Vehicular networks are gaining popularity because vehicularcommunications are able to help minimize accidents, improvetraffic conditions and provide infotainment services. Security and privacy are important challenges in the deployment of vehicular networks. Authentication, key exchange and pseudonym delivery protocols can be used to provide security and privacy in vehicular networks. However, two important aspects of security and privacy,namely protection against DoS attacks and vehicle node anonymity, are currently not being addressed in existing authentication, key exchange and pseudonym delivery protocols for vehicular networks. In this paper, we propose an anonymous DoS-resistant password-based AUthentiCation, Key Exchange and Pseudonym delivERy(AUCKEPER) Protocol for vehicular networks that provides both protection against DoS attacks and vehicle node anonymity. A security and complexity analysis shows that the proposed AUCKEPER protocol is secure, more efficient and has advantages over a recently proposed state-of-the-art authentication, key exchange and pseudonym delivery protocol.