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Publications

by members of

Universiteit van Tilburg → School of Economics and Management → Finance Department

Tilburg University

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2024

  1. Fabio Braggion & Felix von Meyerinck & Nic Schaub & Michael Weber, 2024, "The Long-term Effects of Inflation on Inflation Expectations," NBER Working Papers, National Bureau of Economic Research, Inc, number 32160, Feb.
  2. Yavuz Arslan & Ahmet Degerli & Bulent Guler & Gazi Kabas & Burhan Kuruscu, 2024, "Unemployment Insurance and Macro-Financial (In)Stability," Working Papers, University of Liverpool, Department of Economics, number 202413, Aug.
  3. Cisil Sarisoy & Bas J. M. Werker, 2024, "Linear Factor Models and the Estimation of Expected Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-014, Mar, DOI: 10.17016/FEDS.2024.014.

2022

  1. Braggion, Fabio & Manconi, Alberto & Pavanini, Nicola & Zhu, Haikun, 2022, "The Value of Financial Intermediation: Evidence from Online Debt Crowdfunding," CEPR Discussion Papers, Centre for Economic Policy Research, number 14740, Apr.
  2. Sebastian Doerr & Gazi Kabas & Steven Ongena, 2022, "Population aging and bank risk-taking," BIS Working Papers, Bank for International Settlements, number 1050, Nov.
  3. Emanuela Benincasa & Gazi Kabas & Steven Ongena, 2022, "“There is No Planet B", but for Banks “There are Countries B to Z": Domestic Climate Policy and Cross-Border Bank Lending," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-28, Apr.

2021

  1. Braggion, Fabio & von Meyerinck, Felix & Schaub, Nic, 2021, "Inflation and Individual Investors’ Behavior: Evidence from the German Hyperinflation," CEPR Discussion Papers, Centre for Economic Policy Research, number 15947, Mar.
  2. Gazi Kabaş & Kasper Roszbach, 2021, "Household Leverage and Labor Market Outcomes : Evidence from a Macroprudential Mortgage Restriction," Working Paper, Norges Bank, number 2021/14, Nov.

2020

  1. Braggion, Fabio & Frehen, Rik & Jerphanion, Emiel, 2020, "Credit Provision and Stock Trading: Evidence from the South Sea Bubble," CEPR Discussion Papers, Centre for Economic Policy Research, number 14532, Mar.
  2. Braggion, Fabio & Dwarkasing, Narly & Moore, Lyndon, 2020, "Value creating mergers – British bank consolidation, 1885-1925," CEPR Discussion Papers, Centre for Economic Policy Research, number 14663, Apr.

2019

  1. Gertsman, Gleb & Frehen, Rik & Werker, Bas J.M., 2019, "Would Ambiguity Averse Investors Hedge Risk in Equity Markets?," Other publications TiSEM, Tilburg University, School of Economics and Management, number bd3eb3e5-517e-40d4-aab9-e.
  2. Yavuz Arslan & Ahmet Degerli & Gazi Kabaş, 2019, "Unintended consequences of unemployment insurance benefits: the role of banks," BIS Working Papers, Bank for International Settlements, number 795, Jul.

2018

  1. Manconi, Alberto & Braggion, Fabio & Zhu, Haikun, 2018, "Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China," CEPR Discussion Papers, Centre for Economic Policy Research, number 12668, Jan.
  2. José María Liberti & Mitchell A. Petersen, 2018, "Information: Hard and Soft," NBER Working Papers, National Bureau of Economic Research, Inc, number 25075, Sep.

2016

  1. Cosemans, Mathijs & Frehen, Rik & Schotman, Peter & Bauer, Rob, 2016, "Estimating security betas using prior information based on firm fundamentals," Other publications TiSEM, Tilburg University, School of Economics and Management, number f0f91c05-b59e-454c-a102-a.
  2. Yavuz Arslan & Yunus Emrah Bulut & Tayyar Buyukbasaran & Gazi Kabas, 2016, "Liquidity Management of Non-Financial Firms : Cash Holdings and Lines of Credit," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1604.
  3. Charles W. Calomiris & Mauricio Larrain & José M. Liberti & Jason D. Sturgess, 2016, "How Collateral Laws Shape Lending and Sectoral Activity," NBER Working Papers, National Bureau of Economic Research, Inc, number 21911, Jan.

2015

  1. Yavuz Arslan & Gazi Kabas & Ahmet Ali Taskin, 2015, "Quantifying the Effects of Loan-to-Value Restrictions: Evidence from Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1535.
  2. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015, "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2015-001.

2014

  1. Fabio BRAGGION & Mintra DWARKASING & Steven ONGENA, 2014, "Household Inequality, Entrepreneurial Dynamism and Corporate Financing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-27, Apr, revised Oct 2015.

2013

  1. Giannetti, Mariassunta & Braggion, Fabio, 2013, "Public Debate and Stock Prices: Evidence from the Voting Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 9619, Sep.
  2. Ongena, Steven & Braggion, Fabio, 2013, "A Century of Firm ? Bank Relationships: Did Banking Sector Deregulation Spur Firms to Add Banks and Borrow More?," CEPR Discussion Papers, Centre for Economic Policy Research, number 9695, Oct.
  3. M. Fatih Ekinci & Gazi Kabas & Enes Sunel, 2013, "End-Point Bias in Trend-Cycle Decompositions : An Application to the Real Exchange Rates of Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1316.

2012

  1. Braggion, F. & Moore, L., 2012, "How Insiders Traded before Rules," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-007.
  2. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2012, "Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 9043, Jul.
  3. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012, "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-089.

2011

  1. Braggion, F. & Moore, L., 2011, "The Economic Benefits of Political Connections in Late Victorian Britain," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-039.
  2. de Jong, Frank & Degryse, Hans & van Kervel, Vincent, 2011, "The impact of dark trading and visible fragmentation on market quality," CEPR Discussion Papers, Centre for Economic Policy Research, number 8630, Nov.
  3. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011, "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-069.
  4. Beber, Alessandro & Driessen, Joost & Tuijp, Patrick, 2011, "Pricing Liquidity Risk with Heterogeneous Investment Horizons," CEPR Discussion Papers, Centre for Economic Policy Research, number 8710, Dec.
  5. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011, "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-002.

2010

  1. Cziraki, P. & de Goeij, P. C. & Renneboog, L.D.R., 2010, "Insider Trading, Option Exercises and Private Benefits of Control (Revision of DP 2010-32)," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-90.
  2. Bauer, R.M.M.J. & Cremers, K.J.M. & Frehen, R.G.P., 2010, "Pension Fund Performance and Costs: Small is Beautiful," MPRA Paper, University Library of Munich, Germany, number 23556, Apr.
  3. Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010, "Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-11.
  4. Sanders, E.A.T. & De Waegenaere, A.M.B. & Nijman, T.E., 2010, "When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-43.
  5. Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010, "Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-14.

2009

  1. Bosquet, K. & de Goeij, P. C. & Smedts, K., 2009, "Coexistence and Dynamics of Overconfidence and Strategic Incentives," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-81.
  2. Degryse, H.A. & de Goeij, P. C. & Kappert, P., 2009, "The Impact of Firm and Industry Characteristics on Small Firms' Capital Structure : Evidence from Dutch Panel Data," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-21.
  3. Hans Degryse & Frank de Jong & Jérémie Lefebvre, 2009, "An Empirical Analysis of Legal Insider Trading in the Netherlands," CESifo Working Paper Series, CESifo, number 2687.
  4. Rik G.P. Frehen & William N. Goetzmann & K. Geert Rouwenhorst, 2009, "New Evidence on the First Financial Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 15332, Sep.
  5. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009, "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper, University Library of Munich, Germany, number 23557, Jun.

2008

  1. Braggion, F. & Moore, L., 2008, "Dividend Policies in an Unregulated Market : The London Stock Exchange 1895-1905," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-83.
  2. Braggion, F., 2008, "Managers, Firms and (Secret) Social Networks : The Economics of Freemasonry," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-36.
  3. Joost Driessen & Tse-Chun Lin & Ludovic Phalippou, 2008, "A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14144, Jun.
  4. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008, "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-40.
  5. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008, "Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-53.

2007

  1. Fabio Braggion & Lawrence J. Christiano & Jorge Roldos, 2007, "Optimal Monetary Policy in a 'Sudden Stop'," NBER Working Papers, National Bureau of Economic Research, Inc, number 13254, Jul.
  2. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007, "Note on Integer-Valued Bilinear Time Series Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-47.

2006

  1. Abramitzky, R. & Braggion, F., 2006, "Migration and human capital : Self selection of indentured servants to the Americas," Other publications TiSEM, Tilburg University, School of Economics and Management, number 706160f4-2a30-4832-856d-6.
  2. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006, "Optimal Portfolio Choice with Annuitization," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-78.
  3. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006, "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-44.
  4. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006, "Local Asymptotic Normality and Efficient Estimation for inar (P) Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-45.

2005

  1. Otto van Hemert & Joost Driessen & Frank de Jong, 2005, "(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners," FMG Discussion Papers, Financial Markets Group, number dp538, May.
  2. Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005, "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers, Bank for International Settlements, number 191, Nov.
  3. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005, "Labor Income and the Demand for Long-term Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-95.
  4. Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005, "The Impact of Overnight Periods on Option Pricing," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-1.

2004

  1. de Jong, Frank & Rindi, Barbara & Cheung, Yiu Chung, 2004, "Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms," CEPR Discussion Papers, Centre for Economic Policy Research, number 4285, Mar.
  2. de Jong, Frank & Dahlquist, Magnus, 2004, "Pseudo Market Timing: Fact or Fiction?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4609, Sep.
  3. de Jong, Frank & Bortolotti, Bernardo & Nicodano, Giovanna & Schindele, Ibolya, 2004, "Privatization and Stock Market Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 4449, Jun.
  4. Perotti, Enrico & Driessen, Joost, 2004, "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers, Centre for Economic Policy Research, number 4180, Jan.
  5. Jose Maria Liberti, 2004, "Initiative, Incentives and Soft Information. How Does Delegation Impact The Role of Bank Relationship Managers?," Finance, University Library of Munich, Germany, number 0404023, Apr.
  6. Hallin, M. & Vermandele, C. & Werker, B.J.M., 2004, "Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-11.
  7. Renault, E. & Werker, B.J.M., 2004, "Stochatic Volatility Models with Transaction Time Risk," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-24.
  8. Andreou, E. & Werker, B.J.M., 2004, "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-56.

2003

  1. de Goeij, P. C. & Marquering, W., 2003, "Do Macroeconomic Announcements Cause Asymmetric Volatility," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-131.
  2. de Jong, Frank & Schotman, Peter C, 2003, "Price Discovery in Fragmented Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3987, Jul.
  3. Nijman, T.E. & Swinkels, L.A.P., 2003, "Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-20.
  4. Hallin, M. & Vermandele, C. & Werker, B.J.M., 2003, "Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-23.
  5. van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M., 2003, "Multivariate Option Pricing Using Dynamic Copula Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-122.
  6. Andreou, E. & Werker, B.J.M., 2003, "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-118.
  7. van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003, "Economic Hedging Portfolios," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-102.
  8. Meddahi, N. & Renault, E. & Werker, B.J.M., 2003, "GARCH and Irregularly Spaced Data," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-27.

2002

  1. Degryse, H.A. & de Jong, F.C.J.M. & van Ravenswaaij, M. & Wuyts, G., 2002, "Aggressive Orders and the Resiliency of a Limit Order Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-80.
  2. Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002, "Evaluating Style Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 3181, Jan.
  3. Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002, "Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-69.
  4. Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-9.
  5. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002, "The Dynamics of the Impact of Past Performance on Mutual Fund Flows," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-2.
  6. Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002, "The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-29.

2001

  1. de Jong, Frank & de Roon, Frans, 2001, "Time-Varying Market Integration and Expected Returns in Emerging Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3102, Dec.
  2. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2001, "On the Empirical Evidence of Mutual Fund Strategic Risk Taking," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-9.
  3. Beirlant, J. & Bouquiaux, C. & Werker, B.J.M., 2001, "Semiparametric Lower Bounds for Tail Index Estimation," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-65.
  4. Drost, F.C. & Werker, B.J.M., 2001, "Semiparametric Duration Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-11.

2000

  1. de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A., 2000, "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-35.
  2. Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000, "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0553, Aug.
  3. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000, "Common Factors in International Bond Returns," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-91.
  4. 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, Tilburg University, Center for Economic Research, number 2000-93.
  5. de Jong, A. & Macrae, V. & Nijman, T.E., 2000, "Derivatengebruik van Nederlandse Niet-Financiële Bedrijven," Research Memorandum, Tilburg University, School of Economics and Management, number 786.
  6. Feike C. Drost & Bas J. M. Werker, 2000, "Efficient Estimation in Semiparametric Time Series: the ACD Model," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0836, Aug.
  7. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000, "Incorporating Estimation Risk in Portfolio Choice," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-65.

1999

  1. de Jong, Frank & Schotman, Peter C & Mahieu, Ronald, 1999, "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 2296, Nov.
  2. de Jong, Frank, 1999, "Time-series and Cross-section Information in Affine Term Structure Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 2065, Feb.
  3. de Jong, F. & Mahieu, R. & Schotman, P. & Leeuwen, I., 1999, "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders," Papers, Southern California - School of Business Administration, number 99-56.
  4. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1999, "Currency Hedging for International Stock Portfolios : A General Approach," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-123.

1998

  1. Jenke R. ter Horst & Theo E. Nijman & Marno Verbeek, 1998, "Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces9820, Mar.
  2. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1998, "Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-07.
  3. de Roon, F.A. & Nijman, T.E., 1998, "Testing for mean-variance spanning : A survey," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-132.
  4. Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998, "Style Analysis and Performance Evaluation of Dutch Mutual Funds," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-50.
  5. Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998, "Performance analysis of international mutual funds incorporating market frictions," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-51.

1997

  1. de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M., 1997, "Exchange rate target zones : A new approach," Discussion Paper, Tilburg University, Center for Economic Research, number 97.04.
  2. de Roon, F.A. & Nijman, T.E. & Veld, C.H., 1997, "Analyzing specification errors in models for futures risk premia with hedging pressure," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-102.

1996

  1. de Jong, F.C.J.M. & Donders, M.W.M., 1996, "Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-108.
  2. de Roon, F. A. & Nijman, T. E. & Werker, B. J., 1996, "Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1996,63.
  3. Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996, "Pricing Term Structure Risk in Futures Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-78.
  4. Melenberg, B. & Werker, B.J.M., 1996, "On the Pricing of Options in Incomplete Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-19.

1995

  1. de Jong, F.C.J.M. & Nijman, T.E., 1995, "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1995-34.
  2. Jose Maria Liberti, 1995, "Un Analisis Dinamico del Comportamiento de la Inversión en Capital Humano," Working Papers, Universidad de San Andres, Departamento de Economia, number 8, Jul, revised Jul 1995.

1994

  1. de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994, "Price effects of trading and components of the bid-ask spread on the Paris Bource," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-54.
  2. Nijman, T. & Sentana, E., 1994, "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers, Centro de Estudios Monetarios Y Financieros-, number 9419.
  3. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994, "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-105.
  4. Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994, "Adaptive Estimation in Time Series Models," Papers, Tilburg - Center for Economic Research, number 9488.
  5. Drost, F.C. & Werker, B.J.M., 1994, "Closing the GARCH gap : Continuous time GARCH modeling," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-2.

1993

  1. de Jong, F., 1993, "Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates," Papers, Tilburg - Center for Economic Research, number 9381.
  2. De Jong, F. & Nijman, T. & Roell, A., 1993, "A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International," Papers, Tilburg - Center for Economic Research, number 9329.
  3. Drost, F.C. & Werker, B.J.M., 1993, "A Note on Robinson's Test of Independence," Papers, Tilburg - Center for Economic Research, number 9315.

1992

  1. Verbeek, M. & Nijman, T., 1992, "Incomplete Panels and Selection Bias: A Survey," Papers, Tilburg - Center for Economic Research, number 9207.
  2. Verbeek, M. & Nijman, T., 1992, "Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections," Papers, Tilburg - Center for Economic Research, number 9201.
  3. Drost, F.C. & Nijman, T.E., 1992, "Temporal Aggregation of Garch Processes," Papers, Tilburg - Center for Economic Research, number 9240.
  4. Verbeek, M.J.C.M. & Nijman, T.E., 1992, "Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)," Discussion Paper, Tilburg University, Center for Economic Research, number 1992-1.

1991

  1. De Jong , F., 1991, "A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model," Papers, Tilburg - Center for Economic Research, number 9155.
  2. De Jong, F. & Van Der Ploeg, F., 1991, "Seigiorage, Taxes, Government Debt and EMS," Papers, Tilburg - Center for Economic Research, number 9134.
  3. Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991, "Premia in Forward Foreign Exchange as Unobserved Components," Papers, Tilburg - Center for Economic Research, number 9112.
  4. Nijman, T.E. & Palm, F.C., 1991, "Recent Developments in Modeling Volatility in Financial Data," Papers, Tilburg - Center for Economic Research, number 9168.

1990

  1. Verbeek, M. & Nijman, T., 1990, "Testing For Selectivity Bias In Panel Data Models," Papers, Tilburg - Center for Economic Research, number 9018.
  2. Verbeek, M. & Nijman, T., 1990, "Can Cohort Data Be Treated As Genuine Panel Data," Papers, Tilburg - Center for Economic Research, number 9064.
  3. Nijman, T. & Beetsma, R., 1990, "Empirical Tests Of A Simple Pricing Model For Sugar Futures," Papers, Tilburg - Center for Economic Research, number 9068.

1989

  1. Nijman, T. & Palm, F., 1989, "Generalized Least Squares Estimation Of Linear Models Containing Rational Future Exepectations," Papers, Tilburg - Center for Economic Research, number 8902.
  2. Nijman, T. & Verbeek, M., 1989, "The Nonresponse Bias In The Analysis Of The Determinants Of Total Expenditures Of Households Based On Panel Data," Papers, Tilburg - Center for Economic Research, number 8936.
  3. Nijman, T.E. & Verbeek, M.J.C.M., 1989, "The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data," Discussion Paper, Tilburg University, Center for Economic Research, number 1989-36.
  4. Nijman, T.E., 1989, "A natural approach to optimal forecasting in case of preliminary observations," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 404.

1988

  1. Nijman, T.E. & Steel, M.F.J., 1988, "Exclusion restrictions in instrumental variables equations," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 327.
  2. Nijman, T.E. & Verbeek, M.J.C.M. & van Soest, A.H.O., 1988, "The optimal design of rotating panels in a simple analysis of variance model," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 318.
  3. Nijman, T.E. & Verbeek, M.J.C.M., 1988, "Estimation of time dependent parameters in linear models using cross sections, panels or both," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 302.

1987

  1. Nijman, T.E. & Palm, F.C., 1987, "Predictive accuracy gain from disaggregate sampling in ARIMA-models," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 273.
  2. Nijman, T.E. & Palm, F.C., 1987, "Consistent estimation of regression models with incompletely observed exogenous variables," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 272.

1986

  1. Nijman, T.E. & Palm, F.C., 1986, "Efficiency gains due to using missing data procedures in regression models," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 240.
  2. Nijman, T.E. & Palm, F.C., 1986, "Consistent estimation of rational expectation models," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 216.

Journal articles

2025

  1. Yavuz Arslan & Ahmet Degerli & Gazi Kabas, 2025, "Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks," Management Science, INFORMS, volume 71, issue 4, pages 2847-2866, April, DOI: 10.1287/mnsc.2022.03217.

2024

  1. Doerr, Sebastian & Kabaş, Gazi & Ongena, Steven, 2024, "Population Aging and Bank Risk-Taking," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 59, issue 7, pages 3037-3061, November.

2023

  1. Emanuela Benincasa & Gazi Kabas & Steven Ongena, 2023, "Uncoordinated Climate Policies: Implications for Cross-Border Lending," EconPol Forum, CESifo, volume 24, issue 01, pages 28-30, January.

2022

  1. Braggion, Fabio & Dwarkasing, Narly & Moore, Lyndon, 2022, "Value creating mergers: British bank consolidation, 1885–1925," Explorations in Economic History, Elsevier, volume 83, issue C, DOI: 10.1016/j.eeh.2021.101422.

2021

  1. Fabio Braggion & Mintra Dwarkasing & Steven Ongena, 2021, "Household Inequality, Entrepreneurial Dynamism, and Corporate Financing
    [The colonial origins of comparative development: An empirical investigation]    ," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 5, pages 2448-2507.
  2. Barahona, Ricardo & Driessen, Joost & Frehen, Rik, 2021, "Can unpredictable risk exposure be priced?," Journal of Financial Economics, Elsevier, volume 139, issue 2, pages 522-544, DOI: 10.1016/j.jfineco.2020.08.006.
  3. Cosemans, Mathijs & Frehen, Rik, 2021, "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, volume 140, issue 2, pages 460-483, DOI: 10.1016/j.jfineco.2020.12.012.

2020

  1. Braggion, Fabio & Manconi, Alberto & Zhu, Haikun, 2020, "Credit and social unrest: Evidence from 1930s China," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 295-315, DOI: 10.1016/j.jfineco.2020.05.001.

2019

  1. Braggion, Fabio & Giannetti, Mariassunta, 2019, "Changing corporate governance norms: Evidence from dual class shares in the UK," Journal of Financial Intermediation, Elsevier, volume 37, issue C, pages 15-27, DOI: 10.1016/j.jfi.2017.05.001.
  2. Fabio Braggion & Steven Ongena, 2019, "Banking Sector Deregulation, Bank–Firm Relationships and Corporate Leverage," The Economic Journal, Royal Economic Society, volume 129, issue 618, pages 765-789.

2018

  1. Fabio Braggion & Mintra Dwarkasing & Steven Ongena, 2018, "Household wealth inequality, entrepreneurs’ financial constraints, and the great recession: evidence from the Kauffman Firm Survey," Small Business Economics, Springer, volume 50, issue 3, pages 533-543, March, DOI: 10.1007/s11187-017-9906-2.

2017

  1. Fabio Braggion & Narly Dwarkasing & Lyndon Moore, 2017, "Nothing Special About Banks: Competition and Bank Lending in Britain, 1885–1925," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 10, pages 3502-3537.

2016

  1. Mathijs Cosemans & Rik Frehen & Peter C. Schotman & Rob Bauer, 2016, "Estimating Security Betas Using Prior Information Based on Firm Fundamentals," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 4, pages 1072-1112.

2013

  1. Braggion, Fabio & Moore, Lyndon, 2013, "The Economic Benefits of Political Connections in Late Victorian Britain," The Journal of Economic History, Cambridge University Press, volume 73, issue 1, pages 142-176, March.
  2. Fabio Braggion & Lyndon Moore, 2013, "How insiders traded before rules," Business History, Taylor & Francis Journals, volume 55, issue 4, pages 565-584, June, DOI: 10.1080/00076791.2012.741973.
  3. Frank de Jong & Loes Wingens, 2013, "Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds," Journal of Financial Perspectives, EY Global FS Institute, volume 1, issue 1, pages 159-168.
  4. Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2013, "Spread the news: The impact of news on the European sovereign bond markets during the crisis," Journal of International Money and Finance, Elsevier, volume 34, issue C, pages 83-101, DOI: 10.1016/j.jimonfin.2012.11.005.
  5. Joost Driessen & Tse-Chun Lin & Otto Van Hemert, 2013, "How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments," Review of Finance, European Finance Association, volume 17, issue 1, pages 369-401.
  6. Driessen, Joost & Maenhout, Pascal, 2013, "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 518-536, DOI: 10.1016/j.jbankfin.2012.09.008.
  7. Frehen, Rik G.P. & Goetzmann, William N. & Geert Rouwenhorst, K., 2013, "New evidence on the first financial bubble," Journal of Financial Economics, Elsevier, volume 108, issue 3, pages 585-607, DOI: 10.1016/j.jfineco.2012.12.008.
  8. Mehmet Fatih Ekinci & Gazi Kabas & Enes Sunel, 2013, "End-Point Bias in Trend-Cycle Decompositions : An Application to the Real Exchange Rates of Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 13, issue 3, pages 61-71.

2012

  1. Driessen, Joost & Lin, Tse-Chun & Phalippou, Ludovic, 2012, "A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 3, pages 511-535, June.
  2. Driessen, Joost & Van Hemert, Otto, 2012, "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 37-61, DOI: 10.1016/j.jfineco.2012.02.006.

2011

  1. Fabio Braggion, 2011, "Managers And (Secret) Social Networks: The Influence Of The Freemasonry On Firm Performance," Journal of the European Economic Association, European Economic Association, volume 9, issue 6, pages 1053-1081, December, DOI: j.1542-4774.2011.01031.x.
  2. Fabio Braggion & Lyndon Moore, 2011, "Dividend Policies in an Unregulated Market: The London Stock Exchange, 1895--1905," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 9, pages 2935-2973.
  3. Dion Bongaerts & Frank De Jong & Joost Driessen, 2011, "Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, volume 66, issue 1, pages 203-240, February, DOI: j.1540-6261.2010.01630.x.
  4. Driessen, Joost & Perotti, Enrico, 2011, "Confidence building on Euro convergence: Evidence from currency options," Journal of International Money and Finance, Elsevier, volume 30, issue 3, pages 474-491, April.
  5. Andrew Hertzberg & José María Liberti & Daniel Paravisini, 2011, "Public Information and Coordination: Evidence from a Credit Registry Expansion," Journal of Finance, American Finance Association, volume 66, issue 2, pages 379-412, April.
  6. Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker, 2011, "Optimal Annuity Risk Management," Review of Finance, European Finance Association, volume 15, issue 4, pages 799-833.

2010

  1. Frank De Jong & Peter C. Schotman, 2010, "Price Discovery in Fragmented Markets," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 1, pages 1-28, Winter.
  2. José M. Liberti & Atif R. Mian, 2010, "Collateral Spread and Financial Development," Journal of Finance, American Finance Association, volume 65, issue 1, pages 147-177, February, DOI: 10.1111/j.1540-6261.2009.01526.x.
  3. Andrew Hertzberg & Jose Maria Liberti & Daniel Paravisini, 2010, "Information and Incentives Inside the Firm: Evidence from Loan Officer Rotation," Journal of Finance, American Finance Association, volume 65, issue 3, pages 795-828, June, DOI: 10.1111/j.1540-6261.2010.01553.x.
  4. Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo, 2010, "Longevity risk and capital markets: The 2008-2009 update," Insurance: Mathematics and Economics, Elsevier, volume 46, issue 1, pages 135-138, February.
  5. Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker, 2010, "When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 2, pages 741-780, February.

2009

  1. Braggion, Fabio & Christiano, Lawrence J. & Roldos, Jorge, 2009, "Optimal monetary policy in a [`]sudden stop'," Journal of Monetary Economics, Elsevier, volume 56, issue 4, pages 582-595, May.
  2. Joost Driessen & Pascal J. Maenhout & Grigory Vilkov, 2009, "The Price of Correlation Risk: Evidence from Equity Options," Journal of Finance, American Finance Association, volume 64, issue 3, pages 1377-1406, June, DOI: 10.1111/j.1540-6261.2009.01467.x.
  3. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2009, "Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 44, issue 6, pages 1345-1373, December.
  4. Jose M. Liberti & Atif R. Mian, 2009, "Estimating the Effect of Hierarchies on Information Use," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4057-4090, October.

2008

  1. Dahlquist, Magnus & de Jong, Frank, 2008, "Pseudo Market Timing: A Reappraisal," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 3, pages 547-579, September.
  2. de Jong, Frank, 2008, "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 1, pages 1-13, February.
  3. De Jong, Frank, 2008, "Valuation of pension liabilities in incomplete markets," Journal of Pension Economics and Finance, Cambridge University Press, volume 7, issue 3, pages 277-294, November.
  4. K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008, "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 5, pages 2209-2242, September.
  5. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008, "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, volume 32, issue 12, pages 2706-2715, December.
  6. Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008, "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1050-1061, June.
  7. Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J.M., 2008, "Performance information dissemination in the mutual fund industry," Journal of Financial Markets, Elsevier, volume 11, issue 2, pages 144-159, May.
  8. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008, "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 2, pages 505-519, April.
  9. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008, "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 2, pages 492-504, April.

2007

  1. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2007, "Privatization and stock market liquidity," Journal of Banking & Finance, Elsevier, volume 31, issue 2, pages 297-316, February.
  2. Driessen, Joost & Laeven, Luc, 2007, "International portfolio diversification benefits: Cross-country evidence from a local perspective," Journal of Banking & Finance, Elsevier, volume 31, issue 6, pages 1693-1712, June.
  3. Joost Driessen & Pascal Maenhout, 2007, "An Empirical Portfolio Perspective on Option Pricing Anomalies," Review of Finance, European Finance Association, volume 11, issue 4, pages 561-603.

2006

  1. Abramitzky, Ran & Braggion, Fabio, 2006, "Migration and Human Capital: Self-Selection of Indentured Servants to the Americas," The Journal of Economic History, Cambridge University Press, volume 66, issue 4, pages 882-905, December.
  2. de Goeij, Peter & Marquering, Wessel, 2006, "Macroeconomic announcements and asymmetric volatility in bond returns," Journal of Banking & Finance, Elsevier, volume 30, issue 10, pages 2659-2680, October.
  3. Meddahi, Nour & Renault, Eric & Werker, Bas, 2006, "GARCH and irregularly spaced data," Economics Letters, Elsevier, volume 90, issue 2, pages 200-204, February.

2005

  1. de Goeij, Peter & Marquering, Wessel, 2005, "The generalized asymmetric dynamic covariance model," Finance Research Letters, Elsevier, volume 2, issue 2, pages 67-74, June.
  2. Canton, Erik & de Jong, Frank, 2005, "The demand for higher education in The Netherlands, 1950-1999," Economics of Education Review, Elsevier, volume 24, issue 6, pages 651-663, December.
  3. de Jong, Frank & de Roon, Frans A., 2005, "Time-varying market integration and expected returns in emerging markets," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 583-613, December.
  4. Joost Driessen, 2005, "Is Default Event Risk Priced in Corporate Bonds?," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 1, pages 165-195.
  5. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005, "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, volume 126, issue 1, pages 201-232, May.
  6. Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M., 2005, "Yet another look at mutual fund tournaments," Journal of Empirical Finance, Elsevier, volume 12, issue 1, pages 127-137, January.
  7. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005, "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, volume 37, issue 1, pages 101-114, August.

2004

  1. Peter de Goeij, 2004, "Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 4, pages 531-564.
  2. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004, "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, volume 7, issue 2, pages 99-127, August.
  3. Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004, "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 461-481, September.
  4. ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004, "Evaluating style analysis," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 29-53, January.
  5. Drost, Feike C & Werker, Bas J M, 2004, "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, volume 22, issue 1, pages 40-50, January.
  6. Croux, Christophe & Renault, Eric & Werker, Bas, 2004, "Dynamic factor models," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 223-230, April.

2003

  1. 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, volume 38, issue 3, pages 635-672, September.
  2. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003, "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 629-656, October.
  3. de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M., 2003, "Currency hedging for international stock portfolios: The usefulness of mean-variance analysis," Journal of Banking & Finance, Elsevier, volume 27, issue 2, pages 327-349, February.

2002

  1. de Jong, Frank, 2002, "Measures of contributions to price discovery: a comparison," Journal of Financial Markets, Elsevier, volume 5, issue 3, pages 323-327, July.

2001

  1. F. De Jong & F. C. Drost & B. J. M. Werker, 2001, "A Jump‐diffusion Model for Exchange Rates in a Target Zone," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 55, issue 3, pages 270-300, November, DOI: 10.1111/1467-9574.00170.
  2. DeRoon, Frans A. & Nijman, Theo E., 2001, "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, volume 8, issue 2, pages 111-155, May.
  3. ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno, 2001, "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Journal of Empirical Finance, Elsevier, volume 8, issue 4, pages 345-373, September.

2000

  1. Fabio Braggion, 2000, "Spesa pubblica e geografia delle imprese," ECONOMIA PUBBLICA, FrancoAngeli Editore, volume 2000, issue 2.
  2. de Jong, Frank, 2000, "Time Series and Cross-Section Information in Affine Term-Structure Models," Journal of Business & Economic Statistics, American Statistical Association, volume 18, issue 3, pages 300-314, July.
  3. Frans A. De Roon & Theo E. Nijman & Chris Veld, 2000, "Hedging Pressure Effects in Futures Markets," Journal of Finance, American Finance Association, volume 55, issue 3, pages 1437-1456, June, DOI: 10.1111/0022-1082.00253.

1999

  1. de Jong, Frank & Santa-Clara, Pedro, 1999, "The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 34, issue 1, pages 131-157, March.

1998

  1. De Jong, Frank & Mahieu, Ronald & Schotman, Peter, 1998, "Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2," Journal of International Money and Finance, Elsevier, volume 17, issue 1, pages 5-27, February.
  2. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998, "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 2, pages 237-243, April.
  3. de Roon, Frans A. & Nijman, Theo E. & Veld, Chris, 1998, "Pricing Term Structure Risk in Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 33, issue 1, pages 139-157, March.

1997

  1. de Jong, Frank & Nijman, Theo, 1997, "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, volume 4, issue 2-3, pages 259-277, June.

1996

  1. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996, "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, volume 3, issue 2, pages 193-213, June.
  2. Nijman, Theo & Sentana, Enrique, 1996, "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, volume 71, issue 1-2, pages 71-87.
  3. Drost, Feike C. & Werker, Bas J. M., 1996, "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, volume 74, issue 1, pages 31-57, September.

1995

  1. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995, "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," European Economic Review, Elsevier, volume 39, issue 7, pages 1277-1301, August.

1994

  1. de Jong, F, 1994, "A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 9, issue 1, pages 31-45, Jan.-Marc.

1993

  1. Verbeek, Marno & Nijman, Theo, 1993, "Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections," Journal of Econometrics, Elsevier, volume 59, issue 1-2, pages 125-136, September.
  2. Nijman, Theo E & Palm, Franz C & Wolff, Christian C P, 1993, "Premia in Forward Foreign Exchange as Unobserved Components: A Note," Journal of Business & Economic Statistics, American Statistical Association, volume 11, issue 3, pages 361-365, July.
  3. Drost, Feike C & Nijman, Theo E, 1993, "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, volume 61, issue 4, pages 909-927, July.

1992

  1. de Jong, Frank & Kemna, Angelien & Kloek, Teun, 1992, "A contribution to event study methodology with an application to the Dutch stock market," Journal of Banking & Finance, Elsevier, volume 16, issue 1, pages 11-36, February.
  2. Verbeek, Marno & Nijman, Theo, 1992, "Testing for Selectivity Bias in Panel Data Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 33, issue 3, pages 681-703, August.
  3. Nijman, Theo & Verbeek, Marno, 1992, "The optimal choice of controls and pre-experimental observations," Journal of Econometrics, Elsevier, volume 51, issue 1-2, pages 183-189.
  4. Verbeek, Marno & Nijman, Theo, 1992, "Can Cohort Data Be Treated as Genuine Panel Data?," Empirical Economics, Springer, volume 17, issue 1, pages 9-23.
  5. Nijman, Theo & Verbeek, Marno, 1992, "Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 7, issue 3, pages 243-257, July-Sept.

1991

  1. Nijman, Theo & Verbeek, Marno & van Soest, Arthur, 1991, "The efficiency of rotating-panel designs in an analysis-of-variance model," Journal of Econometrics, Elsevier, volume 49, issue 3, pages 373-399, September.
  2. Nijman, Theo & Palm, Franz, 1991, "Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 32, issue 2, pages 383-389, May.

1990

  1. Nijman, Theo & Verbeek, Marno, 1990, "Estimation of time-dependent parameters in linear models using cross-sections, panels, or both," Journal of Econometrics, Elsevier, volume 46, issue 3, pages 333-346, December.
  2. Nijman, Theo E & Palm, Franz C, 1990, "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, volume 8, issue 4, pages 405-415, October.

1986

  1. Nijman, T E & Palm, F C, 1986, "The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach," Journal of Business & Economic Statistics, American Statistical Association, volume 4, issue 1, pages 47-58, January.

1984

  1. Palm, Franz C & Nijman, Theo E, 1984, "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, volume 52, issue 6, pages 1415-1435, November.

1982

  1. Palm, F. C. & Nijman, T. E., 1982, "Linear regression using both temporally aggregated and temporally disaggregated data," Journal of Econometrics, Elsevier, volume 19, issue 2-3, pages 333-343, August.

Books

2009

  1. de Jong,Frank & Rindi,Barbara, 2009, "The Microstructure of Financial Markets," Cambridge Books, Cambridge University Press, number 9780521687270.

Chapters

2014

  1. Rik Frehen & William N. Goetzmann & K. Geert Rouwenhorst, 2014, "Dutch Securities for American Land Speculation in the Late Eighteenth Century," NBER Chapters, National Bureau of Economic Research, Inc, "Housing and Mortgage Markets in Historical Perspective".

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