctoral Committee
  • PhD Candidate: Gerard Moerman
  • Time frame: 1999 - 2005
Market Risks and Strategies in Power Systems Integrating Renewable Energy
  • Role: Co-promotor
  • PhD Candidate: Derck Koolen
  • Time frame: 2014 - 2019
(In)flexibility in Power Markets with Supply from Variable Renewable Sources
  • Role: Co-promotor
  • PhD Candidate: Cristian Stet
  • Time frame: 2017 - 2021
Surveillance of Complex Auction Markets: A Market Policy Analytics Approach
  • Role: Member Doctoral Committee
  • PhD Candidate: Ezgi Avci Surucu
  • Time frame: 2016 - 2018
Financing Sustainable Innovation: From a principal-agent to a collective action perspective
  • Role: Member Doctoral Committee
  • PhD Candidate: Helen Toxopeus
  • Time frame: - 2019
The Economic Consequences of Electricity Pricing in the Renewable Energy Era
  • Role: Member Doctoral Committee
  • PhD Candidate: Mohammad Ansarin
  • Time frame: 2015 - 2021

Address

Visiting address

Office: Tinbergen Building H14-10
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Research Initiatives

Latest publication

Article

Huisman, R., & van Nijen, B. T. C. (2024). Does adaptive capacity reduce funding costs of municipalities that are exposed to climate change risk? Economics of Energy and Environmental Policy, 13(1), 83-97. https://doi.org/10.5547/2160-5890.13.1.rhui