14
H index
18
i10 index
808
Citations
Universiteit van Tilburg | 14 H index 18 i10 index 808 Citations RESEARCH PRODUCTION: 21 Articles 44 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Applied Econometrics | 5 |
Journal of Econometrics | 3 |
Economics Letters | 3 |
Insurance: Mathematics and Economics | 2 |
Empirical Economics | 2 |
Year | Title of citing document |
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2020 | Linking 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. Full description at Econpapers || Download paper |
2020 | Calibration of Distributionally Robust Empirical Optimization Models. (2017). , Andrew ; Kim, Michael Jong ; Gotoh, Jun-Ya. In: Papers. RePEc:arx:papers:1711.06565. Full description at Econpapers || Download paper |
2020 | Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time. (2020). Secomandi, Nicola. In: Papers. RePEc:arx:papers:2001.05788. Full description at Econpapers || Download paper |
2020 | Intertemporal 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. Full description at Econpapers || Download paper |
2021 | Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19. (2021). James, Nick. In: Papers. RePEc:arx:papers:2101.00576. Full description at Econpapers || Download paper |
2021 | Sovereign 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. Full description at Econpapers || Download paper |
2020 | Living 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Econometric 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. Full description at Econpapers || Download paper |
2020 | Evaluating 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. Full description at Econpapers || Download paper |
2020 | Econometric 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Pricing 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. Full description at Econpapers || Download paper |
2020 | Unhedgeable 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. Full description at Econpapers || Download paper |
2020 | Is 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. Full description at Econpapers || Download paper |
2020 | Optimal 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. Full description at Econpapers || Download paper |
2021 | Unspanned 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. Full description at Econpapers || Download paper |
2020 | Living 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. Full description at Econpapers || Download paper |
2020 | Gender 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. Full description at Econpapers || Download paper |
2021 | Benchmarking project portfolios using optimality thresholds. (2021). Wu, Desheng ; Korotkov, Vladimir. In: Omega. RePEc:eee:jomega:v:99:y:2021:i:c:s0305048318312258. Full description at Econpapers || Download paper |
2021 | Risk 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Consistent estimation of panel data sample selection models. (2020). Labeaga, Jose ; Jimenez-Martin, Sergi ; al Sadoon, Majid. In: Working Papers. RePEc:fda:fdaddt:2020-06. Full description at Econpapers || Download paper |
2020 | Dynamic Panel Modeling of Climate Change. (2020). Phillips, Peter ; PEter, . In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:30-:d:391090. Full description at Econpapers || Download paper |
2020 | Optimal 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. Full description at Econpapers || Download paper |
2020 | Climate 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. Full description at Econpapers || Download paper |
2020 | Research 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. Full description at Econpapers || Download paper |
2020 | Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Distributionally 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. Full description at Econpapers || Download paper |
2020 | Robust 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. Full description at Econpapers || Download paper |
2020 | Intertemporal 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. Full description at Econpapers || Download paper |
2020 | Sovereign 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. Full description at Econpapers || Download paper |
2020 | Nexus of Demographic Change, Structural Transformation and Economic Growth in South Asia. (2020). Jayasooriya, Sujith. In: MPRA Paper. RePEc:pra:mprapa:100831. Full description at Econpapers || Download paper |
2020 | Econometric 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. Full description at Econpapers || Download paper |
2020 | Evaluating 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. Full description at Econpapers || Download paper |
2020 | Econometric 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2003 | The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 35 |
2000 | The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions.(2000) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2000 | Testing Affine Term Structure Models in Case of Transaction Costs In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 5 |
2005 | Testing affine term structure models in case of transaction costs.(2005) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
1999 | Testing Affine Term Structure Models in Case of Transaction Costs.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1988 | Consumption, leisure and earnings-related liquidity constraints : A note In: Economics Letters. [Full Text][Citation analysis] | article | 9 |
1987 | Consumption, leisure and earnings-related liquidity constraints : A note.(1987) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
1997 | Life cycle consumption models with uncertainty within periods In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
1998 | Bounding quantiles in sample selection models In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
2001 | An analysis of housing expenditure using semiparametric models and panel data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
1997 | An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data.(1997) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2000 | Estimation of a censored regression panel data model using conditional moment restrictions efficiently In: Journal of Econometrics. [Full Text][Citation analysis] | article | 15 |
1995 | Estimation of a censored regression panel data model using conditional moment restrictions efficiently.(1995) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
1989 | The effects of liquidity constraints on consumption Estimation from household panel data In: European Economic Review. [Full Text][Citation analysis] | article | 16 |
2008 | Estimating the term structure of mortality In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
2008 | Longevity risk in portfolios of pension annuities In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 35 |
2004 | Backtesting for risk-based regulatory capital In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 51 |
2002 | Backtesting for Risk-Based Regulatory Capital.(2002) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2003 | Common factors in international bond returns In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 55 |
2000 | Common Factors in International Bond Returns.(2000) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | |
1989 | MAXIMUM SCORE ESTIMATION IN THE ORDRED RESPONSE MODEL. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 0 |
1989 | Maximum score estimation in the ordered response model.(1989) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1991 | Parametric and Semi-parametric Modelling of Vocation Expenditures. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 63 |
1996 | Parametric and Semi-parametric Modelling of Vacation Expenditures..(1996) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | article | |
1991 | Parametric and semi-parametric modelling of vacation expenditures.(1991) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
1993 | Semi-Parametric Estimation on the Sample Selection Model. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 8 |
1993 | Semi-parametric estimation of the sample selection model.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2002 | Semi-parametric models for satisfaction with income In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 17 |
2002 | Semi-parametric Models for Satisfaction with Income.(2002) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
1995 | Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 10 |
1998 | Introduction: application of semiparametric methods for micro-data In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 2 |
1998 | Testing the predictive value of subjective labour supply data In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 20 |
1997 | Testing the Predicitive Value of Subjective Labour Supply Data.(1997) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
1990 | The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
1987 | The problem of not observing small expenditures in a consumer expenditure survey.(1987) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2001 | Estimating Risk Attitudes Using Lotteries: A Large Sample Approach. In: Journal of Risk and Uncertainty. [Full Text][Citation analysis] | article | 209 |
1999 | Estimating Risk Attitudes Using Lotteries; A Large Sample Approach.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 209 | paper | |
2005 | Multi-period CAPM with Heterogeneous Agents In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 0 |
2006 | Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
2000 | An analysis of housing expenditure using semiparametric cross-section models In: Empirical Economics. [Full Text][Citation analysis] | article | 7 |
1997 | An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models.(1997) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2003 | Contracting out refuse collection In: Empirical Economics. [Full Text][Citation analysis] | article | 39 |
1999 | A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 0 |
2005 | Testing for Mean-Coherent Regular Risk Spanning In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2006 | The Econometric Analysis of Microscopic Simulation Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 11 |
2011 | Grazing the Commons : Global Carbon Emissions Forever? In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
1995 | Semiparametric estimation of equivalence scales using subjective information In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
1996 | On the Pricing of Options in Incomplete Markets In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2011 | Robust Solutions of Optimization Problems Affected by Uncertain Probabilities In: Discussion Paper. [Full Text][Citation analysis] | paper | 67 |
2002 | Model Risk and Regulatory Capital In: Discussion Paper. [Full Text][Citation analysis] | paper | 5 |
1999 | Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse In: Discussion Paper. [Full Text][Citation analysis] | paper | 5 |
2003 | Testing Expected Shortfall Models for Derivative Positions In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2011 | Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
2011 | Global Warming and Local Dimming : The Statistical Evidence In: Discussion Paper. [Full Text][Citation analysis] | paper | 14 |
2006 | The Non- and Semiparametric Analysis of MS Models : Some Applications In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
2014 | Tractable Counterparts of Distributionally Robust Constraints on Risk Measures In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2001 | Nonparametric Bounds in the Presence of Item Nonresponse, Unfolding Brackets and Anchoring In: Discussion Paper. [Full Text][Citation analysis] | paper | 6 |
1999 | Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
1999 | Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
2015 | Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information In: Discussion Paper. [Full Text][Citation analysis] | paper | 6 |
2005 | Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2015 | Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031) In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2005 | Environmental Kuznets Curves for CO2 : Heterogeneity Versus Homogeneity In: Discussion Paper. [Full Text][Citation analysis] | paper | 26 |
1991 | Intratemporal uncertainty in the multi-good life cycle consumption model : Motivation and application In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
1989 | A method to construct moments in the multi-good life cycle consumption model In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
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