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Theo Nijman : Citation Profile


Are you Theo Nijman?

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

19

H index

28

i10 index

1505

Citations

RESEARCH PRODUCTION:

35

Articles

66

Papers

RESEARCH ACTIVITY:

   29 years (1982 - 2011). See details.
   Cites by year: 51
   Journals where Theo Nijman has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 15 (0.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni115
   Updated: 2018-02-17    RAS profile: 2013-08-05    
   Missing citations? Add them    Incorrect content? Let us know

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)

Hafner, Christian (16)

Diebold, Francis (16)

Galvani, Valentina (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)

Goetzmann, William (6)

Cumby, Robert (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
Econometrica2
International Economic Review2

Recent works citing Theo Nijman (2018 and 2017)


YearTitle of citing document
2018Wavelet-based methods for high-frequency lead-lag analysis. (2016). 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. (2017). 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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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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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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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 ; Gibson, Heather ; Hall, Stephen G. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:110-113.

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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). Daskalaki, Charoula ; Topaloglou, Nikolas ; Skiadopoulos, George. 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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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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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). 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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2017The impact of economic conditions on the disablement process: A Markov transition approach using SHARE data. (2017). Arrighi, Yves ; Sirven, N ; 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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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 ; Aragon, Fernando M ; Miranda, Juan Jose. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:86:y:2017:i:c:p:295-309.

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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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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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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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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 ; Makkonen, Mari ; Collan, Mikael. 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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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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2017The Bilateral Relationship between Depressive Symptoms and Employment Status. (2017). Cobb-Clark, Deborah ; Ribar, David C ; 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, Beomsoo . 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). Cobb-Clark, Deborah ; Ribar, David C ; 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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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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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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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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2017A new look at oil price pass-through into inflation: evidence from disaggregated European data. (2017). Jiménez-Rodríguez, Rebeca ; Senra, Eva ; Poncela, Pilar ; 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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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). McAleer, Michael ; Allen, David ; Singh, Abhay K ; Powell, Robert. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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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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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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2017The income-health gradient: Evidence from self-reported health and biomarkers using longitudinal data on income. (2017). Jones, Andrew ; Davillas, Jones A. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:17/04.

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2017How we fall apart: Similarities of human aging in 10 European countries. (2017). Strulik, Holger ; Abeliansky, Ana Lucia. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:301.

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2017Illiquidity transmission from spot to futures markets. (2017). Theissen, Erik ; Krischak, Paolo ; Korn, Olaf . In: CFR Working Papers. RePEc:zbw:cfrwps:1410.

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Works by Theo Nijman:


YearTitleTypeCited
1993Premia in Forward Foreign Exchange as Unobserved Components: A Note. In: Journal of Business & Economic Statistics.
[Citation analysis]
article15
1998Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
[Citation analysis]
article30
1994Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 30
paper
1986The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]
article6
1990Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article18
1987Predictive accuracy gain from disaggregate sampling in ARIMA-models.(1987) In: Research Memorandum.
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This paper has another version. Agregated cites: 18
paper
2000Hedging Pressure Effects in Futures Markets In: Journal of Finance.
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article117
2002Evaluating Style Analysis In: CEPR Discussion Papers.
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paper14
2004Evaluating style analysis.(2004) In: Journal of Empirical Finance.
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article
2000Evaluating Style Analysis.(2000) In: Discussion Paper.
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paper
1998Pricing Term Structure Risk in Futures Markets In: Journal of Financial and Quantitative Analysis.
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article7
1996Pricing Term Structure Risk in Futures Markets.(1996) In: Discussion Paper.
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paper
2004An Anatomy of Futures Returns: Risk Premiums and Trading Strategies In: WO Research Memoranda (discontinued).
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paper0
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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article321
1990TEMPORAL AGGREGATION OF GARCH PROCESSES..(1990) In: Tilburg - Center for Economic Research.
[Citation analysis]
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paper
1992Temporal Aggregation of Garch Processes..(1992) In: Tilburg - Center for Economic Research.
[Citation analysis]
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paper
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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paper4
2005Testing affine term structure models in case of transaction costs.(2005) In: Journal of Econometrics.
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article
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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article4
1990Estimation of time-dependent parameters in linear models using cross-sections, panels, or both In: Journal of Econometrics.
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article7
1988Estimation of time dependent parameters in linear models using cross sections, panels or both.(1988) In: Research Memorandum.
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paper
1991The efficiency of rotating-panel designs in an analysis-of-variance model In: Journal of Econometrics.
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article4
1992The optimal choice of controls and pre-experimental observations In: Journal of Econometrics.
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article0
1993Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections In: Journal of Econometrics.
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article45
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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paper
1996Marginalization and contemporaneous aggregation in multivariate GARCH processes In: Journal of Econometrics.
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article51
1994Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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paper
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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article33
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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article13
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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article24
1996Price effects of trading and components of the bid-ask spread on the Paris Bourse In: Journal of Empirical Finance.
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article20
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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article53
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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article16
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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article10
2008Longevity risk in portfolios of pension annuities In: Insurance: Mathematics and Economics.
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article24
2010Longevity risk and capital markets: The 2008-2009 update In: Insurance: Mathematics and Economics.
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article2
2003Currency hedging for international stock portfolios: The usefulness of mean-variance analysis In: Journal of Banking & Finance.
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article21
2003Common factors in international bond returns In: Journal of International Money and Finance.
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article38
2000Common Factors in International Bond Returns.(2000) In: Discussion Paper.
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