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Details about Bertrand Melenberg

E-mail:
Homepage:http://www.tilburguniversity.nl/webwijs/show/?uid=b.melenberg
Workplace:https://www.tilburguniversity.edu/research/economics-and-management/graduate-school, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

Access statistics for papers by Bertrand Melenberg.

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

Short-id: pme250


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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 Downloads
  2. Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

2014

  1. Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

2011

  1. Global Warming and Local Dimming: The Statistical Evidence
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (8)
  2. Grazing the Commons: Global Carbon Emissions Forever?
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
  3. 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 Downloads View citations (2)
  4. Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (11)

2006

  1. Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets
    Computing in Economics and Finance 2006, Society for Computational Economics
  2. The Econometric Analysis of Microscopic Simulation Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  3. The Non- and Semiparametric Analysis of MS Models: Some Applications
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

2005

  1. Environmental Kuznets Curves for CO2: Heterogeneity Versus Homogeneity
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (24)
  2. Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  3. Multi-period CAPM with Heterogeneous Agents
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
  4. Testing for Mean-Coherent Regular Risk Spanning
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)

2003

  1. Testing Expected Shortfall Models for Derivative Positions
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

2002

  1. Backtesting for Risk-Based Regulatory Capital
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2004)
  2. Model Risk and Regulatory Capital
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (6)
  3. Semi-parametric Models for Satisfaction with Income
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (14)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) Downloads View citations (17)

2001

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

2000

  1. Common Factors in International Bond Returns
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2003)
  2. 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)
  3. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (7)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2003)

1999

  1. Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
  2. Estimating Risk Attitudes Using Lotteries; A Large Sample Approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (8)
    See also Journal Article in Journal of Risk and Uncertainty (2001)
  3. Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
  4. Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)

1997

  1. An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Empirical Economics (2000)
  2. An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2001)
  3. Testing the Predicitive Value of Subjective Labour Supply Data
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1998)

1996

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

1995

  1. Estimation of a censored regression panel data model using conditional moment restrictions efficiently
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2000)
  2. Semiparametric estimation of equivalence scales using subjective information
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

1993

  1. Semi-Parametric Estimation on the Sample Selection Model
    Working Papers, Tilburg - Center for Economic Research View citations (4)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) Downloads View citations (5)

1991

  1. Intratemporal uncertainty in the multi-good life cycle consumption model: Motivation and application
    Research Memorandum, Tilburg University, School of Economics and Management Downloads
  2. 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) Downloads

    See also Journal Article in Journal of Applied Econometrics (1996)

1989

  1. A method to construct moments in the multi-good life cycle consumption model
    Research Memorandum, Tilburg University, School of Economics and Management Downloads
  2. 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) Downloads

1987

  1. Consumption, leisure and earnings-related liquidity constraints: A note
    Research Memorandum, Tilburg University, School of Economics and Management Downloads
    See also Journal Article in Economics Letters (1988)
  2. The problem of not observing small expenditures in a consumer expenditure survey
    Research Memorandum, Tilburg University, School of Economics and Management Downloads
    See also Journal Article in Journal of Applied Econometrics (1990)

Journal Articles

2008

  1. Estimating the term structure of mortality
    Insurance: Mathematics and Economics, 2008, 42, (2), 492-504 Downloads View citations (13)
  2. Longevity risk in portfolios of pension annuities
    Insurance: Mathematics and Economics, 2008, 42, (2), 505-519 Downloads View citations (30)

2005

  1. Testing affine term structure models in case of transaction costs
    Journal of Econometrics, 2005, 126, (1), 201-232 Downloads View citations (5)
    See also Working Paper (2000)

2004

  1. Backtesting for risk-based regulatory capital
    Journal of Banking & Finance, 2004, 28, (8), 1845-1865 Downloads View citations (48)
    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 (49)
    See also Working Paper (2000)
  2. Contracting out refuse collection
    Empirical Economics, 2003, 28, (3), 553-570 Downloads View citations (38)
  3. 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 Downloads View citations (28)
    See also Working Paper (2000)

2001

  1. An analysis of housing expenditure using semiparametric models and panel data
    Journal of Econometrics, 2001, 101, (1), 71-107 Downloads View citations (34)
    See also Working Paper (1997)
  2. Estimating Risk Attitudes Using Lotteries: A Large Sample Approach
    Journal of Risk and Uncertainty, 2001, 22, (2), 165-95 Downloads View citations (190)
    See also Working Paper (1999)

2000

  1. An analysis of housing expenditure using semiparametric cross-section models
    Empirical Economics, 2000, 25, (3), 437-462 Downloads View citations (7)
    See also Working Paper (1997)
  2. Estimation of a censored regression panel data model using conditional moment restrictions efficiently
    Journal of Econometrics, 2000, 95, (1), 25-56 Downloads View citations (11)
    See also Working Paper (1995)

1999

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

1998

  1. Bounding quantiles in sample selection models
    Economics Letters, 1998, 61, (1), 29-35 Downloads View citations (3)
  2. Introduction: application of semiparametric methods for micro-data
    Journal of Applied Econometrics, 1998, 13, (5), 431-433 Downloads View citations (1)
  3. Testing the predictive value of subjective labour supply data
    Journal of Applied Econometrics, 1998, 13, (5), 567-585 Downloads View citations (18)
    See also Working Paper (1997)

1997

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

1996

  1. Parametric and Semi-parametric Modelling of Vacation Expenditures
    Journal of Applied Econometrics, 1996, 11, (1), 59-76 Downloads View citations (47)
    See also Working Paper (1991)

1995

  1. Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model
    Journal of Applied Econometrics, 1995, 10, (1), 1-15 Downloads View citations (8)

1990

  1. The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey
    Journal of Applied Econometrics, 1990, 5, (2), 151-66 Downloads View citations (4)
    See also Working Paper (1987)

1989

  1. The effects of liquidity constraints on consumption Estimation from household panel data
    European Economic Review, 1989, 33, (2-3), 547-555 Downloads View citations (4)

1988

  1. Consumption, leisure and earnings-related liquidity constraints: A note
    Economics Letters, 1988, 27, (1), 101-104 Downloads View citations (8)
    See also Working Paper (1987)
 
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