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Details about Theo Nijman

Homepage:http://center.uvt.nl/staff/nijman/
Workplace:Departement Econometrie & Operations Research (Department of Econometrics and Operations Research), School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)
Finance Department, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)
CentER for Economic Research, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

Access statistics for papers by Theo Nijman.

Last updated 2013-08-05. Update your information in the RePEc Author Service.

Short-id: pni115


Jump to Journal Articles

Working Papers

2010

  1. Health Cost Risk and Optimal Retirement Provision: A Simple Rule for Annuity Demand
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
  2. Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  3. When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

2006

  1. Optimal Portfolio Choice with Annuitization
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (11)

2005

  1. Labor Income and the Demand for Long-term Bonds
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)

2004

  1. An Anatomy of Futures Returns: Risk Premiums and Trading Strategies
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads

2003

  1. Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

2002

  1. Do Countries or Industries Explain Momentum in Europe?
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2004)
  2. Evaluating Style Analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2000) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2004)
  3. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)
  4. The Dynamics of the Impact of Past Performance on Mutual Fund Flows
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
  5. The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)

2001

  1. On the Empirical Evidence of Mutual Fund Strategic Risk Taking
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

2000

  1. Common Factors in International Bond Returns
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2003)
  2. Derivatengebruik van Nederlandse Niet-Financiële Bedrijven
    Research Memorandum, School of Economics and Management Downloads
  3. Testing Affine Term Structure Models in Case of Transaction Costs
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1999) Downloads

    See also Journal Article in Journal of Econometrics (2005)

1999

  1. Currency Hedging for International Stock Portfolios: A General Approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

1998

  1. Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample
    Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) Downloads
  2. Performance analysis of international mutual funds incorporating market frictions
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
  3. Style Analysis and Performance Evaluation of Dutch Mutual Funds
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (6)
  4. Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (23)
  5. Testing for mean-variance spanning: A survey
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Journal of Empirical Finance (2001)

1997

  1. Analyzing specification errors in models for futures risk premia with hedging pressure
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

1996

  1. Pricing Term Structure Risk in Futures Markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (1998)
  2. Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996) View citations (4)

1995

  1. High frequency analysis of lead-lag relationships between financial markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (1997)

1994

  1. Estimation and testing in models containing both jumps and conditional heteroskedasticity
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (1998)
  2. Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) Downloads View citations (2)
    Working Papers, Tilburg - Center for Economic Research (1993) View citations (4)

    See also Journal Article in Journal of Econometrics (1996)
  3. Price effects of trading and components of the bid-ask spread on the Paris Bource
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Journal of Empirical Finance (1996)

1993

  1. A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International
    Working Papers, Tilburg - Center for Economic Research View citations (4)
  2. A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (5)
    See also Journal Article in European Economic Review (1995)

1992

  1. Incomplete Panels and Selection Bias: A Survey
    Working Papers, Tilburg - Center for Economic Research View citations (17)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1992) Downloads View citations (4)
  2. Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections
    Working Papers, Tilburg - Center for Economic Research
    See also Journal Article in Journal of Econometrics (1993)
  3. Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  4. Temporal Aggregation of Garch Processes
    Working Papers, Tilburg - Center for Economic Research View citations (13)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads View citations (2)
    Working Papers, Tilburg - Center for Economic Research (1990) View citations (96)
    Discussion Paper, Tilburg University, Center for Economic Research (1992) Downloads View citations (6)

    See also Journal Article in Econometrica (1993)

1991

  1. Premia in Forward Foreign Exchange as Unobserved Components
    Working Papers, Tilburg - Center for Economic Research View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (2)
  2. Recent Developments in Modeling Volatility in Financial Data
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads

1990

  1. CAN COHORT DATA BE TREATED AS GENUINE PANEL DATA
    Working Papers, Tilburg - Center for Economic Research View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads

    See also Journal Article in Empirical Economics (1992)
  2. EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads

    See also Journal Article in Annales d'Economie et de Statistique (1991)
  3. TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads

    See also Journal Article in International Economic Review (1992)

1989

  1. A natural approach to optimal forecasting in case of preliminary observations
    Research Memorandum, School of Economics and Management Downloads
  2. GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1989) Downloads

    See also Journal Article in International Economic Review (1991)
  3. THE NONRESPONSE BIAS IN THE ANALYSIS OF THE DETERMINANTS OF TOTAL EXPENDITURES OF HOUSEHOLDS BASED ON PANEL DATA
    Working Papers, Tilburg - Center for Economic Research View citations (1)
  4. The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

1988

  1. Estimation of time dependent parameters in linear models using cross sections, panels or both
    Research Memorandum, School of Economics and Management Downloads
    See also Journal Article in Journal of Econometrics (1990)
  2. Exclusion restrictions in instrumental variables equations
    Research Memorandum, School of Economics and Management Downloads
  3. The optimal design of rotating panels in a simple analysis of variance model
    Research Memorandum, School of Economics and Management Downloads

1987

  1. Consistent estimation of regression models with incompletely observed exogenous variables
    Research Memorandum, School of Economics and Management Downloads
    See also Journal Article in Annales d'Economie et de Statistique (1988)
  2. Predictive accuracy gain from disaggregate sampling in ARIMA-models
    Research Memorandum, School of Economics and Management Downloads
    See also Journal Article in Journal of Business & Economic Statistics (1990)

1986

  1. Consistent estimation of rational expectation models
    Research Memorandum, School of Economics and Management Downloads
  2. Efficiency gains due to using missing data procedures in regression models
    Research Memorandum, School of Economics and Management Downloads

Journal Articles

2011

  1. Optimal Annuity Risk Management
    Review of Finance, 2011, 15, (4), 799-833 Downloads View citations (7)

2010

  1. Longevity risk and capital markets: The 2008-2009 update
    Insurance: Mathematics and Economics, 2010, 46, (1), 135-138 Downloads View citations (2)
  2. When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
    Review of Financial Studies, 2010, 23, (2), 741-780 Downloads View citations (14)

2008

  1. Estimating the term structure of mortality
    Insurance: Mathematics and Economics, 2008, 42, (2), 492-504 Downloads View citations (9)
  2. Longevity risk in portfolios of pension annuities
    Insurance: Mathematics and Economics, 2008, 42, (2), 505-519 Downloads View citations (17)
  3. Performance information dissemination in the mutual fund industry
    Journal of Financial Markets, 2008, 11, (2), 144-159 Downloads View citations (7)

2005

  1. Testing affine term structure models in case of transaction costs
    Journal of Econometrics, 2005, 126, (1), 201-232 Downloads View citations (1)
    See also Working Paper (2000)
  2. Yet another look at mutual fund tournaments
    Journal of Empirical Finance, 2005, 12, (1), 127-137 Downloads View citations (15)

2004

  1. Do countries or industries explain momentum in Europe?
    Journal of Empirical Finance, 2004, 11, (4), 461-481 Downloads View citations (10)
    See also Working Paper (2002)
  2. Evaluating style analysis
    Journal of Empirical Finance, 2004, 11, (1), 29-53 Downloads View citations (11)
    See also Working Paper (2002)

2003

  1. Common factors in international bond returns
    Journal of International Money and Finance, 2003, 22, (5), 629-656 Downloads View citations (24)
    See also Working Paper (2000)
  2. Currency hedging for international stock portfolios: The usefulness of mean-variance analysis
    Journal of Banking & Finance, 2003, 27, (2), 327-349 Downloads View citations (14)

2001

  1. Eliminating look-ahead bias in evaluating persistence in mutual fund performance
    Journal of Empirical Finance, 2001, 8, (4), 345-373 Downloads View citations (10)
  2. Testing for mean-variance spanning: a survey
    Journal of Empirical Finance, 2001, 8, (2), 111-155 Downloads View citations (48)
    See also Working Paper (1998)

2000

  1. Hedging Pressure Effects in Futures Markets
    Journal of Finance, 2000, 55, (3), 1437-1456 Downloads View citations (74)

1998

  1. Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations (20)
    See also Working Paper (1994)
  2. Pricing Term Structure Risk in Futures Markets
    Journal of Financial and Quantitative Analysis, 1998, 33, (01), 139-157 Downloads View citations (5)
    See also Working Paper (1996)

1997

  1. High frequency analysis of lead-lag relationships between financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 259-277 Downloads View citations (20)
    See also Working Paper (1995)

1996

  1. Marginalization and contemporaneous aggregation in multivariate GARCH processes
    Journal of Econometrics, 1996, 71, (1-2), 71-87 Downloads View citations (32)
    See also Working Paper (1994)
  2. Price effects of trading and components of the bid-ask spread on the Paris Bourse
    Journal of Empirical Finance, 1996, 3, (2), 193-213 Downloads View citations (11)
    See also Working Paper (1994)

1995

  1. A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
    European Economic Review, 1995, 39, (7), 1277-1301 Downloads View citations (22)
    See also Working Paper (1993)

1993

  1. Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections
    Journal of Econometrics, 1993, 59, (1-2), 125-136 Downloads View citations (31)
    See also Working Paper (1992)
  2. Premia in Forward Foreign Exchange as Unobserved Components: A Note
    Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations (12)
  3. Temporal Aggregation of GARCH Processes
    Econometrica, 1993, 61, (4), 909-27 Downloads View citations (202)
    See also Working Paper (1992)

1992

  1. Can Cohort Data Be Treated as Genuine Panel Data?
    Empirical Economics, 1992, 17, (1), 9-23 View citations (72)
    See also Working Paper (1990)
  2. Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function
    Journal of Applied Econometrics, 1992, 7, (3), 243-57 Downloads View citations (59)
  3. Testing for Selectivity Bias in Panel Data Models
    International Economic Review, 1992, 33, (3), 681-703 Downloads View citations (164)
    See also Working Paper (1990)
  4. The optimal choice of controls and pre-experimental observations
    Journal of Econometrics, 1992, 51, (1-2), 183-189 Downloads View citations (1)

1991

  1. Empirical Tests of a Simple Pricing Model for Sugar Futures
    Annales d'Economie et de Statistique, 1991, (24), 121-131 Downloads
    See also Working Paper (1990)
  2. Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
    International Economic Review, 1991, 32, (2), 383-89 Downloads View citations (2)
    See also Working Paper (1989)
  3. The efficiency of rotating-panel designs in an analysis-of-variance model
    Journal of Econometrics, 1991, 49, (3), 373-399 Downloads View citations (6)

1990

  1. Estimation of time-dependent parameters in linear models using cross-sections, panels, or both
    Journal of Econometrics, 1990, 46, (3), 333-346 Downloads View citations (7)
    See also Working Paper (1988)
  2. Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models
    Journal of Business & Economic Statistics, 1990, 8, (4), 405-15 View citations (13)
    See also Working Paper (1987)

1988

  1. Consistent Estimation of Regression Models with Incompletely Observed Exogenous Variables
    Annales d'Economie et de Statistique, 1988, (12), 151-175 Downloads
    See also Working Paper (1987)

1986

  1. The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach
    Journal of Business & Economic Statistics, 1986, 4, (1), 47-58 View citations (6)

1984

  1. Missing Observations in the Dynamic Regression Model
    Econometrica, 1984, 52, (6), 1415-35 Downloads View citations (22)

1982

  1. Linear regression using both temporally aggregated and temporally disaggregated data
    Journal of Econometrics, 1982, 19, (2-3), 333-343 Downloads View citations (3)
 
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