Details about Bertrand Melenberg

Access statistics for papers by Bertrand Melenberg.

Last updated 2009-05-05. Update your information in the RePEc Author Service.

Short-id: pme250

Working Papers

2015

1. Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)
   Discussion Paper, Tilburg University, Center for Economic Research
2. Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information
   Discussion Paper, Tilburg University, Center for Economic Research View citations (9)

2014

3. Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
   Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

2011

4. Global Warming and Local Dimming: The Statistical Evidence
   Discussion Paper, Tilburg University, Center for Economic Research View citations (16)
5. Grazing the Commons: Global Carbon Emissions Forever?
   Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
6. Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products: The Effect of Investment Risk
   Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
7. Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
   Discussion Paper, Tilburg University, Center for Economic Research View citations (15)

2006

8. Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets
   Computing in Economics and Finance 2006, Society for Computational Economics
9. The Econometric Analysis of Microscopic Simulation Models
   Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
10. The Non- and Semiparametric Analysis of MS Models: Some Applications
    Discussion Paper, Tilburg University, Center for Economic Research View citations (5)

2005

11. Environmental Kuznets Curves for CO2: Heterogeneity Versus Homogeneity
    Discussion Paper, Tilburg University, Center for Economic Research View citations (31)
12. Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
13. Multi-period CAPM with Heterogeneous Agents
    Computing in Economics and Finance 2005, Society for Computational Economics
14. Testing for Mean-Coherent Regular Risk Spanning
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

2003

15. Testing Expected Shortfall Models for Derivative Positions
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

2002

16. Backtesting for Risk-Based Regulatory Capital
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
    See also Journal Article Backtesting for risk-based regulatory capital, Journal of Banking & Finance, Elsevier (2004) View citations (58) (2004)
17. Model Risk and Regulatory Capital
    Discussion Paper, Tilburg University, Center for Economic Research View citations (9)
18. Semi-parametric Models for Satisfaction with Income
    Discussion Paper, Tilburg University, Center for Economic Research View citations (19)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) View citations (22)

2001

19. Nonparametric Bounds in the Presence of Item Nonresponse, Unfolding Brackets and Anchoring
    Discussion Paper, Tilburg University, Center for Economic Research View citations (6)

2000

20. Common Factors in International Bond Returns
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
    See also Journal Article Common factors in international bond returns, Journal of International Money and Finance, Elsevier (2003) View citations (71) (2003)
21. Testing Affine Term Structure Models in Case of Transaction Costs
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1999)
    See also Journal Article Testing affine term structure models in case of transaction costs, Journal of Econometrics, Elsevier (2005) View citations (5) (2005)
22. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
    Discussion Paper, Tilburg University, Center for Economic Research View citations (8)
    See also Journal Article The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions, Journal of Financial and Quantitative Analysis, Cambridge University Press (2003) View citations (32) (2003)

1999

23. Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse
    Discussion Paper, Tilburg University, Center for Economic Research View citations (7)
24. Estimating Risk Attitudes Using Lotteries; A Large Sample Approach
    Discussion Paper, Tilburg University, Center for Economic Research View citations (12)
    See also Journal Article Estimating Risk Attitudes Using Lotteries: A Large Sample Approach, Journal of Risk and Uncertainty, Springer (2001) View citations (277) (2001)
25. Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
26. Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

1997

27. An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models
    Discussion Paper, Tilburg University, Center for Economic Research
    See also Journal Article An analysis of housing expenditure using semiparametric cross-section models, Empirical Economics, Springer (2000) View citations (9) (2000)
28. An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
    See also Journal Article An analysis of housing expenditure using semiparametric models and panel data, Journal of Econometrics, Elsevier (2001) View citations (37) (2001)
29. Testing the Predicitive Value of Subjective Labour Supply Data
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
    See also Journal Article Testing the predictive value of subjective labour supply data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1998) View citations (18) (1998)

1996

30. On the Pricing of Options in Incomplete Markets
    Discussion Paper, Tilburg University, Center for Economic Research

1995

31. Estimation of a censored regression panel data model using conditional moment restrictions efficiently
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
    See also Journal Article Estimation of a censored regression panel data model using conditional moment restrictions efficiently, Journal of Econometrics, Elsevier (2000) View citations (16) (2000)
32. Semiparametric estimation of equivalence scales using subjective information
    Discussion Paper, Tilburg University, Center for Economic Research View citations (5)

1993

33. Semi-Parametric Estimation on the Sample Selection Model
    Working Papers, Tilburg - Center for Economic Research View citations (7)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (8)

1991

34. Intratemporal uncertainty in the multi-good life cycle consumption model: Motivation and application
    Research Memorandum, Tilburg University, School of Economics and Management
35. Parametric and Semi-parametric Modelling of Vocation Expenditures
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991)
    See also Journal Article Parametric and Semi-parametric Modelling of Vacation Expenditures, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) View citations (65) (1996)

1989

36. A method to construct moments in the multi-good life cycle consumption model
    Research Memorandum, Tilburg University, School of Economics and Management
37. MAXIMUM SCORE ESTIMATION IN THE ORDRED RESPONSE MODEL
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1989)

1987

38. Consumption, leisure and earnings-related liquidity constraints: A note
    Research Memorandum, Tilburg University, School of Economics and Management
    See also Journal Article Consumption, leisure and earnings-related liquidity constraints: A note, Economics Letters, Elsevier (1988) View citations (9) (1988)
39. The problem of not observing small expenditures in a consumer expenditure survey
    Research Memorandum, Tilburg University, School of Economics and Management
    See also Journal Article The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1990) View citations (4) (1990)

Journal Articles

2008

1. Estimating the term structure of mortality
   Insurance: Mathematics and Economics, 2008, 42, (2), 492-504 View citations (16)
2. Longevity risk in portfolios of pension annuities
   Insurance: Mathematics and Economics, 2008, 42, (2), 505-519 View citations (50)

2005

3. Testing affine term structure models in case of transaction costs
   Journal of Econometrics, 2005, 126, (1), 201-232 View citations (5)
   See also Working Paper Testing Affine Term Structure Models in Case of Transaction Costs, Econometric Society World Congress 2000 Contributed Papers (2000) (2000)

2004

4. Backtesting for risk-based regulatory capital
   Journal of Banking & Finance, 2004, 28, (8), 1845-1865 View citations (58)
   See also Working Paper Backtesting for Risk-Based Regulatory Capital, Discussion Paper (2002) View citations (4) (2002)

2003

5. Common factors in international bond returns
   Journal of International Money and Finance, 2003, 22, (5), 629-656 View citations (71)
   See also Working Paper Common Factors in International Bond Returns, Discussion Paper (2000) View citations (3) (2000)
6. Contracting out refuse collection
   Empirical Economics, 2003, 28, (3), 553-570 View citations (77)
7. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
   Journal of Financial and Quantitative Analysis, 2003, 38, (3), 635-672 View citations (32)
   See also Working Paper The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions, Discussion Paper (2000) View citations (8) (2000)

2001

8. An analysis of housing expenditure using semiparametric models and panel data
   Journal of Econometrics, 2001, 101, (1), 71-107 View citations (37)
   See also Working Paper An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data, Discussion Paper (1997) View citations (2) (1997)
9. Estimating Risk Attitudes Using Lotteries: A Large Sample Approach
   Journal of Risk and Uncertainty, 2001, 22, (2), 165-95 View citations (277)
   See also Working Paper Estimating Risk Attitudes Using Lotteries; A Large Sample Approach, Discussion Paper (1999) View citations (12) (1999)

2000

10. An analysis of housing expenditure using semiparametric cross-section models
    Empirical Economics, 2000, 25, (3), 437-462 View citations (9)
    See also Working Paper An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models, Discussion Paper (1997) (1997)
11. Estimation of a censored regression panel data model using conditional moment restrictions efficiently
    Journal of Econometrics, 2000, 95, (1), 25-56 View citations (16)
    See also Working Paper Estimation of a censored regression panel data model using conditional moment restrictions efficiently, Discussion Paper (1995) View citations (2) (1995)

1999

12. A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets
    Statistical Inference for Stochastic Processes, 1999, 2, (1), 11-30

1998

13. Bounding quantiles in sample selection models
    Economics Letters, 1998, 61, (1), 29-35 View citations (4)
14. Introduction: application of semiparametric methods for micro-data
    Journal of Applied Econometrics, 1998, 13, (5), 431-433 View citations (1)
15. Testing the predictive value of subjective labour supply data
    Journal of Applied Econometrics, 1998, 13, (5), 567-585 View citations (18)
    See also Working Paper Testing the Predicitive Value of Subjective Labour Supply Data, Discussion Paper (1997) View citations (2) (1997)

1997

16. Life cycle consumption models with uncertainty within periods
    Economics Letters, 1997, 57, (1), 1-4

1996

17. Parametric and Semi-parametric Modelling of Vacation Expenditures
    Journal of Applied Econometrics, 1996, 11, (1), 59-76 View citations (65)
    See also Working Paper Parametric and Semi-parametric Modelling of Vocation Expenditures, Working Papers (1991) (1991)

1995

18. Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model
    Journal of Applied Econometrics, 1995, 10, (1), 1-15 View citations (15)

1990

19. The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey
    Journal of Applied Econometrics, 1990, 5, (2), 151-66 View citations (4)
    See also Working Paper The problem of not observing small expenditures in a consumer expenditure survey, Research Memorandum (1987) (1987)

1989

20. The effects of liquidity constraints on consumption Estimation from household panel data
    European Economic Review, 1989, 33, (2-3), 547-555 View citations (20)

1988

21. Consumption, leisure and earnings-related liquidity constraints: A note
    Economics Letters, 1988, 27, (1), 101-104 View citations (9)
    See also Working Paper Consumption, leisure and earnings-related liquidity constraints: A note, Research Memorandum (1987) (1987)