Bertrand Melenberg : Citation Profile


Are you Bertrand Melenberg?

Universiteit van Tilburg

14

H index

18

i10 index

808

Citations

RESEARCH PRODUCTION:

21

Articles

44

Papers

RESEARCH ACTIVITY:

   28 years (1987 - 2015). See details.
   Cites by year: 28
   Journals where Bertrand Melenberg has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 12 (1.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme250
   Updated: 2021-02-20    RAS profile: 2009-05-05    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Bertrand Melenberg.

Is cited by:

van soest, arthur (23)

Li, Youwei (14)

Dohmen, Thomas (12)

Bel, Germà (10)

Sunde, Uwe (10)

Wengström, Erik (9)

He, Xuezhong (9)

Huffman, David (9)

von Gaudecker, Hans-Martin (9)

Mazzanti, Massimiliano (9)

Falk, Armin (9)

Cites to:

Manski, Charles (11)

Newey, Whitney (10)

Heckman, James (7)

Kapteyn, Arie (7)

Tasche, Dirk (7)

De Waegenaere, Anja (6)

Acerbi, Carlo (6)

van soest, arthur (6)

Hansen, Lars (6)

Bollerslev, Tim (4)

Vella, Francis (4)

Main data


Where Bertrand Melenberg has published?


Journals with more than one article published# docs
Journal of Applied Econometrics5
Journal of Econometrics3
Economics Letters3
Insurance: Mathematics and Economics2
Empirical Economics2

Recent works citing Bertrand Melenberg (2021 and 2020)


YearTitle of citing document
2020Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans. (2020). Kjargaard, Soren ; Kallestrup-Lamb, Malene ; Alvarez, Jesus-Adrian. In: CREATES Research Papers. RePEc:aah:create:2020-17.

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2020Calibration of Distributionally Robust Empirical Optimization Models. (2017). , Andrew ; Kim, Michael Jong ; Gotoh, Jun-Ya. In: Papers. RePEc:arx:papers:1711.06565.

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2020Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time. (2020). Secomandi, Nicola. In: Papers. RePEc:arx:papers:2001.05788.

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2020Intertemporal Collective Household Models: Identification in Short Panels with Unobserved Heterogeneity in Resource Shares. (2020). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Papers. RePEc:arx:papers:2008.05507.

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2021Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19. (2021). James, Nick. In: Papers. RePEc:arx:papers:2101.00576.

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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2020Living Longer in High Longevity Risk. (2020). Jung, Hojin ; Kim, Jong-Min ; Wingenbach, Rachel. In: JODE - Journal of Demographic Economics. RePEc:ctl:louvde:v:86:y:2020:i:1:p:47-86.

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2020The shares method for revealing latent tourism demand. (2020). Cazorla-Artiles, Jose M ; Eugenio-Martin, Juan L. In: Annals of Tourism Research. RePEc:eee:anture:v:84:y:2020:i:c:s0160738320301134.

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2020A machine learning and distributionally robust optimization framework for strategic energy planning under uncertainty. (2020). Babonneau, Frederic ; Guevara, Esnil ; Moret, Stefano ; Homem-De, Tito. In: Applied Energy. RePEc:eee:appene:v:271:y:2020:i:c:s0306261920305171.

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2020Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions. (2020). Pretis, Felix. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:256-273.

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2020Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate. (2020). Miller, J. ; Park, Sungkeun ; Kim, Chang Sik ; Kaufmann, Robert K ; Chang, Yoosoon. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:274-294.

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2020Econometric estimates of Earth’s transient climate sensitivity. (2020). Phillips, Peter ; Storelvmo, Trude ; Leirvik, Thomas ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:6-32.

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2020A robust optimization approach for humanitarian needs assessment planning under travel time uncertainty. (2020). Balcik, Burcu ; Yanikolu, Hsan. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:40-57.

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2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2020Unhedgeable inflation risk within pension schemes. (2020). van Wijnbergen, Sweder ; van Wijnbergen, S. J. G., ; Beetsma, R. M. W. J., ; Chen, D. H. J., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:7-24.

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2020Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods. (2020). Borgonovo, Emanuele ; Rabitti, Giovanni. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:48-58.

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2020Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets. (2020). Regis, Luca ; Menoncin, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620301977.

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2021Unspanned stochastic volatility from an empirical and practical perspective. (2021). Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302557.

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2020Living up to expectations: Experimental tests of subjective life expectancy as reference point in time trade-off and standard gamble. (2020). Brouwer, Werner ; Attema, Arthur ; Lipman, Stefan A. In: Journal of Health Economics. RePEc:eee:jhecon:v:71:y:2020:i:c:s0167629619302279.

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2020Gender differences in risk behavior and the link to household effects and individual wealth. (2020). Loos, Tim ; Sariyev, Orkhan ; Khor, Ling Yee. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:80:y:2020:i:c:s0167487020300234.

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2021Benchmarking project portfolios using optimality thresholds. (2021). Wu, Desheng ; Korotkov, Vladimir. In: Omega. RePEc:eee:jomega:v:99:y:2021:i:c:s0305048318312258.

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2021Risk management for cyber-infrastructure protection: A bi-objective integer programming approach. (2021). Albert, Laura A ; Schmidt, Adam ; Zheng, Kaiyue. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:205:y:2021:i:c:s0951832020305949.

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2020A distributionally robust optimization for blood supply network considering disasters. (2020). Chen, Shutong ; Wang, Changjun. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:134:y:2020:i:c:s1366554519303886.

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2020Consistent estimation of panel data sample selection models. (2020). Labeaga, Jose ; Jimenez-Martin, Sergi ; al Sadoon, Majid. In: Working Papers. RePEc:fda:fdaddt:2020-06.

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2020Dynamic Panel Modeling of Climate Change. (2020). Phillips, Peter ; PEter, . In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:30-:d:391090.

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2020Optimal Contracting of Pension Incentive: Evidence of Currency Risk Management in Multinational Companies. (2020). Tang, Ivy ; Guan, Yun ; Chen, Jeffrey Jun. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:24-:d:315990.

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2020Climate Change Adaptation, Food Security, and Attitudes toward Risk among Smallholder Coffee Farmers in Nicaragua. (2020). Bro, Aniseh S. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:17:p:6946-:d:404459.

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2020Research Trends in the Economic Analysis of Municipal Solid Waste Management Systems: A Bibliometric Analysis from 1980 to 2019. (2020). Segui-Amortegui, Luis ; Medina-Mijangos, Rubi. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:20:p:8509-:d:428420.

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2020The Integration of Countries Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle. (2020). Inaba, Kei-Ichiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-01.

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2020Distributionally Robust Selection of the Best. (2020). Zhang, Xiao Wei ; Hong, Jeff L ; Fan, Weiwei. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:190-208.

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2020Robust Stochastic Optimization Made Easy with RSOME. (2020). Xiong, Peng ; Sim, Melvyn ; Chen, Zhi. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3329-3339.

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2020Intertemporal Collective Household Models: Identification in Short Panels with Unobserved Heterogeneity in Resource Shares. (2020). Muris, Chris ; Botosaru, Irene ; Pendakur, Krishna. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2020-09.

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2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds. (2020). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: NBER Working Papers. RePEc:nbr:nberwo:27500.

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2020Nexus of Demographic Change, Structural Transformation and Economic Growth in South Asia. (2020). Jayasooriya, Sujith. In: MPRA Paper. RePEc:pra:mprapa:100831.

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2020Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions. (2020). Pretis, Felix. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:256-273.

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2020Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate. (2020). Miller, J. ; Park, Sungkeun ; Kim, Chang Sik ; Kaufmann, Robert K ; Chang, Yoosoon. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:274-294.

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2020Econometric estimates of Earth’s transient climate sensitivity. (2020). Phillips, Peter ; Storelvmo, Trude ; Leirvik, Thomas ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:6-32.

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Works by Bertrand Melenberg:


YearTitleTypeCited
2003The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions In: Journal of Financial and Quantitative Analysis.
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article35
2000The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions.(2000) In: Discussion Paper.
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This paper has another version. Agregated cites: 35
paper
2000Testing Affine Term Structure Models in Case of Transaction Costs In: Econometric Society World Congress 2000 Contributed Papers.
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paper5
2005Testing affine term structure models in case of transaction costs.(2005) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
1999Testing Affine Term Structure Models in Case of Transaction Costs.(1999) In: Discussion Paper.
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This paper has another version. Agregated cites: 5
paper
1988Consumption, leisure and earnings-related liquidity constraints : A note In: Economics Letters.
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article9
1987Consumption, leisure and earnings-related liquidity constraints : A note.(1987) In: Research Memorandum.
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This paper has another version. Agregated cites: 9
paper
1997Life cycle consumption models with uncertainty within periods In: Economics Letters.
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article0
1998Bounding quantiles in sample selection models In: Economics Letters.
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article3
2001An analysis of housing expenditure using semiparametric models and panel data In: Journal of Econometrics.
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article37
1997An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data.(1997) In: Discussion Paper.
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This paper has another version. Agregated cites: 37
paper
2000Estimation of a censored regression panel data model using conditional moment restrictions efficiently In: Journal of Econometrics.
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article15
1995Estimation of a censored regression panel data model using conditional moment restrictions efficiently.(1995) In: Discussion Paper.
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This paper has another version. Agregated cites: 15
paper
1989The effects of liquidity constraints on consumption Estimation from household panel data In: European Economic Review.
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article16
2008Estimating the term structure of mortality In: Insurance: Mathematics and Economics.
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article13
2008Longevity risk in portfolios of pension annuities In: Insurance: Mathematics and Economics.
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article35
2004Backtesting for risk-based regulatory capital In: Journal of Banking & Finance.
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article51
2002Backtesting for Risk-Based Regulatory Capital.(2002) In: Discussion Paper.
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This paper has another version. Agregated cites: 51
paper
2003Common factors in international bond returns In: Journal of International Money and Finance.
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article55
2000Common Factors in International Bond Returns.(2000) In: Discussion Paper.
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This paper has another version. Agregated cites: 55
paper
1989MAXIMUM SCORE ESTIMATION IN THE ORDRED RESPONSE MODEL. In: Tilburg - Center for Economic Research.
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paper0
1989Maximum score estimation in the ordered response model.(1989) In: Discussion Paper.
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This paper has another version. Agregated cites: 0
paper
1991Parametric and Semi-parametric Modelling of Vocation Expenditures. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper63
1996Parametric and Semi-parametric Modelling of Vacation Expenditures..(1996) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 63
article
1991Parametric and semi-parametric modelling of vacation expenditures.(1991) In: Discussion Paper.
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This paper has another version. Agregated cites: 63
paper
1993Semi-Parametric Estimation on the Sample Selection Model. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper8
1993Semi-parametric estimation of the sample selection model.(1993) In: Discussion Paper.
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This paper has another version. Agregated cites: 8
paper
2002Semi-parametric models for satisfaction with income In: CeMMAP working papers.
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paper17
2002Semi-parametric Models for Satisfaction with Income.(2002) In: Discussion Paper.
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This paper has another version. Agregated cites: 17
paper
1995Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model. In: Journal of Applied Econometrics.
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article10
1998Introduction: application of semiparametric methods for micro-data In: Journal of Applied Econometrics.
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article2
1998Testing the predictive value of subjective labour supply data In: Journal of Applied Econometrics.
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article20
1997Testing the Predicitive Value of Subjective Labour Supply Data.(1997) In: Discussion Paper.
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This paper has another version. Agregated cites: 20
paper
1990The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey. In: Journal of Applied Econometrics.
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article4
1987The problem of not observing small expenditures in a consumer expenditure survey.(1987) In: Research Memorandum.
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This paper has another version. Agregated cites: 4
paper
2001Estimating Risk Attitudes Using Lotteries: A Large Sample Approach. In: Journal of Risk and Uncertainty.
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article209
1999Estimating Risk Attitudes Using Lotteries; A Large Sample Approach.(1999) In: Discussion Paper.
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This paper has another version. Agregated cites: 209
paper
2005Multi-period CAPM with Heterogeneous Agents In: Computing in Economics and Finance 2005.
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paper0
2006Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets In: Computing in Economics and Finance 2006.
[Citation analysis]
paper0
2000An analysis of housing expenditure using semiparametric cross-section models In: Empirical Economics.
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article7
1997An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models.(1997) In: Discussion Paper.
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This paper has another version. Agregated cites: 7
paper
2003Contracting out refuse collection In: Empirical Economics.
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article39
1999A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets In: Statistical Inference for Stochastic Processes.
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article0
2005Testing for Mean-Coherent Regular Risk Spanning In: Discussion Paper.
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paper0
2006The Econometric Analysis of Microscopic Simulation Models In: Discussion Paper.
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paper11
2011Grazing the Commons : Global Carbon Emissions Forever? In: Discussion Paper.
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paper2
1995Semiparametric estimation of equivalence scales using subjective information In: Discussion Paper.
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paper4
1996On the Pricing of Options in Incomplete Markets In: Discussion Paper.
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paper0
2011Robust Solutions of Optimization Problems Affected by Uncertain Probabilities In: Discussion Paper.
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paper67
2002Model Risk and Regulatory Capital In: Discussion Paper.
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paper5
1999Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse In: Discussion Paper.
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paper5
2003Testing Expected Shortfall Models for Derivative Positions In: Discussion Paper.
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paper0
2011Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk In: Discussion Paper.
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paper2
2011Global Warming and Local Dimming : The Statistical Evidence In: Discussion Paper.
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paper14
2006The Non- and Semiparametric Analysis of MS Models : Some Applications In: Discussion Paper.
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paper4
2014Tractable Counterparts of Distributionally Robust Constraints on Risk Measures In: Discussion Paper.
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paper0
2001Nonparametric Bounds in the Presence of Item Nonresponse, Unfolding Brackets and Anchoring In: Discussion Paper.
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paper6
1999Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design In: Discussion Paper.
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1999Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse In: Discussion Paper.
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paper2
2015Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information In: Discussion Paper.
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paper6
2005Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison In: Discussion Paper.
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paper0
2015Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031) In: Discussion Paper.
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paper0
2005Environmental Kuznets Curves for CO2 : Heterogeneity Versus Homogeneity In: Discussion Paper.
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paper26
1991Intratemporal uncertainty in the multi-good life cycle consumption model : Motivation and application In: Research Memorandum.
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paper0
1989A method to construct moments in the multi-good life cycle consumption model In: Research Memorandum.
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paper0

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