Access Statistics for Theo Nijman

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International 0 0 0 0 0 0 5 471
A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International 0 0 0 3 0 0 2 17
A natural approach to optimal forecasting in case of preliminary observations 0 0 0 1 0 0 1 10
An Anatomy of Futures Returns: Risk Premiums and Trading Strategies 0 0 2 405 0 0 12 1,096
Analyzing specification errors in models for futures risk premia with hedging pressure 0 0 1 2 1 1 2 14
CAN COHORT DATA BE TREATED AS GENUINE PANEL DATA 0 0 0 0 1 3 6 447
Can cohort data be treated as genuine panel data? 0 0 3 17 0 3 12 74
Common Factors in International Bond Returns 0 0 3 22 0 1 12 83
Consistent estimation of rational expectation models 0 0 0 0 0 0 0 18
Consistent estimation of regression models with incompletely observed exogenous variables 0 0 0 1 0 0 1 8
Currency Hedging for International Stock Portfolios: A General Approach 0 0 0 2 0 0 3 24
Derivatengebruik van Nederlandse Niet-Financiële Bedrijven 0 0 1 23 0 0 2 68
Do Countries or Industries Explain Momentum in Europe? 0 0 1 4 0 2 8 41
EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES 0 0 0 0 0 0 2 568
Efficiency gains due to using missing data procedures in regression models 0 0 0 0 0 0 0 8
Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample 1 1 11 153 13 32 99 898
Eliminating biases in evaluating mutual fund performance from a survivorship free sample 0 0 2 5 0 0 2 22
Empirical tests of a simple pricing model for sugar futures 0 0 0 4 0 0 0 20
Estimation and testing in models containing both jumps and conditional heteroskedasticity 0 0 0 4 0 0 4 30
Estimation of time dependent parameters in linear models using cross sections, panels or both 0 0 0 0 0 0 2 9
Evaluating Style Analysis 0 0 1 185 3 5 30 807
Evaluating Style Analysis 1 1 1 4 1 1 1 27
Exclusion restrictions in instrumental variables equations 0 0 0 3 0 0 2 14
GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS 0 0 0 1 0 0 3 1,367
Generalized least squares estimation of linear models containing rational future expectations 0 0 0 1 0 0 1 19
Health Cost Risk and Optimal Retirement Provision: A Simple Rule for Annuity Demand 0 0 0 8 0 0 3 51
High frequency analysis of lead-lag relationships between financial markets 1 5 15 71 2 10 29 193
Incomplete Panels and Selection Bias: A Survey 0 0 0 3 0 0 2 861
Incomplete panels and selection bias: A survey 0 0 3 37 0 1 6 63
Labor Income and the Demand for Long-term Bonds 0 0 1 10 0 0 1 33
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 1 6 582
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 1 1 5 232
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 0 5 19
Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections 0 0 0 0 0 2 7 367
Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version) 0 0 0 3 0 1 2 14
Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News 0 1 1 3 0 1 1 24
On the Empirical Evidence of Mutual Fund Strategic Risk Taking 0 0 1 6 0 1 7 41
Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement 0 0 1 7 0 0 2 40
Optimal Portfolio Choice with Annuitization 0 1 3 13 0 5 16 67
Performance analysis of international mutual funds incorporating market frictions 0 0 0 7 0 3 3 30
Predictive accuracy gain from disaggregate sampling in ARIMA-models 0 0 0 1 0 1 4 32
Premia in Forward Foreign Exchange as Unobserved Components 0 0 0 0 0 1 5 315
Premia in forward foreign exchange as unobserved components 0 0 0 0 0 0 2 13
Price effects of trading and components of the bid-ask spread on the Paris Bource 0 0 0 3 1 1 2 28
Pricing Term Structure Risk in Futures Markets 0 0 2 10 0 0 5 30
Recent Developments in Modeling Volatility in Financial Data 0 0 0 0 0 0 1 263
Recent developments in modeling volatility in financial data 0 0 0 0 0 0 3 8
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes 0 0 0 8 1 1 2 29
Style Analysis and Performance Evaluation of Dutch Mutual Funds 0 0 0 30 0 2 8 126
TEMPORAL AGGREGATION OF GARCH PROCESSES 0 0 0 3 1 2 12 384
TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS 0 0 0 0 2 3 10 412
THE NONRESPONSE BIAS IN THE ANALYSIS OF THE DETERMINANTS OF TOTAL EXPENDITURES OF HOUSEHOLDS BASED ON PANEL DATA 0 0 0 0 0 1 4 402
Temporal Aggregation of Garch Processes 0 0 0 4 1 2 10 355
Temporal aggregation of GARCH processes 0 0 0 11 2 3 8 61
Temporal aggregation of GARCH processes 0 0 1 19 1 2 8 67
Testing Affine Term Structure Models in Case of Transaction Costs 0 0 0 85 0 2 4 330
Testing Affine Term Structure Models in Case of Transaction Costs 0 0 0 1 0 0 2 17
Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach 0 0 2 12 0 1 7 37
Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach 0 0 0 0 0 1 7 137
Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets 0 0 1 17 1 2 8 51
Testing for mean-variance spanning: A survey 0 0 0 2 1 1 3 27
Testing for selectivity bias in panel data models 0 1 3 11 2 3 12 62
The Dynamics of the Impact of Past Performance on Mutual Fund Flows 0 1 2 9 0 3 9 50
The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity 0 0 1 6 0 0 4 36
The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data 0 0 0 2 0 1 4 12
The optimal design of rotating panels in a simple analysis of variance model 0 0 0 1 0 0 3 21
When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming? 0 0 0 0 0 0 2 24
Total Working Papers 3 11 63 1,244 36 107 456 12,106


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International 0 0 2 57 1 2 11 207
Can Cohort Data Be Treated as Genuine Panel Data? 0 0 0 0 0 0 9 550
Common factors in international bond returns 1 1 2 62 1 4 16 173
Currency hedging for international stock portfolios: The usefulness of mean-variance analysis 0 0 0 106 0 0 4 311
Do countries or industries explain momentum in Europe? 0 0 0 128 0 5 12 465
Eliminating look-ahead bias in evaluating persistence in mutual fund performance 0 1 2 121 1 2 5 347
Estimating the term structure of mortality 0 0 2 27 0 4 9 102
Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity 0 0 0 0 1 4 12 231
Estimation of time-dependent parameters in linear models using cross-sections, panels, or both 0 1 1 63 0 2 3 134
Evaluating style analysis 0 0 0 88 0 0 4 256
Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations 0 0 0 26 0 0 3 183
Hedging Pressure Effects in Futures Markets 0 1 6 182 0 2 19 519
High frequency analysis of lead-lag relationships between financial markets 0 0 3 265 2 2 13 616
Linear regression using both temporally aggregated and temporally disaggregated data 0 0 0 9 0 0 2 72
Longevity risk and capital markets: The 2008-2009 update 0 1 2 29 0 2 5 69
Longevity risk in portfolios of pension annuities 0 0 4 88 0 2 11 260
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 90 1 1 4 244
Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections 0 0 5 154 0 4 17 477
Missing Observations in the Dynamic Regression Model 0 0 0 71 1 4 6 220
Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function 1 2 3 234 1 6 17 512
Optimal Annuity Risk Management 0 0 0 11 0 2 4 77
Performance information dissemination in the mutual fund industry 0 0 0 39 1 2 12 175
Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models 0 0 0 0 0 1 5 203
Premia in Forward Foreign Exchange as Unobserved Components: A Note 0 0 0 0 1 1 2 181
Price effects of trading and components of the bid-ask spread on the Paris Bourse 0 0 1 137 1 1 5 382
Pricing Term Structure Risk in Futures Markets 0 0 0 12 1 2 4 51
Temporal Aggregation of GARCH Processes 0 1 7 837 6 13 46 2,058
Testing affine term structure models in case of transaction costs 0 0 0 18 0 0 4 110
Testing for Selectivity Bias in Panel Data Models 3 9 30 646 13 26 84 1,623
Testing for mean-variance spanning: a survey 0 0 2 275 1 3 9 570
The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach 0 0 0 0 0 0 3 70
The efficiency of rotating-panel designs in an analysis-of-variance model 0 0 0 31 0 1 1 123
The optimal choice of controls and pre-experimental observations 0 0 0 16 0 1 4 105
When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? 0 0 4 49 0 3 12 146
Yet another look at mutual fund tournaments 0 0 1 54 0 0 2 192
Total Journal Articles 5 17 77 3,925 33 102 379 12,014


Statistics updated 2021-01-03