Details about Theo Nijman
Access statistics for papers by Theo Nijman.
Last updated 2013-08-05. Update your information in the RePEc Author Service.
Short-id: pni115
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Working Papers
2010
- Health Cost Risk and Optimal Retirement Provision: A Simple Rule for Annuity Demand
Discussion Paper, Tilburg University, Center for Economic Research View citations (8)
- Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
- When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?
Discussion Paper, Tilburg University, Center for Economic Research
2006
- Optimal Portfolio Choice with Annuitization
Discussion Paper, Tilburg University, Center for Economic Research View citations (12)
2005
- Labor Income and the Demand for Long-term Bonds
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
2004
- An Anatomy of Futures Returns: Risk Premiums and Trading Strategies
WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations (1)
2003
- Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
Discussion Paper, Tilburg University, Center for Economic Research View citations (10)
2002
- Do Countries or Industries Explain Momentum in Europe?
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
See also Journal Article in Journal of Empirical Finance (2004)
- Evaluating Style Analysis
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2000) 
See also Journal Article in Journal of Empirical Finance (2004)
- Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
- The Dynamics of the Impact of Past Performance on Mutual Fund Flows
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
- The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
2001
- On the Empirical Evidence of Mutual Fund Strategic Risk Taking
Discussion Paper, Tilburg University, Center for Economic Research
2000
- Common Factors in International Bond Returns
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
See also Journal Article in Journal of International Money and Finance (2003)
- Derivatengebruik van Nederlandse Niet-Financiële Bedrijven
Research Memorandum, Tilburg University, School of Economics and Management
- 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 in Journal of Econometrics (2005)
1999
- Currency Hedging for International Stock Portfolios: A General Approach
Discussion Paper, Tilburg University, Center for Economic Research
1998
- Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample
Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven 
Also in Discussion Paper, Tilburg University, Center for Economic Research (1998)
- Performance analysis of international mutual funds incorporating market frictions
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
- Style Analysis and Performance Evaluation of Dutch Mutual Funds
Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
- 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 View citations (26)
- Testing for mean-variance spanning: A survey
Discussion Paper, Tilburg University, Center for Economic Research 
See also Journal Article in Journal of Empirical Finance (2001)
1997
- Analyzing specification errors in models for futures risk premia with hedging pressure
Discussion Paper, Tilburg University, Center for Economic Research
1996
- Pricing Term Structure Risk in Futures Markets
Discussion Paper, Tilburg University, Center for Economic Research 
See also Journal Article in Journal of Financial and Quantitative Analysis (1998)
- Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996) View citations (5)
1995
- High frequency analysis of lead-lag relationships between financial markets
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
See also Journal Article in Journal of Empirical Finance (1997)
1994
- Estimation and testing in models containing both jumps and conditional heteroskedasticity
Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
See also Journal Article in Journal of Business & Economic Statistics (1998)
- 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) View citations (1) Working Papers, Tilburg - Center for Economic Research (1993) View citations (3)
See also Journal Article in Journal of Econometrics (1996)
- Price effects of trading and components of the bid-ask spread on the Paris Bource
Discussion Paper, Tilburg University, Center for Economic Research 
See also Journal Article in Journal of Empirical Finance (1996)
1993
- 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 (6)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (7)
See also Journal Article in European Economic Review (1995)
1992
- Incomplete Panels and Selection Bias: A Survey
Working Papers, Tilburg - Center for Economic Research View citations (32)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1992) View citations (7)
- Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections
Working Papers, Tilburg - Center for Economic Research View citations (1)
See also Journal Article in Journal of Econometrics (1993)
- 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 View citations (1)
- 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) View citations (30) Working Papers, Tilburg - Center for Economic Research (1990) View citations (91) Discussion Paper, Tilburg University, Center for Economic Research (1992) View citations (6)
See also Journal Article in Econometrica (1993)
1991
- 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) View citations (3)
- 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)
1990
- 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) 
See also Journal Article in Empirical Economics (1992)
- 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)
- 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) 
See also Journal Article in International Economic Review (1992)
1989
- A natural approach to optimal forecasting in case of preliminary observations
Research Memorandum, Tilburg University, School of Economics and Management
- 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) 
See also Journal Article in International Economic Review (1991)
- 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 (2)
- 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 View citations (4)
1988
- Estimation of time dependent parameters in linear models using cross sections, panels or both
Research Memorandum, Tilburg University, School of Economics and Management 
See also Journal Article in Journal of Econometrics (1990)
- Exclusion restrictions in instrumental variables equations
Research Memorandum, Tilburg University, School of Economics and Management
- The optimal design of rotating panels in a simple analysis of variance model
Research Memorandum, Tilburg University, School of Economics and Management
1987
- Consistent estimation of regression models with incompletely observed exogenous variables
Research Memorandum, Tilburg University, School of Economics and Management
- Predictive accuracy gain from disaggregate sampling in ARIMA-models
Research Memorandum, Tilburg University, School of Economics and Management 
See also Journal Article in Journal of Business & Economic Statistics (1990)
1986
- Consistent estimation of rational expectation models
Research Memorandum, Tilburg University, School of Economics and Management
- Efficiency gains due to using missing data procedures in regression models
Research Memorandum, Tilburg University, School of Economics and Management
Journal Articles
2011
- Optimal Annuity Risk Management
Review of Finance, 2011, 15, (4), 799-833 View citations (11)
2010
- Longevity risk and capital markets: The 2008-2009 update
Insurance: Mathematics and Economics, 2010, 46, (1), 135-138 View citations (2)
- When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
Review of Financial Studies, 2010, 23, (2), 741-780 View citations (32)
2008
- Estimating the term structure of mortality
Insurance: Mathematics and Economics, 2008, 42, (2), 492-504 View citations (13)
- Longevity risk in portfolios of pension annuities
Insurance: Mathematics and Economics, 2008, 42, (2), 505-519 View citations (35)
- Performance information dissemination in the mutual fund industry
Journal of Financial Markets, 2008, 11, (2), 144-159 View citations (8)
2005
- 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 (2000)
- Yet another look at mutual fund tournaments
Journal of Empirical Finance, 2005, 12, (1), 127-137 View citations (25)
2004
- Do countries or industries explain momentum in Europe?
Journal of Empirical Finance, 2004, 11, (4), 461-481 View citations (18)
See also Working Paper (2002)
- Evaluating style analysis
Journal of Empirical Finance, 2004, 11, (1), 29-53 View citations (24)
See also Working Paper (2002)
2003
- Common factors in international bond returns
Journal of International Money and Finance, 2003, 22, (5), 629-656 View citations (51)
See also Working Paper (2000)
- Currency hedging for international stock portfolios: The usefulness of mean-variance analysis
Journal of Banking & Finance, 2003, 27, (2), 327-349 View citations (27)
2001
- Eliminating look-ahead bias in evaluating persistence in mutual fund performance
Journal of Empirical Finance, 2001, 8, (4), 345-373 View citations (17)
- Testing for mean-variance spanning: a survey
Journal of Empirical Finance, 2001, 8, (2), 111-155 View citations (66)
See also Working Paper (1998)
2000
- Hedging Pressure Effects in Futures Markets
Journal of Finance, 2000, 55, (3), 1437-1456 View citations (178)
1998
- Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations (25)
See also Working Paper (1994)
- Pricing Term Structure Risk in Futures Markets
Journal of Financial and Quantitative Analysis, 1998, 33, (1), 139-157 View citations (8)
See also Working Paper (1996)
1997
- High frequency analysis of lead-lag relationships between financial markets
Journal of Empirical Finance, 1997, 4, (2-3), 259-277 View citations (38)
See also Working Paper (1995)
1996
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
Journal of Econometrics, 1996, 71, (1-2), 71-87 View citations (48)
See also Working Paper (1994)
- Price effects of trading and components of the bid-ask spread on the Paris Bourse
Journal of Empirical Finance, 1996, 3, (2), 193-213 View citations (26)
See also Working Paper (1994)
1995
- 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 View citations (31)
See also Working Paper (1993)
1993
- 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 View citations (55)
See also Working Paper (1992)
- Premia in Forward Foreign Exchange as Unobserved Components: A Note
Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations (17)
- Temporal Aggregation of GARCH Processes
Econometrica, 1993, 61, (4), 909-27 View citations (281)
See also Working Paper (1992)
1992
- Can Cohort Data Be Treated as Genuine Panel Data?
Empirical Economics, 1992, 17, (1), 9-23 View citations (144)
See also Working Paper (1990)
- Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function
Journal of Applied Econometrics, 1992, 7, (3), 243-57 View citations (107)
- Testing for Selectivity Bias in Panel Data Models
International Economic Review, 1992, 33, (3), 681-703 View citations (296)
See also Working Paper (1990)
- The optimal choice of controls and pre-experimental observations
Journal of Econometrics, 1992, 51, (1-2), 183-189 View citations (2)
1991
- Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
International Economic Review, 1991, 32, (2), 383-89 View citations (8)
See also Working Paper (1989)
- The efficiency of rotating-panel designs in an analysis-of-variance model
Journal of Econometrics, 1991, 49, (3), 373-399 View citations (12)
1990
- Estimation of time-dependent parameters in linear models using cross-sections, panels, or both
Journal of Econometrics, 1990, 46, (3), 333-346 View citations (16)
See also Working Paper (1988)
- Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models
Journal of Business & Economic Statistics, 1990, 8, (4), 405-15 View citations (20)
See also Working Paper (1987)
1986
- 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 (8)
1984
- Missing Observations in the Dynamic Regression Model
Econometrica, 1984, 52, (6), 1415-35 View citations (24)
1982
- Linear regression using both temporally aggregated and temporally disaggregated data
Journal of Econometrics, 1982, 19, (2-3), 333-343 View citations (4)
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