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

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 View citations (10)
2. Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
   Discussion Paper, Tilburg University, Center for Economic Research View citations (7)
3. When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?
   Discussion Paper, Tilburg University, Center for Economic Research

2006

4. Optimal Portfolio Choice with Annuitization
   Discussion Paper, Tilburg University, Center for Economic Research View citations (12)

2005

5. Labor Income and the Demand for Long-term Bonds
   Discussion Paper, Tilburg University, Center for Economic Research View citations (3)

2003

6. Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
   Discussion Paper, Tilburg University, Center for Economic Research View citations (11)

2002

7. Do Countries or Industries Explain Momentum in Europe?
   Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
   See also Journal Article Do countries or industries explain momentum in Europe?, Journal of Empirical Finance, Elsevier (2004) View citations (30) (2004)
8. Evaluating Style Analysis
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2000) View citations (1)
   See also Journal Article Evaluating style analysis, Journal of Empirical Finance, Elsevier (2004) View citations (29) (2004)
9. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News
   Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
10. The Dynamics of the Impact of Past Performance on Mutual Fund Flows
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
11. 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 (4)

2001

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

2000

13. 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)
14. Derivatengebruik van Nederlandse Niet-Financiële Bedrijven
    Research Memorandum, Tilburg University, School of Economics and Management
15. 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)

1999

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

1998

17. 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)
18. Performance analysis of international mutual funds incorporating market frictions
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
19. Style Analysis and Performance Evaluation of Dutch Mutual Funds
    Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
20. 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 (27)
21. Testing for mean-variance spanning: A survey
    Discussion Paper, Tilburg University, Center for Economic Research
    See also Journal Article Testing for mean-variance spanning: a survey, Journal of Empirical Finance, Elsevier (2001) View citations (86) (2001)

1997

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

1996

23. Pricing Term Structure Risk in Futures Markets
    Discussion Paper, Tilburg University, Center for Economic Research
    See also Journal Article Pricing Term Structure Risk in Futures Markets, Journal of Financial and Quantitative Analysis, Cambridge University Press (1998) View citations (7) (1998)
24. Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach
    Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996) View citations (7)

1995

25. 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 High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance, Elsevier (1997) View citations (56) (1997)

1994

26. 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 Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (30) (1998)
27. Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (1)
    Also in Working Papers, Tilburg - Center for Economic Research (1993) View citations (6)
    Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (4)
    See also Journal Article Marginalization and contemporaneous aggregation in multivariate GARCH processes, Journal of Econometrics, Elsevier (1996) View citations (57) (1996)
28. 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 Price effects of trading and components of the bid-ask spread on the Paris Bourse, Journal of Empirical Finance, Elsevier (1996) View citations (42) (1996)

1993

29. 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 (7)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (7)
    See also Journal Article A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International, European Economic Review, Elsevier (1995) View citations (39) (1995)

1992

30. Incomplete Panels and Selection Bias: A Survey
    Working Papers, Tilburg - Center for Economic Research View citations (39)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1992) View citations (14)
31. 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 Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections, Journal of Econometrics, Elsevier (1993) View citations (76) (1993)
32. 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)
33. 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 (1992) View citations (6)
    Working Papers, Tilburg - Center for Economic Research (1990) View citations (95)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (48)
    See also Journal Article Temporal Aggregation of GARCH Processes, Econometrica, Econometric Society (1993) View citations (325) (1993)

1991

34. 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)
35. 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

36. 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) View citations (1)
    See also Journal Article Can Cohort Data Be Treated as Genuine Panel Data?, Empirical Economics, Springer (1992) View citations (199) (1992)
37. EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES
    Working Papers, Tilburg - Center for Economic Research View citations (2)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (2)
38. 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 Testing for Selectivity Bias in Panel Data Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1992) View citations (373) (1992)

1989

39. A natural approach to optimal forecasting in case of preliminary observations
    Research Memorandum, Tilburg University, School of Economics and Management
40. 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 Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1991) View citations (10) (1991)
41. 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 (5)
42. 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 (5)

1988

43. 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 Estimation of time-dependent parameters in linear models using cross-sections, panels, or both, Journal of Econometrics, Elsevier (1990) View citations (21) (1990)
44. Exclusion restrictions in instrumental variables equations
    Research Memorandum, Tilburg University, School of Economics and Management
45. The optimal design of rotating panels in a simple analysis of variance model
    Research Memorandum, Tilburg University, School of Economics and Management

1987

46. Consistent estimation of regression models with incompletely observed exogenous variables
    Research Memorandum, Tilburg University, School of Economics and Management
47. Predictive accuracy gain from disaggregate sampling in ARIMA-models
    Research Memorandum, Tilburg University, School of Economics and Management
    See also Journal Article Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (23) (1990)

1986

48. Consistent estimation of rational expectation models
    Research Memorandum, Tilburg University, School of Economics and Management
49. Efficiency gains due to using missing data procedures in regression models
    Research Memorandum, Tilburg University, School of Economics and Management

Journal Articles

2011

1. Optimal Annuity Risk Management
   Review of Finance, 2011, 15, (4), 799-833 View citations (23)

2010

2. Longevity risk and capital markets: The 2008-2009 update
   Insurance: Mathematics and Economics, 2010, 46, (1), 135-138 View citations (2)
3. When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
   The Review of Financial Studies, 2010, 23, (2), 741-780 View citations (50)

2008

4. Estimating the term structure of mortality
   Insurance: Mathematics and Economics, 2008, 42, (2), 492-504 View citations (16)
5. Longevity risk in portfolios of pension annuities
   Insurance: Mathematics and Economics, 2008, 42, (2), 505-519 View citations (50)
6. Performance information dissemination in the mutual fund industry
   Journal of Financial Markets, 2008, 11, (2), 144-159 View citations (11)

2005

7. 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)
8. Yet another look at mutual fund tournaments
   Journal of Empirical Finance, 2005, 12, (1), 127-137 View citations (30)

2004

9. Do countries or industries explain momentum in Europe?
   Journal of Empirical Finance, 2004, 11, (4), 461-481 View citations (30)
   See also Working Paper Do Countries or Industries Explain Momentum in Europe?, Discussion Paper (2002) View citations (1) (2002)
10. Evaluating style analysis
    Journal of Empirical Finance, 2004, 11, (1), 29-53 View citations (29)
    See also Working Paper Evaluating Style Analysis, CEPR Discussion Papers (2002) (2002)

2003

11. 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)
12. Currency hedging for international stock portfolios: The usefulness of mean-variance analysis
    Journal of Banking & Finance, 2003, 27, (2), 327-349 View citations (33)

2001

13. Eliminating look-ahead bias in evaluating persistence in mutual fund performance
    Journal of Empirical Finance, 2001, 8, (4), 345-373 View citations (20)
14. Testing for mean-variance spanning: a survey
    Journal of Empirical Finance, 2001, 8, (2), 111-155 View citations (86)
    See also Working Paper Testing for mean-variance spanning: A survey, Discussion Paper (1998) (1998)

2000

15. Hedging Pressure Effects in Futures Markets
    Journal of Finance, 2000, 55, (3), 1437-1456 View citations (238)

1998

16. Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations (30)
    See also Working Paper Estimation and testing in models containing both jumps and conditional heteroskedasticity, Discussion Paper (1994) View citations (4) (1994)
17. Pricing Term Structure Risk in Futures Markets
    Journal of Financial and Quantitative Analysis, 1998, 33, (1), 139-157 View citations (7)
    See also Working Paper Pricing Term Structure Risk in Futures Markets, Discussion Paper (1996) (1996)

1997

18. High frequency analysis of lead-lag relationships between financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 259-277 View citations (56)
    See also Working Paper High frequency analysis of lead-lag relationships between financial markets, Discussion Paper (1995) View citations (1) (1995)

1996

19. Marginalization and contemporaneous aggregation in multivariate GARCH processes
    Journal of Econometrics, 1996, 71, (1-2), 71-87 View citations (57)
    See also Working Paper Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses, Working Papers (1994) View citations (1) (1994)
20. 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 (42)
    See also Working Paper Price effects of trading and components of the bid-ask spread on the Paris Bource, Discussion Paper (1994) (1994)

1995

21. 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 (39)
    See also Working Paper A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International, Working Papers (1993) View citations (7) (1993)

1993

22. 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 (76)
    See also Working Paper Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections, Working Papers (1992) View citations (1) (1992)
23. Premia in Forward Foreign Exchange as Unobserved Components: A Note
    Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations (19)
24. Temporal Aggregation of GARCH Processes
    Econometrica, 1993, 61, (4), 909-27 View citations (325)
    See also Working Paper Temporal Aggregation of Garch Processes, Working Papers (1992) View citations (13) (1992)

1992

25. Can Cohort Data Be Treated as Genuine Panel Data?
    Empirical Economics, 1992, 17, (1), 9-23 View citations (199)
    See also Working Paper CAN COHORT DATA BE TREATED AS GENUINE PANEL DATA, Working Papers (1990) View citations (3) (1990)
26. 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 (127)
27. Testing for Selectivity Bias in Panel Data Models
    International Economic Review, 1992, 33, (3), 681-703 View citations (373)
    See also Working Paper TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS, Working Papers (1990) (1990)
28. The optimal choice of controls and pre-experimental observations
    Journal of Econometrics, 1992, 51, (1-2), 183-189 View citations (4)

1991

29. Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
    International Economic Review, 1991, 32, (2), 383-89 View citations (10)
    See also Working Paper GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS, Working Papers (1989) (1989)
30. The efficiency of rotating-panel designs in an analysis-of-variance model
    Journal of Econometrics, 1991, 49, (3), 373-399 View citations (12)

1990

31. Estimation of time-dependent parameters in linear models using cross-sections, panels, or both
    Journal of Econometrics, 1990, 46, (3), 333-346 View citations (21)
    See also Working Paper Estimation of time dependent parameters in linear models using cross sections, panels or both, Research Memorandum (1988) (1988)
32. Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models
    Journal of Business & Economic Statistics, 1990, 8, (4), 405-15 View citations (23)
    See also Working Paper Predictive accuracy gain from disaggregate sampling in ARIMA-models, Research Memorandum (1987) (1987)

1986

33. 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 (12)

1984

34. Missing Observations in the Dynamic Regression Model
    Econometrica, 1984, 52, (6), 1415-35 View citations (34)

1982

35. Linear regression using both temporally aggregated and temporally disaggregated data
    Journal of Econometrics, 1982, 19, (2-3), 333-343 View citations (8)