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Information about:
Bertrand Melenberg

Personal Details | Affiliation | Works
This is information that was supplied by Bertrand Melenberg in registering through RePEc. If you are Bertrand Melenberg , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Bertrand
Middle Name:
Last Name: Melenberg
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RePEc Short-ID: pme250

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

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

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. [Downloadable!]

  2. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The econometric analysis of microscopic simulation models," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:

  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, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The non- and semiparametric analysis of MS models : some applications," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]

  5. Melenberg, Bertrand & Polbennikov, Simon, 2005. "Testing for mean-coherent regular risk spanning," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]

  6. Hendri Adriaens & Bertrand Melenberg, 2005. "Multi-period CAPM with Heterogeneous Agents," Computing in Economics and Finance 2005 163, Society for Computational Economics. [Downloadable!]

  7. Polbennikov, Simon & Melenberg, Bertrand, 2005. "Mean-coherent risk and mean-variance approaches in portfolio selection : an empirical comparison," Discussion Paper 100, Tilburg University, Center for Economic Research. [Downloadable!]

  8. Vollebergh, Herman R.J. & Dijkgraag, Elbert & Melenberg, Bertrand, 2005. "Environmental Kuznets curves for CO2 : heterogeneity versus homogeneity," Discussion Paper 25, Tilburg University, Center for Economic Research. [Downloadable!]

  9. Kerkhof, J. & Melenberg, B. & Schumacher, H., 2003. "Testing expected shortfall models for derivative positions," Discussion Paper 24, Tilburg University, Center for Economic Research. [Downloadable!]

  10. Kerkhof, J. & Melenberg, B., 2002. "Backtesting for risk-based regulatory capital," Discussion Paper 110, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  11. B. Donkers & B. Melenberg, 2002. "Testing predictive performance of binary choice models," Econometric Institute Report 254, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  12. Bellemare, C. & Melenberg, B. & Soest, A. van, 2002. "Semi-parametric models for satisfaction with income," Discussion Paper 87, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:

  13. Kerkhof, J. & Melenberg, B. & Schumacher, H., 2002. "Model risk and regulatory capital," Discussion Paper 27, Tilburg University, Center for Economic Research. [Downloadable!]

  14. Vazques Alvarez, R. & Melenberg, B. & Soest, A. van, 2001. "Nonparametric bounds in the presence of item nonresponse, unfolding brackets, and anchoring," Discussion Paper 67, Tilburg University, Center for Economic Research. [Downloadable!]

  15. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]

  16. Driessen, J. & Melenberg, B. & Nijman, T., 2000. "Common factors in international bond returns," Discussion Paper 91, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  17. Vazquez Alvarez, R. & Melenberg, B. & Soest, A. van, 1999. "Nonparametric bound on the income distribution in the presence of item nonresponse," Discussion Paper 33, Tilburg University, Center for Economic Research. [Downloadable!]

  18. Vazquez Alvarez, R. & Melenberg, B. & Soest, A. van, 1999. "Nonparametric modeling of the anchoring effect in an unfolding bracket design," Discussion Paper 115, Tilburg University, Center for Economic Research. [Downloadable!]

  19. Donkers, B. & Melenberg, B. & Soest, A.van, 1999. "Estimating risk attitudes using lotteries : a large sample approach," Discussion Paper 12, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  20. Vazquez Alvarez, R. & Melenberg, B. & Soest, A. van, 1999. "Bounds on quantiles in the presence of full and partial item nonresponse," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]

  21. Driessen, J. & Melenberg, B. & Nijman, T., 1999. "Testing affine term structure models in case of transaction costs," Discussion Paper 84, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
    Published as:

  22. Euvals, R. & Melenberg, B. & Soest, A. van, 1997. "Testing the predictive value of subjective labour supply data," Discussion Paper 25, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  23. Charlier, E. & Melenberg, B. & Soest, A. van, 1997. "An analysis of housing expenditure using semiparametric models and panel data," Discussion Paper 14, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  24. Charlier, E. & Melenberg, B. & Soest, A. van, 1997. "An analysis of housing expenditure using semiparametric cross-section models," Discussion Paper 15, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  25. Melenberg, B. & Werker, B., 1996. "On the pricing of options in incomplete markets," Discussion Paper 19, Tilburg University, Center for Economic Research. [Downloadable!]

  26. Melenberg, B. & Soest, A. van, 1995. "Semiparametric Estimation of Equivalence Scales Using Subjective Information," Discussion Paper 71, Tilburg University, Center for Economic Research. [Downloadable!]

  27. Charlier, E. & Melenberg, B. & Soest, A. van, 1995. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Discussion Paper 114, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  28. Melenberg, B. & Van Soest, A., 1993. "Semi-Parametric Estimation on the Sample Selection Model," Papers 9334, Tilburg - Center for Economic Research.

  29. Melenberg, B. & Van Soest, A., 1991. "Parametric and Semi-parametric Modelling of Vocation Expenditures," Papers 9144, Tilburg - Center for Economic Research.
    Published as:

  30. Kooreman, P. & Melenberg, B., 1989. "Maximum Score Estimation In The Ordred Response Model," Papers 8948, Tilburg - Center for Economic Research.

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August. [Downloadable!] (restricted)
    Other versions:

  3. E. Dijkgraaf & R. H. J. M. Gradus & B. Melenberg, 2003. "Contracting out refuse collection," Empirical Economics, Springer, vol. 28(3), pages 553-570, July. [Downloadable!] (restricted)

  4. 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. [Downloadable!] (restricted)
    Other versions:

  5. 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. [Downloadable!] (restricted)
    Other versions:

  6. 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. [Downloadable!] (restricted)
    Other versions:

  7. 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. [Downloadable!] (restricted)
    Other versions:

  8. 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. [Downloadable!] (restricted)
    Other versions:

  9. 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. [Downloadable!] (restricted)

  10. 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. [Downloadable!]
    Other versions:

  11. Lee, Myoung-jae & Melenberg, Bertrand, 1998. "Bounding quantiles in sample selection models," Economics Letters, Elsevier, vol. 61(1), pages 29-35, October. [Downloadable!] (restricted)

  12. 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. [Downloadable!]

  13. Melenberg, Bertrand, 1997. "Life cycle consumption models with uncertainty within periods," Economics Letters, Elsevier, vol. 57(1), pages 1-4, November. [Downloadable!] (restricted)

  14. 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.. [Downloadable!] (restricted)
    Other versions:

  15. 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. [Downloadable!] (restricted)

  16. 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. [Downloadable!] (restricted)

  17. 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. [Downloadable!] (restricted)

  18. 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. [Downloadable!] (restricted)

NEP Fields

14 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 (2) 2002-03-04 2002-06-13
  5. NEP-ECM: Econometrics (6) 2001-10-16 2002-03-04 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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This page was last updated on 2008-7-12.

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