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Bertrand Melenberg

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Personal Details

First Name: Bertrand
Middle Name:
Last Name: Melenberg
Suffix:

RePEc Short-ID: pme250

Email:
Homepage: http://www.tilburguniversity.nl/webwijs/show/?uid=b.melenberg
Postal Address:
Phone:

Affiliation

CentER for Economic Research
Universiteit van Tilburg
Location: Tilburg, Netherlands
Homepage: http://center.uvt.nl/
Email:
Phone: 31 13 4663050
Fax: 31 13 4663066
Postal: P.O. Box 90153, 5000 LE Tilburg
Handle: RePEc:edi:cekubnl (more details at EDIRC)

Works

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Working papers

  1. Herman R.J. Vollebergh & Bertrand Melenberg & Elbert Dijkgraaf, 2007. "Identifying Reduced-Form Relations with Panel Data," Tinbergen Institute Discussion Papers 07-072/3, Tinbergen Institute.
  2. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Econometric Analysis of Microscopic Simulation Models," Discussion Paper 2006-99, Tilburg University, Center for Economic Research.
  3. Hendri Adriaens & Bertrand Melenberg & Bas Donkers, 2006. "Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets," Computing in Economics and Finance 2006 340, Society for Computational Economics.
  4. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Non- and Semiparametric Analysis of MS Models: Some Applications," Discussion Paper 2006-95, Tilburg University, Center for Economic Research.
  5. Hendri Adriaens & Bertrand Melenberg, 2005. "Multi-period CAPM with Heterogeneous Agents," Computing in Economics and Finance 2005 163, Society for Computational Economics.
  6. Vollebergh, H.R.J. & Dijkgraaf, E. & Melenberg, B., 2005. "Environmental Kuznets Curves for CO2: Heterogeneity Versus Homogeneity," Discussion Paper 2005-25, Tilburg University, Center for Economic Research.
  7. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison," Discussion Paper 2005-100, Tilburg University, Center for Economic Research.
  8. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
  9. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper 2003-24, Tilburg University, Center for Economic Research.
  10. Bellemare, C. & Melenberg, B. & Soest, A.H.O. van, 2002. "Semi-parametric Models for Satisfaction with Income," Discussion Paper 2002-87, Tilburg University, Center for Economic Research.
  11. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002. "Model Risk and Regulatory Capital," Discussion Paper 2002-27, Tilburg University, Center for Economic Research.
  12. Kerkhof, F.L.J. & Melenberg, B., 2002. "Backtesting for Risk-Based Regulatory Capital," Discussion Paper 2002-110, Tilburg University, Center for Economic Research.
  13. Vazquez-Alvarez, R. & Melenberg, B. & Soest, A.H.O. van, 2001. "Nonparametric Bounds in the Presence of Item Nonresponse, Unfolding Brackets and Anchoring," Discussion Paper 2001-67, Tilburg University, Center for Economic Research.
  14. Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B., 2000. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Discussion Paper 2000-93, Tilburg University, Center for Economic Research.
  15. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000. "Common Factors in International Bond Returns," Discussion Paper 2000-91, Tilburg University, Center for Economic Research.
  16. Vazquez-Alvarez, R. & Melenberg, B. & Soest, A.H.O. van, 1999. "Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design," Discussion Paper 1999-115, Tilburg University, Center for Economic Research.
  17. Vazquez-Alvarez, R. & Melenberg, B. & Soest, A.H.O. van, 1999. "Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse," Discussion Paper 1999-33, Tilburg University, Center for Economic Research.
  18. Donkers, A.C.D. & Melenberg, B. & Soest, A.H.O. van, 1999. "Estimating Risk Attitudes Using Lotteries; A Large Sample Approach," Discussion Paper 1999-12, Tilburg University, Center for Economic Research.
  19. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
  20. Vazquez-Alvarez, R. & Melenberg, B. & Soest, A.H.O. van, 1999. "Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse," Discussion Paper 1999-38, Tilburg University, Center for Economic Research.
  21. Charlier, E. & Melenberg, B. & Soest, A.H.O. van, 1997. "An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data," Discussion Paper 1997-14, Tilburg University, Center for Economic Research.
  22. Charlier, E. & Melenberg, B. & Soest, A.H.O. van, 1997. "An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models," Discussion Paper 1997-15, Tilburg University, Center for Economic Research.
  23. Euwals, R.W. & Melenberg, B. & Soest, A.H.O. van, 1997. "Testing the Predicitive Value of Subjective Labour Supply Data," Discussion Paper 1997-25, Tilburg University, Center for Economic Research.
  24. Melenberg, B. & Werker, B.J.M., 1996. "On the Pricing of Options in Incomplete Markets," Discussion Paper 1996-19, Tilburg University, Center for Economic Research.
  25. Melenberg, B. & Van Soest, A., 1993. "Semi-Parametric Estimation on the Sample Selection Model," Papers 9334, Tilburg - Center for Economic Research.
  26. Melenberg, B. & Van Soest, A., 1991. "Parametric and Semi-parametric Modelling of Vocation Expenditures," Papers 9144, Tilburg - Center for Economic Research.
  27. Kooreman, P. & Melenberg, B., 1989. "Maximum Score Estimation In The Ordred Response Model," Papers 8948, Tilburg - Center for Economic Research.

Articles

  1. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April.
  2. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
  3. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  4. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
  5. E. Dijkgraaf & R. H. J. M. Gradus & B. Melenberg, 2003. "Contracting out refuse collection," Empirical Economics, Springer, vol. 28(3), pages 553-570, July.
  6. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 635-672, September.
  7. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003. "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 629-656, October.
  8. Donkers, Bas & Melenberg, Bertrand & Van Soest, Arthur, 2001. " Estimating Risk Attitudes Using Lotteries: A Large Sample Approach," Journal of Risk and Uncertainty, Springer, vol. 22(2), pages 165-95, March.
  9. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2001. "An analysis of housing expenditure using semiparametric models and panel data," Journal of Econometrics, Elsevier, vol. 101(1), pages 71-107, March.
  10. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
  11. Bertrand Melenberg & Arthur van Soest & Erwin Charlier, 2000. "An analysis of housing expenditure using semiparametric cross-section models," Empirical Economics, Springer, vol. 25(3), pages 437-462.
  12. Bertrand Melenberg & Bas Werker, 1999. "A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets," Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 11-30, January.
  13. Lee, Myoung-jae & Melenberg, Bertrand, 1998. "Bounding quantiles in sample selection models," Economics Letters, Elsevier, vol. 61(1), pages 29-35, October.
  14. Joel Horowitz & Myoung-Jae Lee & Bertrand Melenberg & Arthur van Soest, 1998. "Introduction: application of semiparametric methods for micro-data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 431-433.
  15. Rob Euwals & Bertrand Melenberg & Arthur van Soest, 1998. "Testing the predictive value of subjective labour supply data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 567-585.
  16. Melenberg, Bertrand, 1997. "Life cycle consumption models with uncertainty within periods," Economics Letters, Elsevier, vol. 57(1), pages 1-4, November.
  17. Melenberg, Bertrand & van Soest, Arthur, 1996. "Parametric and Semi-parametric Modelling of Vacation Expenditures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 59-76, Jan.-Feb..
  18. Adang, Pim & Melenberg, Bertrand, 1995. "Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 1-15, Jan.-Marc.
  19. Alessie, Rob & Gradus, Raymond H J M & Melenberg, Bertrand, 1990. "The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 151-66, April-Jun.
  20. Alessie, Rob & Kapteyn, Arie & Melenberg, Bertrand, 1989. "The effects of liquidity constraints on consumption Estimation from household panel data," European Economic Review, Elsevier, vol. 33(2-3), pages 547-555, March.
  21. Alessie, Rob & Melenberg, Bertrand & Weber, Guglielmo, 1988. "Consumption, leisure and earnings-related liquidity constraints : A note," Economics Letters, Elsevier, vol. 27(1), pages 101-104.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2003-04-13
  2. NEP-CMP: Computational Economics (1) 2006-10-28
  3. NEP-CUL: Cultural Economics (1) 2003-04-13
  4. NEP-DCM: Discrete Choice Models (1) 2002-06-13
  5. NEP-ECM: Econometrics (5) 2001-10-16 2005-09-29 2006-10-28 2006-10-28 2008-02-23. Author is listed
  6. NEP-EEC: European Economics (1) 2005-03-06
  7. NEP-ENE: Energy Economics (1) 2005-03-06
  8. NEP-ENV: Environmental Economics (1) 2005-03-06
  9. NEP-EXP: Experimental Economics (1) 1999-03-08
  10. NEP-FIN: Finance (5) 2003-04-13 2005-09-29 2005-09-29 2006-10-28 2006-10-28. Author is listed
  11. NEP-FMK: Financial Markets (1) 2005-09-29
  12. NEP-IFN: International Finance (1) 1999-03-08
  13. NEP-IND: Industrial Organization (1) 1999-11-08
  14. NEP-RES: Resource Economics (1) 2005-03-06
  15. NEP-RMG: Risk Management (3) 2003-04-13 2005-09-29 2005-09-29

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