Theo Nijman : Citation Profile


Are you Theo Nijman?

Universiteit van Tilburg (34% share)
Universiteit van Tilburg (33% share)
Universiteit van Tilburg (33% share)

20

H index

29

i10 index

1591

Citations

RESEARCH PRODUCTION:

35

Articles

66

Papers

RESEARCH ACTIVITY:

   29 years (1982 - 2011). See details.
   Cites by year: 54
   Journals where Theo Nijman has often published
   Relations with other researchers
   Recent citing documents: 105.    Total self citations: 15 (0.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni115
   Updated: 2018-09-15    RAS profile: 2013-08-05    
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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 Theo Nijman.

Is cited by:

Bollerslev, Tim (32)

Andersen, Torben (20)

Renault, Eric (20)

Meddahi, Nour (19)

Ghysels, Eric (17)

Galvani, Valentina (16)

Hafner, Christian (16)

Diebold, Francis (16)

Silvestrini, Andrea (14)

McAleer, Michael (13)

Veredas, David (11)

Cites to:

Hansen, Lars (13)

Jagannathan, Ravi (11)

Mitchell, Olivia (11)

French, Kenneth (11)

Fama, Eugene (10)

Campbell, John (9)

Madhavan, Ananth (8)

Brown, Jeffrey (7)

Werker, Bas (7)

Bessembinder, Hendrik (6)

Goetzmann, William (6)

Main data


Where Theo Nijman has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Empirical Finance7
Journal of Business & Economic Statistics4
Insurance: Mathematics and Economics3
International Economic Review2
Econometrica2

Recent works citing Theo Nijman (2018 and 2017)


YearTitle of citing document
2017Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn.

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2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1708.03992.

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2017No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854.

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2018An improved Least Squares Monte Carlo method for portfolio optimization with high dimensional control. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1803.11467.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2017Does a Mandatory Reduction of Standard Working Hours Improve Employees Health Status?. (2017). Sanchez, Rafael. In: Industrial Relations: A Journal of Economy and Society. RePEc:bla:indres:v:56:y:2017:i:1:p:3-39.

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2017Retail payment innovations and cash usage: accounting for attrition by using refreshment samples. (2017). Huynh, Kim ; Felt, Marie-Helene ; Chen, Heng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:503-530.

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2017The National Minimum Wage and the Substitutability Between Young and Old Workers in Low Paid Occupations. (2017). Lanot, Gauthier ; Sousounis, Panos . In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:5:p:601-633.

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2017An Investigation of Labor Income Profiles in Turkey. (2017). Torul, Orhan ; Kuzubas, Tolga ; Aktug, Emrehan . In: Working Papers. RePEc:bou:wpaper:2017/04.

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2017Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013. (2017). Carmona, Diana Milena ; Leyton, Marcos Vera . In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016370.

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2018Aggregation biases in empirical Euler consumption equations: evidence from Spanish data. (2018). Labeaga, Jose ; Sanchis-Llopis, Juan ; Cutanda, Oscar Antonio. In: Working Papers. RePEc:eec:wpaper:1801.

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2017The bank lending channel of monetary policy in EU countries during the global financial crisis. (2017). Tzeremes, Panayiotis ; Heryan, Tomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:10-22.

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2018Territorial and individual educational inequality: A Capability Approach analysis for Italy.. (2018). Guarini, Giulio ; Garofalo, Giuseppe ; Laureti, Tiziana. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:247-262.

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2017Mispricing and trader positions in the S&P 500 index futures market. (2017). Lai, Ya-Wen ; Tang, Mei-Ling ; Lin, Chiou-Fa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:250-265.

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2017A suggestion for constructing a large time-varying conditional covariance matrix. (2017). Tavlas, George ; Hall, Stephen ; Gibson, Heather. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:110-113.

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2018Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon . In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Skiadopoulos, George ; Topaloglou, Nikolas ; Daskalaki, Charoula . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

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2017Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds. (2017). Rakowski, David ; Stark, Jeffrey R ; Shirley, Sara E. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:91-107.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2017Switch off the light, please! Energy use, aging population and consumption habits. (2017). Bardazzi, Rossella ; Pazienza, Maria Grazia . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:161-171.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. (2017). Shi, Yukun ; Park, Jin Suk. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:176-191.

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2018An empirical examination of the diversification benefits of U.K. international equity closed-end funds. (2018). Fletcher, Jonathan. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:23-34.

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2017The impact of economic conditions on the disablement process: A Markov transition approach using SHARE data. (2017). Sirven, Nicolas ; Arrighi, Yves ; Rapp, T. In: Health Policy. RePEc:eee:hepoli:v:121:y:2017:i:7:p:778-785.

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2017Redistribution of longevity risk: The effect of heterogeneous mortality beliefs. (2017). De Waegenaere, Anja ; Boonen, Tim J ; Norde, Henk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:175-188.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2017Do water saving technologies save water? Empirical evidence from North China. (2017). Huang, Qiuqiong ; Li, Yumin ; Wang, Jinxia. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:82:y:2017:i:c:p:1-16.

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2017Particulate matter and labor supply: The role of caregiving and non-linearities. (2017). Oliva, Paulina ; Miranda, Juan Jose ; Aragon, Fernando M. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:86:y:2017:i:c:p:295-309.

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2018The economics of patient-centered care. (2018). David, Guy ; Smith-McLallen, Aaron ; Saynisch, Philip A. In: Journal of Health Economics. RePEc:eee:jhecon:v:59:y:2018:i:c:p:60-77.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Wellmann, Dennis ; Truck, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy. (2018). Nitschka, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:44-54.

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2017Dynamics of adolescents’ life satisfaction and effect of class rank percentile: Evidence from Korean panel data. (2017). Jeong, Jinook ; Kim, Bokyung. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:59:y:2017:i:c:p:8-28.

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2017Mental health and productivity at work: Does what you do matter?. (2017). Wooden, Mark ; Cobb-Clark, Deborah ; Bubonya, Melisa . In: Labour Economics. RePEc:eee:labeco:v:46:y:2017:i:c:p:150-165.

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2018The dynamics of political party support and egocentric economic evaluations: The Scottish case. (2018). Chrysanthou, Georgios ; Guillo, Maria Dolores. In: European Journal of Political Economy. RePEc:eee:poleco:v:52:y:2018:i:c:p:192-213.

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2017The liquidity advantage of the quote-driven market: Evidence from the betting industry. (2017). Franck, Egon ; Flepp, Raphael ; Nuesch, Stephan . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:306-317.

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2017Is road infrastructure investment in China excessive? Evidence from productivity of firms. (2017). Li, Zhigang ; Chen, Bin R ; Wu, Mingqin . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:65:y:2017:i:c:p:116-126.

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2017Bribes, bureaucracies, and blackouts: Towards understanding how corruption at the firm level impacts electricity reliability. (2017). Pless, Jacquelyn ; Fell, Harrison. In: Resource and Energy Economics. RePEc:eee:resene:v:47:y:2017:i:c:p:36-55.

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2018Do foreign institutional traders have private information for the market index? The aspect of market microstructure. (2018). Weng, Pei-Shih ; Tsai, Wei-Che. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:308-323.

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2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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2017Positive welfare state dynamics? Sickness benefits and sickness absence in Europe 1997–2011. (2017). Sjoberg, Ola . In: Social Science & Medicine. RePEc:eee:socmed:v:177:y:2017:i:c:p:158-168.

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2017Productivity growth in urban freight transport: An index number approach. (2017). Rodseth, Kenneth Lovold. In: Transport Policy. RePEc:eee:trapol:v:56:y:2017:i:c:p:86-95.

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2017Intergenerational Education Effects of Early Marriage in Sub-Saharan Africa. (2017). Dunne, Mairead ; Akyeampong, Kwame ; Delprato, Marcos . In: World Development. RePEc:eee:wdevel:v:91:y:2017:i:c:p:173-192.

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2017What Determines Access to Piped Water in Rural Areas? Evidence from Small-Scale Supply Systems in Rural Brazil. (2017). Barde, Julia Alexa . In: World Development. RePEc:eee:wdevel:v:95:y:2017:i:c:p:88-110.

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2017The Occurrence and Impact of Pension Fund Discontinuity. (2017). , ; van der Lecq, S G ; Steenbeek, O W. In: ERIM Report Series Research in Management. RePEc:ems:eureri:99472.

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2018Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?. (2018). Manera, Matteo ; Sbuelz, Alessandro ; Valenti, Daniele. In: Working Papers. RePEc:fem:femwpa:2018.03.

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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2017Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-95.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2017On Long-Term Transmission Rights in the Nordic Electricity Markets. (2017). Spodniak, Petr ; Collan, Mikael ; Makkonen, Mari . In: Energies. RePEc:gam:jeners:v:10:y:2017:i:3:p:295-:d:91913.

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2017Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis. (2017). Papadamou, Stephanos ; Mermigka, Lydia ; Kyriazis, Nikolaos A. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:1:p:9-:d:91815.

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2017Financial Insights from the Last Few Components of a Stock Market PCA. (2017). Yang, Libin ; Rea, Alethea . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:3:p:15-:d:105316.

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2017Estimating Financial Volatility with High-Frequency Returns. (2017). Vo, Long H. In: Journal of Finance and Economics Research. RePEc:gei:jnlfer:v:2:y:2017:i:2:p:84-114.

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2017Les inégalités de niveaux de vie entre les générations en France. (2017). d'Albis, Hippolyte ; Badji, Ikpidi. In: Post-Print. RePEc:hal:journl:halshs-01524882.

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2017Does it pay to be a doctor in France?. (2017). Dormont, Brigitte ; Samson, Anne-Laure. In: Working Papers. RePEc:hal:wpaper:hal-01518428.

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2018Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models. (2018). Bedoui, Rihab ; Kedidi, Islem. In: Working Papers. RePEc:hal:wpaper:hal-01678050.

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2017The Bilateral Relationship between Depressive Symptoms and Employment Status. (2017). Ribar, David ; Cobb-Clark, Deborah ; Bubonya, Melisa . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n10.

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2017Can Obesity Cause Depression? Using Pseudo Panel Analysis. (2017). Han, Chirok ; Kim, Beom Soo. In: Discussion Paper Series. RePEc:iek:wpaper:1701.

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2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing. (2017). Guidolin, Massimo ; Pedio, Manuela ; Giampietro, Marta. In: Working Papers. RePEc:igi:igierp:614.

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2017Assessment of Density Forecast for Energy Commodities in Post-Financialization Era. (2017). Deepak, Bisht ; Laha, A K. In: IIMA Working Papers. RePEc:iim:iimawp:14574.

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2017The Bilateral Relationship between Depressive Symptoms and Employment Status. (2017). Ribar, David ; Cobb-Clark, Deborah ; Bubonya, Melisa . In: IZA Discussion Papers. RePEc:iza:izadps:dp10653.

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2017The Dynamics of Study-Work Choice and Its Effect on Intended and Actual University Attainment. (2017). Gong, Xiaodong. In: IZA Discussion Papers. RePEc:iza:izadps:dp10785.

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2017A Comparative Analysis of Four-Factor Model and Three-Factor Model in the Nigerian Stock Market. (2017). Evbayiro-Osagie, Esther Ikavbo ; Osamwonyi, Ifuero Osad . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:38-52.

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2018Managing Were the Adverse Effects of Disability on Employment Mitigated during 2002-2015 in South Africa?: A Pseudo-Panel Approach. (2018). Igei, Kengo . In: Working Papers. RePEc:jic:wpaper:168.

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2018Cheaper and More Haircuts After VAT Cut? Evidence from the Netherlands. (2018). Lejour, Arjan ; Massenz, Gabriella ; Jongen, Egbert. In: De Economist. RePEc:kap:decono:v:166:y:2018:i:2:d:10.1007_s10645-018-9315-1.

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2017Can investors benefit from the performance of alternative UCITS funds?. (2017). Busack, Michael ; Tille, Jan ; Drobetz, Wolfgang. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0283-7.

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2017Strategic Choice of Risk: Evidence from Mutual Fund Families. (2017). Lai, Christine W ; Chan, Chia-Ying ; Lee, Liang-Chung . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:51:y:2017:i:1:d:10.1007_s10693-016-0242-5.

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2017Estimating Regional Returns to Education in India. (2017). Sato, Takahiro ; Bhattacharya, Prabir . In: Discussion Paper Series. RePEc:kob:dpaper:dp2017-09.

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2018Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana. In: Working Papers. RePEc:mib:wpaper:382.

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2018Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets. (2018). Mehra, Rajnish ; Wahal, Sunil ; Aragon, George O. In: NBER Working Papers. RePEc:nbr:nberwo:24575.

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2017Consumption of cultural goods and services and time allocation in Brazil [Consumption of cultural goods and services and time allocation in Brazil]. (2017). DINIZ, SIBELLE ; Day, Luiz Carlos ; Golgher, Andre Braz ; Machado, Ana Flavia . In: Nova Economia. RePEc:nov:artigo:v:27:y:2017:i:1:p:35-63.

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2017Persistence and Procyclicality in Margin Requirements. (2017). Glasserman, Paul ; Wu, QI. In: Working Papers. RePEc:ofr:wpaper:17-01.

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2017Does Foreign Information Predict the Returns of Multinational Firms Worldwide?. (2017). Finke, Christian ; Weigert, Florian. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:6:p:2199-2248..

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2017Fundamental driver of fund style drift. (2017). Galloppo, Giuseppe ; Trovato, Giovanni. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:2:d:10.1057_s41260-016-0009-4.

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2017Gender longevity gap and socioeconomic indicators in developed countries. (2017). Fedotenkov, Igor ; Деркачев, Павел ; Derkachev, Pavel . In: MPRA Paper. RePEc:pra:mprapa:83215.

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2018Labour Supply of Married Women in Thailand: 1985-2016. (2018). Paweenawat, Sasiwimon ; Liao, Lusi. In: PIER Discussion Papers. RePEc:pui:dpaper:88.

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2018A Bayesian dynamic model to test persistence in funds performance. (2018). mamatzakis, emmanuel ; Tsionas, Mike. In: Working Paper series. RePEc:rim:rimwps:18-23.

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2018Resilience thresholds to temperature shocks in rural Tanzania: a long-run assessment.. (2018). Montalbano, Pierluigi ; Letta, Marco ; d'Errico, Marco ; Pietrelli, Rebecca . In: Working Papers. RePEc:saq:wpaper:2/18.

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2018Does absorptive capacity determine collaboration returns to innovation? A geographical dimension. (2018). Badillo Enciso, Erika ; Moreno, Rosina. In: The Annals of Regional Science. RePEc:spr:anresc:v:60:y:2018:i:3:d:10.1007_s00168-015-0696-7.

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2018How We Fall Apart: Similarities of Human Aging in 10 European Countries. (2018). Strulik, Holger ; Abeliansky, Ana Lucia. In: Demography. RePEc:spr:demogr:v:55:y:2018:i:1:d:10.1007_s13524-017-0641-8.

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2017A new look at oil price pass-through into inflation: evidence from disaggregated European data. (2017). Poncela, Pilar ; Jiménez-Rodríguez, Rebeca ; Senra, Eva ; Jimenez-Rodriguez, Rebeca ; Castro, Cesar . In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:34:y:2017:i:1:d:10.1007_s40888-016-0048-9.

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2017Job loss and the mental health of spouses and adolescent children. (2017). Wooden, Mark ; Cobb-Clark, Deborah ; Bubonya, Melisa . In: IZA Journal of Labor Economics. RePEc:spr:izalbr:v:6:y:2017:i:1:d:10.1186_s40172-017-0056-1.

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2017Impact of Working Time Mismatch on Job Satisfaction: Evidence for German Workers with Disabilities. (2017). Pagan, Ricardo . In: Journal of Happiness Studies. RePEc:spr:jhappi:v:18:y:2017:i:1:d:10.1007_s10902-016-9721-5.

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2018Are Risk Attitudes Fixed Factors or Fleeting Feelings?. (2018). Orazem, Peter ; Cho, In Soo ; Rosenblat, Tanya . In: Journal of Labor Research. RePEc:spr:jlabre:v:39:y:2018:i:2:d:10.1007_s12122-018-9262-2.

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2017Quality service in banking: a longitudinal approach. (2017). Liberati, Caterina ; Masserini, Lucio ; Mariani, Paolo . In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:2:d:10.1007_s11135-016-0420-4.

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2017Quantifying the economic cost of children: a note on intertemporal equivalence scales. (2017). Betti, Gianni. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:3:d:10.1007_s11135-016-0325-2.

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2017Relationship between Crude Oil Prices and the U.S. Dollar Exchange Rates: Constant or Time-varying?. (2017). Le, Duong . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:5:f:7_5_6.

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2017Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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2018Pseudo Panel Data Models With Cohort Interactive Effects. (2018). Juodis, Artras. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:47-61.

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2017Risk forecasting in (T)GARCH models with uncorrelated dependent innovations. (2017). Beckers, Benjamin ; Seidel, Moritz ; Herwartz, Helmut. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:121-137.

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2017Disentangling Age and Cohorts Effects on Home-Ownership and Housing Wealth in Turkey. (2017). Ceritoğlu, Evren ; Ceritoglu, Evren . In: Working Papers. RePEc:tcb:wpaper:1706.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2018Essays on model uncertainty in financial models. (2018). Li, Jing. In: Other publications TiSEM. RePEc:tiu:tiutis:202cd910-7ef1-4db4-94ae-de174ab85dc2.

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2017The effects of financial education on financial literacy and savings behavior : Evidence from a controlled field experiment in Dutch primary schools. (2017). Kalwij, Adriaan ; alessie, rob ; van der Werf, Minou ; van der Schors, Anna ; Schonewille, Gea ; Dinkova, M. In: Working Papers. RePEc:use:tkiwps:1705.

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More than 100 citations found, this list is not complete...

Works by Theo Nijman:


YearTitleTypeCited
1993Premia in Forward Foreign Exchange as Unobserved Components: A Note. In: Journal of Business & Economic Statistics.
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article15
1998Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
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1994Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper.
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1986The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach. In: Journal of Business & Economic Statistics.
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1990Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models. In: Journal of Business & Economic Statistics.
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1987Predictive accuracy gain from disaggregate sampling in ARIMA-models.(1987) In: Research Memorandum.
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2000Hedging Pressure Effects in Futures Markets In: Journal of Finance.
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2002Evaluating Style Analysis In: CEPR Discussion Papers.
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2004Evaluating style analysis.(2004) In: Journal of Empirical Finance.
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2000Evaluating Style Analysis.(2000) In: Discussion Paper.
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1998Pricing Term Structure Risk in Futures Markets In: Journal of Financial and Quantitative Analysis.
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1996Pricing Term Structure Risk in Futures Markets.(1996) In: Discussion Paper.
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2004An Anatomy of Futures Returns: Risk Premiums and Trading Strategies In: WO Research Memoranda (discontinued).
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1984Missing Observations in the Dynamic Regression Model. In: Econometrica.
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article22
1993Temporal Aggregation of GARCH Processes. In: Econometrica.
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1990TEMPORAL AGGREGATION OF GARCH PROCESSES..(1990) In: Tilburg - Center for Economic Research.
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1992Temporal Aggregation of Garch Processes..(1992) In: Tilburg - Center for Economic Research.
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1990Temporal aggregation of GARCH processes.(1990) In: Discussion Paper.
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1992Temporal aggregation of GARCH processes.(1992) In: Discussion Paper.
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2000Testing Affine Term Structure Models in Case of Transaction Costs In: Econometric Society World Congress 2000 Contributed Papers.
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2005Testing affine term structure models in case of transaction costs.(2005) In: Journal of Econometrics.
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1999Testing Affine Term Structure Models in Case of Transaction Costs.(1999) In: Discussion Paper.
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1982Linear regression using both temporally aggregated and temporally disaggregated data In: Journal of Econometrics.
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1990Estimation of time-dependent parameters in linear models using cross-sections, panels, or both In: Journal of Econometrics.
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1988Estimation of time dependent parameters in linear models using cross sections, panels or both.(1988) In: Research Memorandum.
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1991The efficiency of rotating-panel designs in an analysis-of-variance model In: Journal of Econometrics.
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1992The optimal choice of controls and pre-experimental observations In: Journal of Econometrics.
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1993Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections In: Journal of Econometrics.
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article48
1992Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections..(1992) In: Tilburg - Center for Economic Research.
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1996Marginalization and contemporaneous aggregation in multivariate GARCH processes In: Journal of Econometrics.
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article52
1994Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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1993Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research.
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1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper.
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1995A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International In: European Economic Review.
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1993A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International.(1993) In: Discussion Paper.
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2004Do countries or industries explain momentum in Europe? In: Journal of Empirical Finance.
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2002Do Countries or Industries Explain Momentum in Europe?.(2002) In: Discussion Paper.
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2005Yet another look at mutual fund tournaments In: Journal of Empirical Finance.
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article26
1996Price effects of trading and components of the bid-ask spread on the Paris Bourse In: Journal of Empirical Finance.
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1994Price effects of trading and components of the bid-ask spread on the Paris Bource.(1994) In: Discussion Paper.
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1997High frequency analysis of lead-lag relationships between financial markets In: Journal of Empirical Finance.
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article31
1995High frequency analysis of lead-lag relationships between financial markets.(1995) In: Discussion Paper.
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2001Testing for mean-variance spanning: a survey In: Journal of Empirical Finance.
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article55
1998Testing for mean-variance spanning : A survey.(1998) In: Discussion Paper.
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2001Eliminating look-ahead bias in evaluating persistence in mutual fund performance In: Journal of Empirical Finance.
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2008Performance information dissemination in the mutual fund industry In: Journal of Financial Markets.
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article8
2008Estimating the term structure of mortality In: Insurance: Mathematics and Economics.
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article11
2008Longevity risk in portfolios of pension annuities In: Insurance: Mathematics and Economics.
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2010Longevity risk and capital markets: The 2008-2009 update In: Insurance: Mathematics and Economics.
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2003Currency hedging for international stock portfolios: The usefulness of mean-variance analysis In: Journal of Banking & Finance.
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article22
2003Common factors in international bond returns In: Journal of International Money and Finance.
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article42
2000Common Factors in International Bond Returns.(2000) In: Discussion Paper.
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1989GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS In: Tilburg - Center for Economic Research.
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1991Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations..(1991) In: International Economic Review.
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1989Generalized least squares estimation of linear models containing rational future expectations.(1989) In: Discussion Paper.
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1989THE NONRESPONSE BIAS IN THE ANALYSIS OF THE DETERMINANTS OF TOTAL EXPENDITURES OF HOUSEHOLDS BASED ON PANEL DATA. In: Tilburg - Center for Economic Research.
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1990TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS. In: Tilburg - Center for Economic Research.
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paper222
1992Testing for Selectivity Bias in Panel Data Models..(1992) In: International Economic Review.
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article
1990Testing for selectivity bias in panel data models.(1990) In: Discussion Paper.
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1990CAN COHORT DATA BE TREATED AS GENUINE PANEL DATA. In: Tilburg - Center for Economic Research.
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paper118
1992Can Cohort Data Be Treated as Genuine Panel Data?.(1992) In: Empirical Economics.
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1990Can cohort data be treated as genuine panel data?.(1990) In: Discussion Paper.
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1990EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES. In: Tilburg - Center for Economic Research.
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paper0
1990Empirical tests of a simple pricing model for sugar futures.(1990) In: Discussion Paper.
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1991Premia in Forward Foreign Exchange as Unobserved Components. In: Tilburg - Center for Economic Research.
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paper17
1991Premia in forward foreign exchange as unobserved components.(1991) In: Discussion Paper.
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1991Recent Developments in Modeling Volatility in Financial Data. In: Tilburg - Center for Economic Research.
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paper0
1991Recent developments in modeling volatility in financial data.(1991) In: Discussion Paper.
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1992Incomplete Panels and Selection Bias: A Survey. In: Tilburg - Center for Economic Research.
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paper35
1992Incomplete panels and selection bias : A survey.(1992) In: Discussion Paper.
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1993A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International. In: Tilburg - Center for Economic Research.
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paper6
1992Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function. In: Journal of Applied Econometrics.
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2011Optimal Annuity Risk Management In: Review of Finance.
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2010When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? In: Review of Financial Studies.
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2010Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement In: Discussion Paper.
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paper2
1999Currency Hedging for International Stock Portfolios : A General Approach In: Discussion Paper.
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1997Analyzing specification errors in models for futures risk premia with hedging pressure In: Discussion Paper.
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2002Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News In: Discussion Paper.
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paper3
2001On the Empirical Evidence of Mutual Fund Strategic Risk Taking In: Discussion Paper.
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1996Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach In: Discussion Paper.
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paper4
1996Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach.(1996) In: SFB 373 Discussion Papers.
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1989The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data In: Discussion Paper.
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1998Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets In: Discussion Paper.
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paper27
2005Labor Income and the Demand for Long-term Bonds In: Discussion Paper.
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paper2
1992Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version) In: Discussion Paper.
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2003Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes In: Discussion Paper.
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paper9
2002The Dynamics of the Impact of Past Performance on Mutual Fund Flows In: Discussion Paper.
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paper3
2002The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity In: Discussion Paper.
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paper2
1998Style Analysis and Performance Evaluation of Dutch Mutual Funds In: Discussion Paper.
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paper6
1998Performance analysis of international mutual funds incorporating market frictions In: Discussion Paper.
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paper2
2006Optimal Portfolio Choice with Annuitization In: Discussion Paper.
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paper12
2010When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming? In: Discussion Paper.
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paper1
1998Eliminating biases in evaluating mutual fund performance from a survivorship free sample In: Discussion Paper.
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2010Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand In: Discussion Paper.
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paper5
1986Efficiency gains due to using missing data procedures in regression models In: Research Memorandum.
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paper2
1988Exclusion restrictions in instrumental variables equations In: Research Memorandum.
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paper0
1988The optimal design of rotating panels in a simple analysis of variance model In: Research Memorandum.
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paper0
1989A natural approach to optimal forecasting in case of preliminary observations In: Research Memorandum.
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paper0
1987Consistent estimation of regression models with incompletely observed exogenous variables In: Research Memorandum.
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paper1
1986Consistent estimation of rational expectation models In: Research Memorandum.
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2000Derivatengebruik van Nederlandse Niet-Financiële Bedrijven In: Research Memorandum.
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