IDEAS home Printed from https://ideas.repec.org/d/keuvanl.html

Publications

by members of

Universiteit van Amsterdam → Faculteit Economie en Bedrijfskunde → Afdeling Kwantitatieve Economie

University of Amsterdam → Faculty of Economics and Business → Department of Quantitative Economics

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 | Chapters | Software components |

Working papers

2026

  1. Matteo Ferrari & Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2026, "Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures," Papers, arXiv.org, number 2606.30070, Jun.
  2. H. Peter Boswijk & Roger J. A. Laeven & Niels Marijnen & Evgenii Vladimirov, 2026, "Characteristic Function-Based Factor Modeling of Affine Jump-Diffusions using Options," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-026/III, May.

2025

  1. H. Peter Boswijk & Jeroen Dalderop & Roger J. A. Laeven & Niels Marijnen, 2025, "Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-022/III, Mar.
  2. Mucahit Aygun & Roger J. A. Laeven & Mitja Stadje, 2025, "Higher-Order Ambiguity Attitudes," Papers, arXiv.org, number 2501.13143, Jan.
  3. Guanyu Jin & Roger J. A. Laeven & Dick den Hertog, 2025, "Robust Optimization of Rank-Dependent Models with Uncertain Probabilities," Papers, arXiv.org, number 2502.11780, Feb, revised Apr 2025.
  4. Roger J. A. Laeven & Matteo Ferrari & Emanuela Rosazza Gianin & Marco Zullino, 2025, "Measuring Financial Resilience Using Backward Stochastic Differential Equations," Papers, arXiv.org, number 2505.07502, May, revised Jan 2026.
  5. Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2025, "Generalized Orlicz premia," Papers, arXiv.org, number 2507.09181, Jul, revised Jul 2026.
  6. Laeven, R.J.A. & Schoenmakers, John G.M. & Schweizer, Nikolaus & Stadje, M.A., 2025, "Robust multiple stopping — A duality approach," Other publications TiSEM, Tilburg University, School of Economics and Management, number 132c6688-3f07-47d8-a4dc-b.
  7. Thijs Kamma & Antoon Pelsser, 2025, "Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation," Papers, arXiv.org, number 2502.13678, Feb.

2024

  1. Dalderop, J. & Linton, O. B., 2024, "Estimating a Density Ratio Model for Stock Market Risk and Option Demand," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2411, Mar.
  2. Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2024, "On Geometrically Convex Risk Measures," Papers, arXiv.org, number 2403.06188, Mar.
  3. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024, "Geometric BSDEs," Papers, arXiv.org, number 2405.09260, May, revised Aug 2026.
  4. Guanyu Jin & Roger J. A. Laeven & Dick den Hertog & Aharon Ben-Tal, 2024, "Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty," Papers, arXiv.org, number 2412.05234, Dec.
  5. van Bruggen, Paul & Laeven, Roger J. A. & van de Kuilen, Gijs, 2024, "Higher-Order Risk Attitudes for Non-Expected Utility," Discussion Paper, Tilburg University, Center for Economic Research, number 2024-019.
  6. Cars Hommes & Stefanie J. Huber & Daria Minina & Isabelle Salle, 2024, "Learning in a Complex World Insights from an OLG Lab Experiment," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 283, Mar.

2023

  1. Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven, 2023, "Elicitability of Return Risk Measures," Papers, arXiv.org, number 2302.13070, Feb, revised Mar 2023.
  2. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023, "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers, arXiv.org, number 2307.03447, Jul, revised Jul 2023.
  3. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023, "Law-Invariant Return and Star-Shaped Risk Measures," Papers, arXiv.org, number 2310.19552, Oct.
  4. Roger J. A. Laeven & Mitja Stadje, 2023, "A Rank-Dependent Theory for Decision under Risk and Ambiguity," Papers, arXiv.org, number 2312.05977, Dec, revised Mar 2026.
  5. Ramon F. A. de Punder & Cees G. H. Diks & Roger J. A. Laeven & Dick J. C. van Dijk, 2023, "Localizing Strictly Proper Scoring Rules," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-084/III, 12, revised 28 May 2025.

2022

  1. Daniel Dimitrov & Sweder van Wijnbergen, 2022, "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-034/VI, May.
  2. Daniel Dimitrov, 2022, "Intergenerational Risk Sharing with Market Liquidity Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-028/VI, Mar.
  3. Roger J. A. Laeven & Emanuela Rosazza Gianin, 2022, "Quasi-Logconvex Measures of Risk," Papers, arXiv.org, number 2208.07694, Jul.
  4. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022, "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers, arXiv.org, number 2210.06217, Oct.
  5. Mehlkopf, Roel & van Bilsen, Servaas & Pelsser, A., 2022, "Solidariteitsreserve: Doelen en evenwichtigheid," Other publications TiSEM, Tilburg University, School of Economics and Management, number edea5254-299d-4097-92eb-8.
  6. Mario P. Rothfelder & Otilia Boldea, 2022, "Testing for a Threshold in Models with Endogenous Regressors," Papers, arXiv.org, number 2207.10076, Jul.

2021

  1. De Gooijer, Jan G. & Reichardt, Hugo, 2021, "A multi-step kernel–based regression estimator that adapts to error distributions of unknown form," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 115083, Nov.
  2. Louis R. Eeckhoudt & Roger J. A. Laeven, 2021, "Probability Premium and Attitude Towards Probability," Papers, arXiv.org, number 2105.00054, Apr.
  3. Raviar Karim & Roger J. A. Laeven & Michel Mandjes, 2021, "Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes," Papers, arXiv.org, number 2106.03560, Jun.
  4. Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2021, "Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures," Papers, arXiv.org, number 2107.01730, Jul, revised Jul 2026.
  5. Can, S.U. & Einmahl, John & Laeven, Roger, 2021, "Two-Sample Testing for Tail Copulas with an Application to Equity Indices," Discussion Paper, Tilburg University, Center for Economic Research, number 2021-017.
  6. Mehlkopf, Roel & van Bilsen, Servaas & Pelsser, Antoon, 2021, "De voordelen van de solidariteitsreserve ontrafeld," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2dc7ff6e-cecf-439f-b6d7-8.
  7. Antonin Bergeaud & Clement Malgouyres & Clement Mazet-Sonilhac & Sara Signorelli, 2021, "Technological change and domestic outsourcing," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1784, Jul.
  8. Sara Signorelli, 2021, "Immigration qualifiée : une solution face aux pénuries de main d’oeuvre ?," Institut des Politiques Publiques, HAL, number halshs-03165728, Mar.

2020

  1. S. Broda & Juan Carlos Arismendi-Zambrano, 2020, "On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n302-20.pdf.
  2. Yi He & Sombut Jaidee & Jiti Gao, 2020, "Most Powerful Test against High Dimensional Free Alternatives," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/20.
  3. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020, "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers, arXiv.org, number 2006.01802, Jun, revised Sep 2021.
  4. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2020, "Goodness-of-fit testing for copulas: A distribution-free approach," Other publications TiSEM, Tilburg University, School of Economics and Management, number 211b2be9-b46e-41e2-9b95-1.
  5. Sara Signorelli, 2020, "Too Constrained to Grow Analysis of Firms' Response to the Alleviation of Skill Shortages," PSE Working Papers, HAL, number halshs-02961493, Oct.
  6. Sara Signorelli, 2020, "Do Skilled Migrants Compete with Native Workers? Analysis of a Selective Immigration Policy," Working Papers, HAL, number halshs-01983071, Jul.
  7. Lina Zhang, 2020, "Spillovers of Program Benefits with Missing Network Links," Papers, arXiv.org, number 2009.09614, Sep, revised Aug 2024.
  8. David T. Frazier & Eric Renault & Lina Zhang & Xueyan Zhao, 2020, "Weak Identification in Discrete Choice Models," Papers, arXiv.org, number 2011.06753, Nov, revised Jan 2021.
  9. Tommasi, Denni & Zhang, Lina, 2020, "Bounding Program Benefits When Participation Is Misreported," IZA Discussion Papers, IZA Network @ LISER, number 13430, Jun.
  10. Lina Zhang & David T. Frazier & Don S. Poskitt & Xueyan Zhao, 2020, "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 34/20.

2019

  1. Jan Dhaene & Roger J. A. Laeven & Yiying Zhang, 2019, "Systemic Risk: Conditional Distortion Risk Measures," Papers, arXiv.org, number 1901.04689, Jan, revised Jan 2019.
  2. Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019, "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1952, Jun.
  3. Thijs Kamma & Antoon Pelsser, 2019, "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers, arXiv.org, number 1906.12317, Jun, revised Oct 2019.

2018

  1. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Yuan Yue, 2018, "Earthquake risk embedded in property prices: Evidence from five Japanese cities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-061/III, Jul.
  2. Rothfelder, Mario, 2018, "Three essays on time-varying parameters and time series networks," Other publications TiSEM, Tilburg University, School of Economics and Management, number fc7a10c0-7eee-479a-ac22-b.

2017

  1. Louis R. Eeckhoudt & Roger J. A. Laeven & Harris Schlesinger, 2017, "Risk Apportionment: The Dual Story," Papers, arXiv.org, number 1712.02182, Dec.
  2. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2017, "Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-052.
  3. Hainaut, D. & Devolder, P. & Pelsser, A., 2017, "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017011, Jan.
  4. Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017, "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-69, Dec, revised Jan 2018.

2016

  1. Juan Arismendi & Simon Broda, 2016, "Multivariate Elliptical Truncated Moments," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2016-06, Sep.
  2. He, Yi, 2016, "Multivariate extreme value statistics for risk assessment," Other publications TiSEM, Tilburg University, School of Economics and Management, number 119cc8b9-5198-41d6-a648-f.
  3. Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2016, "Robust Optimal Risk Sharing and Risk Premia in Expanding Pools," Papers, arXiv.org, number 1601.06979, Jan.
  4. Louis R. Eeckhoudt & Roger J. A. Laeven, 2016, "Dual Moments and Risk Attitudes," Papers, arXiv.org, number 1612.03347, Dec, revised Mar 2018.
  5. Pelsser, Antoon & Salahnejhad, Ahmad & van den Akker, Ramon, 2016, "Market-Consistent Valuation of Pension Liabilities," Other publications TiSEM, Tilburg University, School of Economics and Management, number 50e0b61d-73b9-49a8-9443-6.
  6. Roorda, B. & Schumacher, Hans, 2016, "Weakly time consistent concave valuations and their dual representations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 132bdd0b-40dd-44bd-ab64-c.
  7. Shu, Lei & Melenberg, Bertrand & Schumacher, Hans, 2016, "An Evaluation of the nFTK," Other publications TiSEM, Tilburg University, School of Economics and Management, number 7b43cdd2-2278-42b7-834a-1.
  8. Kleinow, Torsten & Schumacher, Hans, 2016, "Financial fairness and conditional indexation," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8beebbc8-47f4-4063-a099-e.
  9. Schumacher, J.M., 2016, "Vergelijkingen," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8d92083c-1423-4d90-bca0-b.
  10. Camlibel, M.K. & Schumacher, Hans, 2016, "Linear passive systems and maximal monotone mappings," Other publications TiSEM, Tilburg University, School of Economics and Management, number de20953c-62e8-46a6-8af4-7.

2015

  1. Louis R. Eeckhoudt & Roger J. A. Laeven, 2015, "Risk Aversion in the Small and in the Large under Rank-Dependent Utility," Papers, arXiv.org, number 1512.08037, Dec.
  2. Bao, Hailong & Ponds, Eduard & Schumacher, Hans, 2015, "Multi-Period Risk Sharing under Financial Fairness," Other publications TiSEM, Tilburg University, School of Economics and Management, number 835f69a4-709c-4967-b15c-6.

2014

  1. Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014, "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 540, Dec.
  2. He, Y. & Einmahl, J.H.J., 2014, "Estimation of Extreme Depth-Based Quantile Regions," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-035.
  3. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2014, "Expected Utility and Catastrophic Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-133/III, Oct.
  4. Can, S.U. & Einmahl, J.H.J. & Khmaladze, E.V. & Laeven, R.J.A., 2014, "Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-041.
  5. Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014, "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 51, DOI: 10.2139/ssrn.2438625.
  6. Stadje, M.A. & Pelsser, A., 2014, "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-002.

2013

  1. Simon A. Broda, 2013, "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-04, May.
  2. Simon A. Broda & Raymond Kan, 2013, "On Distributions of Ratios," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-10, Dec.
  3. Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2013, "Partial Symbolic Transfer Entropy," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 13-16.
  4. Diks, C.G.H. & Wolski, M., 2013, "Nonlinear Granger Causality: Guidelines for Multivariate Analysis," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 13-15.
  5. {L}ukasz Delong & Antoon Pelsser, 2013, "Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims," Papers, arXiv.org, number 1303.4082, Mar.
  6. Eric Beutner & Janina Schweizer & Antoon Pelsser, 2013, "Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo," Papers, arXiv.org, number 1309.5274, Sep, revised Apr 2014.
  7. Anne Balter & Antoon Pelsser & Peter Schotman, 2013, "Extrapolating the term structure of interest rates with parameter uncertainty," Papers, arXiv.org, number 1312.5073, Dec.
  8. Chen, Z. & Pelsser, A. & Ponds, E.H.M., 2013, "Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2429d59c-207f-46d4-9fa2-e.
  9. Roorda, B. & Schumacher, J.M., 2013, "Membership conditions for consistent families of monetary valuations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 26b66f36-0dc9-4ccf-9b1b-0.

2012

  1. Reddy, P.V. & Schumacher, J.M. & Engwerda, J.C., 2012, "Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-001.

2011

  1. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011, "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-39, Sep.
  2. Diks, C.G.H. & Wagener, F.O.O., 2011, "Phenomenological and ratio bifurcations of a class of discrete time stochastic processes," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-03.
  3. Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2011, "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-12.
  4. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011, "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print, HAL, number hal-00834423, Jun, DOI: 10.1016/j.jeconom.2011.04.001.
  5. Jan G. de Gooijer & Ao Yuan, 2011, "Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-011/4, Jan.
  6. Ao Yuan & Jan G. de Gooijer, 2011, "Asymptotically Informative Prior for Bayesian Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-130/4, Sep.
  7. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris, 2011, "Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0825, Dec.
  8. Laeven, R.J.A. & Stadje, M.A., 2011, "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-031.
  9. Laeven, R.J.A., 2011, "Liquidity premium in Solvency II," Other publications TiSEM, Tilburg University, School of Economics and Management, number cee19911-ef98-48ef-97d5-b.
  10. Mitja Stadje & Antoon Pelsser, 2011, "Time-Consistent and Market-Consistent Evaluations," Papers, arXiv.org, number 1109.1749, Sep, revised Dec 2013.
  11. Antoon Pelsser, 2011, "Time-Consistent Actuarial Valuations," Papers, arXiv.org, number 1109.1751, Sep.
  12. Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M. & Brogliato, B., 2011, "Observer-based control of linear complementarity systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 38b3325c-4d33-4c2f-92f8-9.
  13. Timmermans, S. & Schumacher, J.M. & Ponds, E.H.M., 2011, "A Cohort-Specific Approach to Retirement Savings," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9f3040ab-8dd3-4eeb-b45a-6.
  14. Wuerth, A.M. & Schumacher, J.M., 2011, "Risk aversion for nonsmooth utility functions," Other publications TiSEM, Tilburg University, School of Economics and Management, number d948cfad-5e83-46ce-ae72-6.
  15. Schumacher, J.M. & Oosterlee, C.W. & In 't Hout, K.J., 2011, "Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie?," Other publications TiSEM, Tilburg University, School of Economics and Management, number f47b3a85-cc1d-45b8-a9ba-0.
  16. Roorda, B. & Schumacher, J.M., 2011, "The strictest common relaxation of a family of risk measures," Other publications TiSEM, Tilburg University, School of Economics and Management, number fe50549a-ca7b-4a03-9318-1.

2010

  1. Jan G. de Gooijer & Ao Yuan, 2010, "Some Exact Tests for Manifest Properties of Latent Trait Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-044/4, Apr.
  2. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010, "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers, National Bureau of Economic Research, Inc, number 15850, Mar.
  3. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-122.
  4. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Scrap Value Functions in Dynamic Decision Problems," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-77.
  5. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Burr Utility," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-81.
    • Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Burr Utility," Other publications TiSEM, Tilburg University, School of Economics and Management, number fddee215-edea-4800-ba72-d.

2009

  1. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2009, "Assessing and improving the performance of nearly efficient unit root tests in small samples," Munich Reprints in Economics, University of Munich, Department of Economics, number 20017.
  2. De Gooijer, J. & Diks, C.G.H. & Gatarek, L., 2009, "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 09-13.
  3. Cheng, Yebin & De Gooijer, Jan & Zerom, Dawit, 2009, "Efficient Estimation of an Additive Quantile Regression Model," MPRA Paper, University Library of Munich, Germany, number 14388, Mar.
  4. Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2009, "Efficient Estimation of an Additive Quantile Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-104/4, Nov.

2008

  1. Simon A. BRODA & Marc S. PAOLELLA, 2008, "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-08, Feb.
  2. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales, number 2008-10, May.
  3. Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-10.
  4. Jan G. De Gooijer & Ao Yuan, 2008, "MDL Mean Function Selection in Semiparametric Kernel Regression Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-046/4, May.

2007

  1. Broda, Simon & Paolella, Marc S. & Carstensen, Kai, 2007, "Bias-adjusted estimation in the ARX(1) model," Munich Reprints in Economics, University of Munich, Department of Economics, number 19992.
  2. Bekiros, S. & Diks, C.G.H., 2007, "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 07-11.
  3. Bekiros, S. & Diks, C.G.H., 2007, "The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 07-08.
  4. Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007, "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies, Umeå University, Department of Economics, number 725, Nov.

2006

  1. Simon Broda & Marc Paolella & Yianna Tchopourian, 2006, "Approximately Exact Inference in Dynamic Panel Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 368, Jul.
  2. Diks, C.G.H. & Panchenko, V., 2006, "Rank-based entropy tests for serial independence," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-14.
  3. Diks, C.G.H. & Dindo, P.D.E., 2006, "Informational differences and learning in an asset market with boundedly rational agents," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-11.
  4. Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006, "E&F Chaos: a user friendly software package for nonlinear economic dynamics," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-15.
  5. Diks, C.G.H. & Wagener, F.O.O., 2006, "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-04.
  6. Ao Yuan & Jan G. De Gooijer, 2006, "Semiparametric Regression with Kernel Error Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-058/4, Jul.

2005

  1. Cees Diks, 2005, "Financial markets with heterogeneous agents as nonlinear news filters," Computing in Economics and Finance 2005, Society for Computational Economics, number 290, Nov.
  2. Cees Diks & Valentyn Panchenko, 2005, "Test for serial independence based on quadratic forms," Computing in Economics and Finance 2005, Society for Computational Economics, number 279, Nov.
  3. Diks C.G.H. & Wagener, F.O.O., 2005, "Equivalence and bifurcations of finite order stochastic processes," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 05-09.
  4. Diks, C.G.H. & Panchenko, V., 2005, "Nonparametric Tests for Serial Independence Based on Quadratic Forms," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 05-13.
  5. Jan G. De Gooijer & Rob J. Hyndman, 2005, "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/05, May.
  6. Yebin Cheng & Jan G. de Gooijer, 2005, "Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-067/4, Jun.
  7. Pietersz, R. & Pelsser, A.A.J., 2005, "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-008-F&A, Apr.
  8. Roger Lord & Antoon Pelsser, 2005, "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-083/2, Sep.
  9. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005, "Fast drift approximated pricing in the BGM model," Finance, University Library of Munich, Germany, number 0502005, Feb.
      Unknown

2004

  1. Valentyn Panchenko & Cees Diks, 2004, "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004, Society for Computational Economics, number 201, Aug.
  2. Cees Diks & Valentyn Panchenko, 2004, "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004, Society for Computational Economics, number 192, Aug.
  3. Diks, C.G.H. & Panchenko, V., 2004, "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-11.
  4. Diks, C.G.H. & Panchenko, V., 2004, "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-10.
  5. Yebin Cheng & Jan G. de Gooijer, 2004, "On the u-th Geometric Conditional Quantile," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-072/4, Jun.
  6. Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004, "A Comonotonic Image of Independence for Additive Risk Measures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-030/4, Mar.
  7. Berridge, S.J. & Schumacher, J.M., 2004, "Pricing High-Dimensional American Options Using Local Consistency Conditions," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-19.
  8. Berridge, S.J. & Schumacher, J.M., 2004, "Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-20.

2003

  1. Cees Diks & Svetlana Borovkova, 2003, "Conditional distribution resampling for time series," Computing in Economics and Finance 2003, Society for Computational Economics, number 70, Aug.
  2. Cees Diks, 2003, "The correlation dimension of returns with stochastic volatility," Computing in Economics and Finance 2003, Society for Computational Economics, number 180, Aug.
  3. Diks, C.G.H. & Weide, R. van der, 2003, "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-06.
  4. Diks, C.G.H. & Weide, R. van der, 2003, "Heterogeneity as a natural source of randomness," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-05.
  5. Pietersz, R. & Pelsser, A.A.J., 2003, "Risk managing bermudan swaptions in the libor BGM model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-33, Aug.
  6. Pelsser, A.A.J., 2003, "Risico en Rendement in Balans voor Verzekeraars," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam., number EIA-2003-018-F&A, May.
  7. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003, "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-24.
  8. van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003, "Robust equilibria in indefinite linear-quadratic differential games," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4a566f74-cf19-4cc9-852a-5.
  9. van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003, "An equivalence result in linear-quadratic theory," Other publications TiSEM, Tilburg University, School of Economics and Management, number d65171ce-101d-4204-a1ec-f.

2002

  1. Cees Diks & Roy van der Weid, 2002, "Endogenous Noise from Continuous Choice," Computing in Economics and Finance 2002, Society for Computational Economics, number 382, Jul.
  2. Botman, D.P.J. & Diks, C.G.H., 2002, "Location of investors and capitical flight," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 02-01.
  3. Diks, C.G.H. & Weide, R. van der, 2002, "Continuous Beliefs Dynamics," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 02-11.
  4. Diks, C.G.H., 2002, "Detecting serial dependence in tail events: A test dual to BDS test," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 02-09.
  5. Jan G. de Gooijer & Dawit Zerom, 2002, "On Conditional Density Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-032/4, Apr.
  6. Antoon Pelsser, 2002, "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-037/2, Apr.
  7. Kerkhof, F.L.J. & Pelsser, A., 2002, "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-28.
  8. Berridge, S.J. & Schumacher, J.M., 2002, "An Irregular Grid Approach for Pricing High Dimensional American Options," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-99.
  9. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002, "Model Risk and Regulatory Capital," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-27.
  10. Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M., 2002, "On the dynamic analysis of piecewise-linear networks," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5f3ee4aa-5cfb-4b0f-96c8-b.
  11. Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2002, "Consistency of a time-stepping method for a class of piecewise-linear networks," Other publications TiSEM, Tilburg University, School of Economics and Management, number 93af5e10-23ee-41bc-b3fc-5.

2001

  1. Cees Diks, 2001, "A nonparametric bootstrap test for nonlinear Granger causality," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 3A.1, Jan.
  2. Cees Diks and Roy van der Weide, 2001, "Asset pricing with a continuum of belief types," Computing in Economics and Finance 2001, Society for Computational Economics, number 217, Apr.
  3. Diks, C.G.H. & Manzan, S., 2001, "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-02.

2000

  1. Diks, C.G.H., 2000, "Dimension estimations, stock returns and volatility clustering," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 00-08.
  2. Diks, C.G.H. & Mudelsee, M., 2000, "Redundancies in the Earth's climatological time series," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 00-07.
  3. Brännäs, Kurt & de Gooijer, Jan G., 2000, "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," Umeå Economic Studies, Umeå University, Department of Economics, number 535, May.
  4. Jan G. de Gooijer & Antoni Vidiella-i-Anguera, 2000, "Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-098/4, Nov.
  5. 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.
  6. van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2000, "A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-38.
  7. Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000, "Well-posedness of a class of linear networks with ideal diodes," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4d0e45aa-e1b0-4329-b387-f.
  8. Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000, "Linear complimentarity systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6cdf0170-6ea9-4fdc-8cfa-6.
  9. Engwerda, J.C. & van den Broek, W.A. & Schumacher, J.M., 2000, "Feedback Nash equilibria in uncertain infinite time horizon differential games," Other publications TiSEM, Tilburg University, School of Economics and Management, number c431993d-ee67-4a93-9e2d-f.

1999

  1. Diks, C.G.H., 1999, "Consistent Testing for Serial Independence," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 99-02.
  2. Diks, C.G.H., 1999, "Dynamical Behavior of Agent Models," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 99-08.
  3. Jan G. de Gooijer & Ali Gannoun, 1999, "Nonparametric Regression with Serially Correlated Errors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-063/4, Aug.
  4. van den Broek, W.A. & Schumacher, J.M., 1999, "Disturbance Decoupling in Dynamic Games," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-67.
  5. Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999, "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-05.

1997

  1. Rosenthal, J. & Schumacher, J.M., 1997, "Realization by inspection," Other publications TiSEM, Tilburg University, School of Economics and Management, number 28d79c0f-cd32-46ac-81e8-7.
  2. Ravi, M.S. & Rosenthal, J. & Schumacher, J.M., 1997, "Homogeneous behaviors," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2b7d087c-568b-4013-a1a1-5.
  3. Cevik, M.K.K. & Schumacher, J.M., 1997, "Regulation as an interpolation problem," Other publications TiSEM, Tilburg University, School of Economics and Management, number 48ef95bf-86dd-4932-860f-b.
  4. Helmke, U. & Rosenthal, J. & Schumacher, J.M., 1997, "A controlability test for general first-order representations," Other publications TiSEM, Tilburg University, School of Economics and Management, number c1d2ef96-26c2-4c77-95bd-3.

1996

  1. Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996, "Testing Linearity against Nonlinear Moving Average Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 95, Jan.
  2. Rosenthal, J. & Schumacher, J.M. & York, E.V., 1996, "On behaviors and convolutional codes," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1c23f564-7bce-463e-898b-6.
  3. Geerts, A.H.W. & Schumacher, J.M., 1996, "Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence," Other publications TiSEM, Tilburg University, School of Economics and Management, number 89d257b6-6e69-4712-8554-5.
  4. Schumacher, J.M., 1996, "[Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993]," Other publications TiSEM, Tilburg University, School of Economics and Management, number eb6cd3c9-cfa4-45c9-a563-1.
  5. van der Schaft, A.J. & Schumacher, J.M., 1996, "The complementary-slackness class of hybrid systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number fdbd7937-089c-4262-a7a9-2.
  6. Geerts, A.H.W. & Schumacher, J.M., 1996, "Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations," Other publications TiSEM, Tilburg University, School of Economics and Management, number feafa954-c509-4955-88f2-1.

1995

  1. Rosenthal, J. & Schumacher, J.M. & Willems, J.C., 1995, "Generic eigenvalue assignment by memoryless real output feedback," Other publications TiSEM, Tilburg University, School of Economics and Management, number 971c0413-f039-4eca-91a3-0.
  2. Cevik, M.K.K. & Schumacher, J.M., 1995, "The regulator problem with robust stability," Other publications TiSEM, Tilburg University, School of Economics and Management, number cf41c9f4-ab93-41e9-a76a-c.
  3. Weeren, A.J.T.M. & Schumacher, J.M. & Engwerda, J.C., 1995, "Coordination in continuously repeated games," Other publications TiSEM, Tilburg University, School of Economics and Management, number da44944d-7d7e-484d-9818-d.

1994

  1. Weeren, A.J.T.M. & Schumacher, J.M. & Engwerda, J.C., 1994, "Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 634.
  2. de Does, J. & Schumacher, J.M., 1994, "Interpretations of the gap topology : a survey," Other publications TiSEM, Tilburg University, School of Economics and Management, number 13e6ef2b-e384-4284-8836-0.
  3. de Does, J. & Schumacher, J.M., 1994, "Continuity of singular perturbations in the graph topology," Other publications TiSEM, Tilburg University, School of Economics and Management, number 45fc5e97-e84d-4eb4-a8cd-0.
  4. Schumacher, J.M., 1994, "[Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991]," Other publications TiSEM, Tilburg University, School of Economics and Management, number c09b5619-061c-46d7-9db7-e.
  5. Schumacher, J.M., 1994, "[Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992]," Other publications TiSEM, Tilburg University, School of Economics and Management, number d93ed1b3-98f6-437c-8e65-5.

1993

  1. Schumacher, J.M., 1993, "Information and entropy," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2b459f74-9bf9-42fc-80ec-1.
  2. Kuijper, M. & Schumacher, J.M., 1993, "Input/output structure of linear differential/algebraic systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number a20b7428-f967-455a-b80f-8.

1992

  1. Kuijper, M. & Schumacher, J.M., 1992, "Realization and partial fractions," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5243353a-8367-4125-be19-d.
  2. Schumacher, J.M., 1992, "A pointwise criterion for controller robustness," Other publications TiSEM, Tilburg University, School of Economics and Management, number e81ae511-9b41-49f5-9836-3.

1991

  1. Kuijper, M. & Schumacher, J.M., 1991, "Minimality of descriptor representations under external equivalence," Other publications TiSEM, Tilburg University, School of Economics and Management, number 47bb4ea8-690e-4693-ac2d-6.

1990

  1. Schumacher, J.M., 1990, "System-theoretic trends in econometrics," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 432.
  2. Schumacher, J.M., 1990, "State representations of linear systems with output constraints," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2e271918-3b8f-483c-9886-5.
  3. Kuijper, M. & Schumacher, J.M., 1990, "Realization of autoregressive equations in pencil and descriptor form," Other publications TiSEM, Tilburg University, School of Economics and Management, number 3c164c8f-c092-448d-8ae7-9.

1988

  1. Schumacher, J.M., 1988, "Discrete events : Perspectives from system theory," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 354.
  2. Bontsema, J. & Curtain, R.F. & Schumacher, J.M., 1988, "Robust control of flexible structures : a case study," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2b421a15-9f96-4d74-b219-3.
  3. Schumacher, J.M., 1988, "Transformations of linear systems under external equivalence," Other publications TiSEM, Tilburg University, School of Economics and Management, number f42a7b5c-91c0-4082-b9d2-0.

1987

  1. de Gooijer, J.G. & Heuts, R.M.J., 1987, "Higher order moments of bilinear time series processes with symmetrically distributed errors," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 251.

1986

  1. Nijmeijer, H. & Schumacher, J.M., 1986, "The regular local noninteracting control problem for nonlinear control systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0edd6c44-ae1e-49aa-a0e5-7.

1985

  1. Schumacher, J.M., 1985, "A geometric approach to the singular filtering problem," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0e407bf8-8686-465d-9c67-4.
  2. Nijmeijer, H. & Schumacher, J.M., 1985, "Zeros at infinity for affine nonlinear control systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8c161363-55ac-4a98-8728-2.
  3. Nijmeijer, H. & Schumacher, J.M., 1985, "On the inherent integration structure of nonlinear systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number e30232ce-044f-4ec1-a4e5-e.

1984

  1. Schumacher, J.M., 1984, "Almost stabilizability subspaces and high gain feedback," Other publications TiSEM, Tilburg University, School of Economics and Management, number 3ff16bef-f062-4817-b822-8.
  2. Aling, H. & Schumacher, J.M., 1984, "A nine-fold canonical decomposition for linear systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 739ff20f-7b60-4ead-a966-8.
  3. Nijmeijer, N. & Schumacher, J.M., 1984, "Les systèmes non linéaires à plus d'entrées que de sorties ne sont pas inversibles," Other publications TiSEM, Tilburg University, School of Economics and Management, number c632470d-d620-4ff8-9a74-0.

1983

  1. Anderson, O & Gooijer, J, 1983, "Approximate moments for the sampled space-time autocorrelation function," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293065, DOI: 10.22004/ag.econ.293065.
  2. Schumacher, J.M., 1983, "Finite-dimensional regulators for a class of infinite-dimensional systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4fdcad40-715b-434f-8917-a.
  3. Schumacher, J.M., 1983, "The algebraic regulator problem from the state-space point of view," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5779f1b9-6092-4e3e-8daf-6.
  4. Schumacher, J.M., 1983, "A direct approach to compensator design for distributed parameter systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 64c07d51-0d72-41c5-877e-7.
  5. Schumacher, J.M., 1983, "On the structure of strongly controllable systems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 91b9b9c7-bdfa-441d-9766-2.
  6. Schumacher, J.M., 1983, "On a conjecture of Basile and Marro," Other publications TiSEM, Tilburg University, School of Economics and Management, number c55efa93-f6f8-401c-98bb-6.
  7. Schumacher, J.M., 1983, "The role of the dissipation matrix in singular optimal control," Other publications TiSEM, Tilburg University, School of Economics and Management, number c643d99a-ddb6-4f6c-a4d6-f.
  8. Schumacher, J.M., 1983, "Algebraic characterizations of almost invariance," Other publications TiSEM, Tilburg University, School of Economics and Management, number ee1735b8-04e9-48f2-8e64-b.

1982

  1. Schumacher, J.M., 1982, "Regulator synthesis using (C,A,B)-pairs," Other publications TiSEM, Tilburg University, School of Economics and Management, number c3a99310-ebb7-4868-8af3-2.

1980

  1. Anderson, O & Gooijer, J de, 1980, "FORMULAE FOR THE COVARIANCE STRUCTURE OF THE SAMPLED AUTOCOVARIANCES FROM SERIES GENERATED BY GENERAL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESSES OF ORDER (n,d,q) d = 0 or 1," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293053, DOI: 10.22004/ag.econ.293053.
  2. Schumacher, J.M., 1980, "Compensator synthesis using (C,A,B)-pairs," Other publications TiSEM, Tilburg University, School of Economics and Management, number 7388dba7-dc63-42d5-bdfe-3.
  3. van Harten, A. & Schumacher, J.M., 1980, "Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8d6195e0-d682-4256-a2fc-3.
  4. Schumacher, J.M., 1980, "A complement on pole placement," Other publications TiSEM, Tilburg University, School of Economics and Management, number b2551d06-13c0-49ba-857d-8.
  5. Schumacher, J.M., 1980, "On the minimal stable observer problem," Other publications TiSEM, Tilburg University, School of Economics and Management, number e16b7a80-04dc-407d-97e8-f.

1977

  1. Gooijer, J, 1977, "On the inverse of the autocovariance matrix for a general mixed autoregressive movie average process," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293045, DOI: 10.22004/ag.econ.293045.

Undated

  1. Antoon Pelsser, undated, "Pricing Double Barrier Options: An Analytical Approach," Computing in Economics and Finance 1997, Society for Computational Economics, number 130.

Journal articles

2026

  1. Dalderop, Jeroen & Linton, Oliver, 2026, "Estimating a conditional density ratio model for asset returns and option demand," Journal of Econometrics, Elsevier, volume 254, issue PB, DOI: 10.1016/j.jeconom.2026.106191.
  2. Cairns, Andrew J.G. & Laeven, Roger J.A. & Lin, Sheldon & Tang, Qihe, 2026, "IME’s editorial board, IME’s editorial office and the IME award 2025," Insurance: Mathematics and Economics, Elsevier, volume 129, issue C, DOI: 10.1016/j.insmatheco.2026.103264.
  3. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2026, "Star-shaped and dynamic return risk measures via BSDEs," Finance and Stochastics, Springer, volume 30, issue 3, pages 903-950, July, DOI: 10.1007/s00780-026-00598-4.

2025

  1. Jan G. De Gooijer & Marcella Niglio, 2025, "Weighted forecasts from SETARs with single- and multiple thresholds," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 34, issue 4, pages 663-686, September, DOI: 10.1007/s10260-025-00799-9.
  2. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus Schweizer & Mitja Stadje, 2025, "Robust Multiple Stopping—A Duality Approach," Mathematics of Operations Research, INFORMS, volume 50, issue 2, pages 1250-1276, May, DOI: 10.1287/moor.2021.0237.

2024

  1. Jan G. De Gooijer, 2024, "Testing nonlinearity of heavy-tailed time series," Journal of Applied Statistics, Taylor & Francis Journals, volume 51, issue 13, pages 2672-2689, October, DOI: 10.1080/02664763.2024.2315450.
  2. Boswijk, H. Peter & Laeven, Roger J.A. & Vladimirov, Evgenii, 2024, "Estimating option pricing models using a characteristic function-based linear state space representation," Journal of Econometrics, Elsevier, volume 244, issue 1, DOI: 10.1016/j.jeconom.2024.105864.
  3. Laeven, Roger J.A. & Rosazza Gianin, Emanuela & Zullino, Marco, 2024, "Law-invariant return and star-shaped risk measures," Insurance: Mathematics and Economics, Elsevier, volume 117, issue C, pages 140-153, DOI: 10.1016/j.insmatheco.2024.04.006.
  4. Sami Umut Can & John H. J. Einmahl & Roger J. A. Laeven, 2024, "Two-Sample Testing for Tail Copulas with an Application to Equity Indices," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 1, pages 147-159, January, DOI: 10.1080/07350015.2023.2166050.
  5. Hommes, Cars & Huber, Stefanie J. & Minina, Daria & Salle, Isabelle, 2024, "Learning in a complex world: Insights from an OLG lab experiment," Journal of Economic Behavior & Organization, Elsevier, volume 220, issue C, pages 813-837, DOI: 10.1016/j.jebo.2024.03.004.
  6. Gnameho Kossi & Stadje Mitja & Pelsser Antoon, 2024, "A gradient method for high-dimensional BSDEs," Monte Carlo Methods and Applications, De Gruyter, volume 30, issue 2, pages 183-203, DOI: 10.1515/mcma-2024-2002.
  7. Anne G. Balter & Johannes M. Schumacher & Nikolaus Schweizer, 2024, "Solving Maxmin Optimization Problems via Population Games," Journal of Optimization Theory and Applications, Springer, volume 201, issue 2, pages 760-789, May, DOI: 10.1007/s10957-024-02415-4.
  8. Christopher F Baum & Denni Tommasi & Lina Zhang, 2024, "Estimating treatment effects when program participation is misreported," Stata Journal, StataCorp LLC, volume 24, issue 4, pages 614-629, December, DOI: 10.1177/1536867X241297916.

2023

  1. Dalderop, Jeroen, 2023, "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, volume 236, issue 1, DOI: 10.1016/j.jeconom.2023.03.010.
  2. De Gooijer, Jan G., 2023, "On portmanteau-type tests for nonlinear multivariate time series," Journal of Multivariate Analysis, Elsevier, volume 195, issue C, DOI: 10.1016/j.jmva.2023.105157.
  3. Jan G. De Gooijer, 2023, "Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors," Computational Economics, Springer;Society for Computational Economics, volume 62, issue 1, pages 407-424, June, DOI: 10.1007/s10614-022-10289-9.

2022

  1. De Gooijer, Jan G. & Henter, Gustav Eje & Yuan, Ao, 2022, "Kernel-based hidden Markov conditional densities," Computational Statistics & Data Analysis, Elsevier, volume 169, issue C, DOI: 10.1016/j.csda.2022.107431.
  2. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022, "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, volume 102, issue C, pages 126-145, DOI: 10.1016/j.insmatheco.2021.12.002.
  3. Louis R. Eeckhoudt & Roger J. A. Laeven, 2022, "Dual Moments and Risk Attitudes," Operations Research, INFORMS, volume 70, issue 3, pages 1330-1341, May, DOI: 10.1287/opre.2020.2040.
  4. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Yuan Yue, 2022, "Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 537, pages 82-93, January, DOI: 10.1080/01621459.2021.1928512.
  5. Kamma, Thijs & Pelsser, Antoon, 2022, "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, volume 297, issue 2, pages 766-781, DOI: 10.1016/j.ejor.2021.06.029.
  6. Klerkx, Rik & Pelsser, Antoon, 2022, "Narrative-based robust stochastic optimization," Journal of Economic Behavior & Organization, Elsevier, volume 196, issue C, pages 266-277, DOI: 10.1016/j.jebo.2022.02.007.
  7. Johannes M. Schumacher & Puduru Viswanadha Reddy & Jacob C. Engwerda, 2022, "Jump Equilibria in Public-Good Differential Games with a Single State Variable," Dynamic Games and Applications, Springer, volume 12, issue 3, pages 784-812, September, DOI: 10.1007/s13235-021-00415-x.
  8. Johannes M. Schumacher, 2022, "Utilitarian versus neutralitarian design of endowment fund policies," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2022, issue 8, pages 718-748, September, DOI: 10.1080/03461238.2022.2025892.

2021

  1. Simon A Broda & Juan Arismendi Zambrano, 2021, "On quadratic forms in multivariate generalized hyperbolic random vectors
    [Expected shortfall: A natural coherent alternative to value at risk]    ," Biometrika, Biometrika Trust, volume 108, issue 2, pages 413-424.
  2. Jan G. Gooijer, 2021, "Asymmetric vector moving average models: estimation and testing," Computational Statistics, Springer, volume 36, issue 2, pages 1437-1460, June, DOI: 10.1007/s00180-020-01056-1.
  3. Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021, "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, volume 291, issue 2, pages 438-446, DOI: 10.1016/j.ejor.2019.08.049.
  4. Shen, Sally & Pelsser, Antoon & Schotman, Peter, 2021, "Robust long-term interest rate risk hedging in incomplete bond markets," Journal of Pension Economics and Finance, Cambridge University Press, volume 20, issue 2, pages 273-300, April.
  5. Balter, Anne G. & Pelsser, Antoon & Schotman, Peter C., 2021, "What does a term structure model imply about very long-term interest rates?," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 202-219, DOI: 10.1016/j.jempfin.2021.03.006.
  6. Ahmad Salahnejhad Ghalehjooghi & Antoon Pelsser, 2021, "Time-consistent and market-consistent actuarial valuation of the participating pension contract," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2021, issue 4, pages 266-294, April, DOI: 10.1080/03461238.2020.1832911.
  7. Schumacher, Johannes M., 2021, "A note on Gollier's model for a collective pension scheme," Journal of Pension Economics and Finance, Cambridge University Press, volume 20, issue 2, pages 187-211, April.
  8. Schumacher, Johannes M., 2021, "Ex-ante estate division under strong Pareto efficiency," Mathematical Social Sciences, Elsevier, volume 113, issue C, pages 10-24, DOI: 10.1016/j.mathsocsci.2021.04.006.

2020

  1. Dalderop, Jeroen, 2020, "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, volume 214, issue 2, pages 295-325, DOI: 10.1016/j.jeconom.2019.05.022.
  2. De Gooijer Jan G. & Zerom Dawit, 2020, "Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts," Journal of Time Series Econometrics, De Gruyter, volume 12, issue 1, pages 1-15, January, DOI: 10.1515/jtse-2019-0021.
  3. van Bilsen, Servaas & Bovenberg, A. Lans & Laeven, Roger J. A., 2020, "Consumption and Portfolio Choice under Internal Multiplicative Habit Formation," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 55, issue 7, pages 2334-2371, November.
  4. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2020, "Expected utility and catastrophic risk in a stochastic economy–climate model," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 110-129, DOI: 10.1016/j.jeconom.2019.05.007.
  5. Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020, "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 536-558, DOI: 10.1016/j.jeconom.2019.10.004.
  6. van Bilsen, Servaas & Laeven, Roger J.A., 2020, "Dynamic consumption and portfolio choice under prospect theory," Insurance: Mathematics and Economics, Elsevier, volume 91, issue C, pages 224-237, DOI: 10.1016/j.insmatheco.2020.02.004.
  7. Eeckhoudt, Louis R. & Laeven, Roger J.A. & Schlesinger, Harris, 2020, "Risk apportionment: The dual story," Journal of Economic Theory, Elsevier, volume 185, issue C, DOI: 10.1016/j.jet.2019.104971.
  8. Servaas van Bilsen & Roger J. A. Laeven & Theo E. Nijman, 2020, "Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level," Management Science, INFORMS, volume 66, issue 9, pages 3927-3955, September, DOI: 10.287/mnsc.2019.3393.
  9. Balter, Anne G. & Pelsser, Antoon, 2020, "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, volume 282, issue 3, pages 911-925, DOI: 10.1016/j.ejor.2019.09.054.
  10. Johannes M. Schumacher, 2020, "Efficiency of institutional spending and investment rules," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2020, issue 5, pages 454-476, May, DOI: 10.1080/03461238.2019.1685589.
  11. Azzarri, Carlo & Signorelli, Sara, 2020, "Climate and poverty in Africa South of the Sahara," World Development, Elsevier, volume 125, issue C, DOI: 10.1016/j.worlddev.2019.104691.

2019

  1. De Gooijer, Jan G. & Zerom, Dawit, 2019, "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, volume 35, issue 3, pages 891-909, DOI: 10.1016/j.ijforecast.2018.10.009.
  2. Yi He & Yanxi Hou & Liang Peng & Jiliang Sheng, 2019, "Statistical Inference for a Relative Risk Measure," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 2, pages 301-311, April, DOI: 10.1080/07350015.2017.1321549.
  3. Pelsser Antoon & Gnameho Kossi, 2019, "A Monte Carlo method for backward stochastic differential equations with Hermite martingales," Monte Carlo Methods and Applications, De Gruyter, volume 25, issue 1, pages 37-60, March, DOI: 10.1515/mcma-2019-2028.
  4. Shen, Sally & Pelsser, Antoon & Schotman, Peter, 2019, "Robust hedging in incomplete markets," Journal of Pension Economics and Finance, Cambridge University Press, volume 18, issue 3, pages 473-493, July.
  5. Haile, Beliyou & Signorelli, Sara & Azzarri, Carlo & Guo, Zhe, 2019, "A spatial analysis of land use and cover change and agricultural performance: evidence from northern Ghana," Environment and Development Economics, Cambridge University Press, volume 24, issue 1, pages 67-86, February.

2018

  1. Broda, Simon A. & Krause, Jochen & Paolella, Marc S., 2018, "Approximating expected shortfall for heavy-tailed distributions," Econometrics and Statistics, Elsevier, volume 8, issue C, pages 184-203, DOI: 10.1016/j.ecosta.2017.07.003.
  2. Hanen Ben Salah & Jan G. Gooijer & Ali Gannoun & Mathieu Ribatet, 2018, "Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 4, pages 419-436, November, DOI: 10.1007/s11408-018-0317-4.
  3. Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye, 2018, "Testing for self-excitation in jumps," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 256-266, DOI: 10.1016/j.jeconom.2017.11.007.
  4. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018, "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, volume 43, issue 4, pages 1177-1209, November, DOI: 10.1287/moor.2017.0899.
  5. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018, "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, volume 79, issue C, pages 107-123, DOI: 10.1016/j.insmatheco.2017.11.009.
  6. Schumacher Johannes M., 2018, "Distortion risk measures, ROC curves, and distortion divergence," Statistics & Risk Modeling, De Gruyter, volume 35, issue 1-2, pages 35-50, January, DOI: 10.1515/strm-2017-0012.
  7. Schumacher, Johannes M., 2018, "Linear Versus Nonlinear Allocation Rules In Risk Sharing Under Financial Fairness," ASTIN Bulletin, Cambridge University Press, volume 48, issue 3, pages 995-1024, September.
  8. Johannes M. Schumacher, 2018, "A Multi-Objective Interpretation of Optimal Transport," Journal of Optimization Theory and Applications, Springer, volume 176, issue 1, pages 94-119, January, DOI: 10.1007/s10957-017-1206-0.

2017

  1. Arismendi, Juan C. & Broda, Simon, 2017, "Multivariate elliptical truncated moments," Journal of Multivariate Analysis, Elsevier, volume 157, issue C, pages 29-44, DOI: 10.1016/j.jmva.2017.02.011.
  2. Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang, 2017, "Estimation of the Continuous and Discontinuous Leverage Effects," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 520, pages 1744-1758, October, DOI: 10.1080/01621459.2016.1240082.
  3. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017, "Sustainability of participation in collective pension schemes: An option pricing approach," Insurance: Mathematics and Economics, Elsevier, volume 74, issue C, pages 182-196, DOI: 10.1016/j.insmatheco.2017.03.007.
  4. Bao, Hailong & Ponds, Eduard H.M. & Schumacher, Johannes M., 2017, "Multi-period risk sharing under financial fairness," Insurance: Mathematics and Economics, Elsevier, volume 72, issue C, pages 49-66, DOI: 10.1016/j.insmatheco.2016.10.015.
  5. Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017, "The composite iteration algorithm for finding efficient and financially fair risk-sharing rules," Journal of Mathematical Economics, Elsevier, volume 72, issue C, pages 122-133, DOI: 10.1016/j.jmateco.2017.07.008.
  6. Torsten Kleinow & Johannes M. Schumacher, 2017, "Financial fairness and conditional indexation," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2017, issue 8, pages 651-669, September, DOI: 10.1080/03461238.2016.1225592.
  7. Chu, Chia-Shang J. & Liu, Nan & Zhang, Lina, 2017, "Significance test in nonstationary logit panel model with serially correlated dependent variable," Economics Letters, Elsevier, volume 159, issue C, pages 37-41, DOI: 10.1016/j.econlet.2017.07.003.

2016

  1. Simon A. Broda & Raymond Kan, 2016, "On distributions of ratios," Biometrika, Biometrika Trust, volume 103, issue 1, pages 205-218.
  2. Steven J. Nooijen & Simon A. Broda, 2016, "Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models," Journal of Behavioral Finance, Taylor & Francis Journals, volume 17, issue 4, pages 321-335, October, DOI: 10.1080/15427560.2016.1238370.
  3. Jan G. De Gooijer & Ao Yuan, 2016, "Non parametric portmanteau tests for detecting non linearities in high dimensions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 45, issue 2, pages 385-399, January, DOI: 10.1080/03610926.2013.815209.
  4. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016, "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 182-195, DOI: 10.1016/j.insmatheco.2016.05.012.
  5. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016, "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, volume 66, issue C, pages 97-112, DOI: 10.1016/j.insmatheco.2015.10.010.
  6. Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2016, "Cooperative investment in incomplete markets under financial fairness," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 394-406, DOI: 10.1016/j.insmatheco.2016.10.008.
  7. Berend Roorda & Johannes M. Schumacher, 2016, "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, volume 20, issue 1, pages 123-151, January, DOI: 10.1007/s00780-015-0285-8.
  8. Chu, Chia-Shang J. & Liu, Nan & Zhang, Lina, 2016, "Significance test in nonstationary multinomial logit model," Economics Letters, Elsevier, volume 143, issue C, pages 94-98, DOI: 10.1016/j.econlet.2016.03.022.

2015

  1. Eeckhoudt, Louis R. & Laeven, Roger J.A., 2015, "The probability premium: A graphical representation," Economics Letters, Elsevier, volume 136, issue C, pages 39-41, DOI: 10.1016/j.econlet.2015.08.029.
  2. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2015, "Expected utility and catastrophic consumption risk," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 306-312, DOI: 10.1016/j.insmatheco.2015.06.007.
  3. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015, "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 585-606, DOI: 10.1016/j.jfineco.2015.03.002.

2014

  1. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014, "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 79-94, DOI: 10.1016/j.jedc.2014.08.021.
  2. Ao Yuan & Jan G. De Gooijer, 2014, "Asymptotically Informative Prior for Bayesian Analysis," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 43, issue 14, pages 3080-3094, July, DOI: 10.1080/03610926.2012.694549.
  3. Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014, "Mutual excitation in Eurozone sovereign CDS," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 151-167, DOI: 10.1016/j.jeconom.2014.05.006.
  4. Antoon Pelsser & Mitja Stadje, 2014, "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, volume 24, issue 1, pages 25-65, January.
  5. Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard, 2014, "Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework," Insurance: Mathematics and Economics, Elsevier, volume 58, issue C, pages 89-102, DOI: 10.1016/j.insmatheco.2014.06.007.

2013

  1. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Stable mixture GARCH models," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2012.08.012.
  2. Diks, Cees & Hommes, Cars & Zeppini, Paolo, 2013, "More memory under evolutionary learning may lead to chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 392, issue 4, pages 808-812, DOI: 10.1016/j.physa.2012.10.045.
  3. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013, "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 515-523, DOI: 10.1016/j.insmatheco.2013.07.007.
  4. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013, "Pareto utility," Theory and Decision, Springer, volume 75, issue 1, pages 43-57, July, DOI: 10.1007/s11238-012-9293-8.
  5. Roorda Berend & Schumacher Hans, 2013, "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, volume 30, issue 3, pages 255-280, August, DOI: 10.1524/strm.2013.1131.

2012

  1. Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012, "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 1, pages 23-44, March.
  2. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012, "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-24, January, DOI: 10.1515/1558-3708.1855.
  3. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012, "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 379-381, DOI: 10.1016/j.insmatheco.2012.06.006.

2011

  1. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011, "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, volume 163, issue 2, pages 215-230, August.
  2. Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2011, "Efficient Estimation of an Additive Quantile Regression Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 38, issue 1, pages 46-62, March, DOI: j.1467-9469.2010.00706.x.
  3. De Gooijer, Jan G. & Yuan, Ao, 2011, "Some exact tests for manifest properties of latent trait models," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 1, pages 34-44, January.
  4. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011, "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 380-392, DOI: 10.1016/j.insmatheco.2011.06.001.
  5. Chen, An & Pelsser, Antoon & Vellekoop, Michel, 2011, "Modeling non-monotone risk aversion using SAHARA utility functions," Journal of Economic Theory, Elsevier, volume 146, issue 5, pages 2075-2092, September.
  6. Alexander van Haastrecht & Antoon Pelsser, 2011, "Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 5, pages 665-691, DOI: 10.1080/14697688.2010.504734.
  7. Alexander Van Haastrecht & Antoon Pelsser, 2011, "Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 2, pages 103-125, February.
  8. Roorda, Berend & Schumacher, J.M., 2011, "The strictest common relaxation of a family of risk measures," Insurance: Mathematics and Economics, Elsevier, volume 48, issue 1, pages 29-34, January.
  9. Würth, Andreas & Schumacher, J.M., 2011, "Risk aversion for nonsmooth utility functions," Journal of Mathematical Economics, Elsevier, volume 47, issue 2, pages 109-128, March.

2010

  1. Broeders, Dirk & Chen, An, 2010, "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, volume 34, issue 6, pages 1201-1214, June.
  2. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 9, pages 1596-1609, September.
  3. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010, "A note on additive risk measures in rank-dependent utility," Insurance: Mathematics and Economics, Elsevier, volume 47, issue 2, pages 187-189, October.
  4. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010, "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, volume 47, issue 3, pages 294-302, December.
  5. van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010, "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, volume 47, issue 3, pages 266-277, December.
  6. Raoul Pietersz & Antoon Pelsser, 2010, "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, volume 13, issue 3, pages 245-272, October, DOI: 10.1007/s11147-009-9050-5.
  7. Alexander Van Haastrecht & Antoon Pelsser, 2010, "Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 01, pages 1-43, DOI: 10.1142/S0219024910005668.
  8. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010, "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, volume 34, issue 1, pages 267-279, January.

2009

  1. Broda, S. & Paolella, M.S., 2009, "Evaluating the density of ratios of noncentral quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 4, pages 1264-1270, February.
  2. Simon A. Broda & Marc S. Paolella, 2009, "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 412-436, Fall.
  3. Simon Broda & Kai Carstensen & Marc Paolella, 2009, "Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 5, pages 468-494, DOI: 10.1080/07474930802467282.
  4. An Chen & Xia Su, 2009, "Knightian uncertainty and insurance regulation decision," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 1, pages 13-33, May, DOI: 10.1007/s10203-009-0087-6.
  5. Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009, "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 2, pages 143-145, April.
  6. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009, "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 2, pages 146-158, April.
  7. Laeven, Roger J.A., 2009, "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 2, pages 159-163, April.
  8. Plat, Richard & Pelsser, Antoon, 2009, "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 1, pages 124-134, February.
  9. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009, "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 3, pages 436-448, December.
  10. Dai, Renxiang & Schumacher, J.M., 2009, "Welfare analysis of conditional indexation schemes from a two-reference-point perspective," Journal of Pension Economics and Finance, Cambridge University Press, volume 8, issue 3, pages 321-350, July.

2008

  1. Chen, An, 2008, "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1035-1049, June.
  2. Chen An & Mahayni Antje B., 2008, "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 2, issue 2, pages 1-29, March, DOI: 10.2202/2153-3792.1021.
  3. Diks, Cees & Dindo, Pietro, 2008, "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 5, pages 1432-1465, May.
  4. Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008, "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 221-244, September, DOI: 10.1007/s10614-008-9130-x.
  5. Bekiros, Stelios D. & Diks, Cees G.H., 2008, "The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality," Energy Economics, Elsevier, volume 30, issue 5, pages 2673-2685, September.
  6. Bekiros, Stelios D. & Diks, Cees G.H., 2008, "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, volume 30, issue 4, pages 1641-1650, December.
  7. Diks Cees & Panchenko Valentyn, 2008, "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1476.
  8. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008, "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 387, issue 11, pages 2547-2560, DOI: 10.1016/j.physa.2008.01.033.
  9. Jan Gooijer, 2008, "Partial sums of lagged cross-products of AR residuals and a test for white noise," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 17, issue 3, pages 567-584, November, DOI: 10.1007/s11749-007-0058-6.
  10. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008, "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 75, issue 2, pages 365-386, June, DOI: 10.1111/j.1539-6975.2008.00264.x.
  11. Goovaerts, Marc J. & Laeven, Roger J.A., 2008, "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 2, pages 540-547, April.
  12. Pelsser, Antoon, 2008, "On the Applicability of the Wang Transform for Pricing Financial Risks," ASTIN Bulletin, Cambridge University Press, volume 38, issue 1, pages 171-181, May.

2007

  1. Broda, Simon & Paolella, Marc S., 2007, "Saddlepoint approximations for the doubly noncentral t distribution," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 6, pages 2907-2918, March.
  2. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007, "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3355-3367, April.
  3. Chen, An & Suchanecki, Michael, 2007, "Default risk, bankruptcy procedures and the market value of life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, volume 40, issue 2, pages 231-255, March.
  4. Ao Yuan & Jan G. De Gooijer, 2007, "Semiparametric Regression with Kernel Error Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 34, issue 4, pages 841-869, December, DOI: 10.1111/j.1467-9469.2006.00531.x.
  5. Jan G. De Gooijer, 2007, "Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities," Journal of Applied Statistics, Taylor & Francis Journals, volume 34, issue 4, pages 371-381, DOI: 10.1080/02664760701231526.
  6. Roger Lord & Antoon Pelsser, 2007, "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, volume 14, issue 2, pages 105-130, DOI: 10.1080/13504860600661111.
  7. Roorda, Berend & Schumacher, J.M., 2007, "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, volume 40, issue 2, pages 209-230, March.

2006

  1. Diks, Cees, 2006, "Comments on "Global sunspots in OLG models"," Journal of Macroeconomics, Elsevier, volume 28, issue 1, pages 46-50, March.
  2. Bullard, Jim & Diks, Cees & Wagener, Florian, 2006, "Computing in economics and finance," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1441-1444.
  3. Diks, Cees & Panchenko, Valentyn, 2006, "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1647-1669.
  4. De Gooijer, Jan G., 2006, "Detecting change-points in multidimensional stochastic processes," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 3, pages 1892-1903, December.
  5. De Gooijer, Jan G. & Hyndman, Rob J., 2006, "25 years of time series forecasting," International Journal of Forecasting, Elsevier, volume 22, issue 3, pages 443-473.
  6. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006, "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, volume 24, issue 1, pages 1-25, July, DOI: 10.1524/stnd.2006.24.1.1.
  7. David F. Schrager & Antoon A. J. Pelsser, 2006, "Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, volume 16, issue 4, pages 673-694, October, DOI: 10.1111/j.1467-9965.2006.00289.x.

2005

  1. Diks, Cees & van der Weide, Roy, 2005, "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 4, pages 741-763, April.
  2. Diks Cees & Panchenko Valentyn, 2005, "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-9, June, DOI: 10.2202/1558-3708.1234.
  3. Jan G. De Gooijer & Antoni Vidiella-i-Anguera, 2005, "Estimating threshold cointegrated systems," Economics Bulletin, AccessEcon, volume 3, issue 8, pages 1-7.
  4. Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005, "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 623-625.
  5. Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom, 2005, "Some asymptotic results for sums of dependent random variables, with actuarial applications," Insurance: Mathematics and Economics, Elsevier, volume 37, issue 2, pages 154-172, October.
  6. Marc Goovaerts & Rob Kaas & Roger Laeven & Qihe Tang & Raluca Vernic, 2005, "The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2005, issue 6, pages 446-461, DOI: 10.1080/03461230500361943.
  7. Marc Goovaerts & Eddy Van den Borre & Roger Laeven, 2005, "Managing Economic and Virtual Economic Capital Within Financial Conglomerates," North American Actuarial Journal, Taylor & Francis Journals, volume 9, issue 3, pages 77-89, DOI: 10.1080/10920277.2005.10596212.
  8. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005, "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, volume 15, issue 4, pages 589-612, October, DOI: 10.1111/j.1467-9965.2005.00252.x.

2004

  1. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004, "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 237-253.
  2. De Gooijer, Jan G., 2004, "Editorial Announcement," International Journal of Forecasting, Elsevier, volume 20, issue 4, pages 523-524.
  3. Jan G. De Gooijer & Kurt Brännäs, 2004, "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 155-171, DOI: 10.1002/for.910.
  4. Laeven, Roger J. A. & Goovaerts, Marc J., 2004, "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, volume 35, issue 2, pages 299-319, October.
  5. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004, "A comonotonic image of independence for additive risk measures," Insurance: Mathematics and Economics, Elsevier, volume 35, issue 3, pages 581-594, December.
  6. Schrager, David F. & Pelsser, Antoon A.J., 2004, "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, volume 35, issue 2, pages 369-398, October.
  7. 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.

2003

  1. Diks, Cees, 2003, "Detecting serial dependence in tail events: a test dual to the BDS test," Economics Letters, Elsevier, volume 79, issue 3, pages 319-324, June.
  2. De Gooijer J.G. & Zerom D., 2003, "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, volume 98, pages 135-146, January.
  3. Jan G. De Gooijer & Dawit Zerom, 2003, "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 57, issue 2, pages 159-176, May, DOI: 10.1111/1467-9574.00226.
  4. De Gooijer, Jan G. & Ray, Bonnie K., 2003, "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 1-2, pages 73-90, February.
  5. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2003, "Nonlinear stochastic inflation modelling using SEASETARs," Insurance: Mathematics and Economics, Elsevier, volume 32, issue 1, pages 3-18, February.
  6. Pelsser, Antoon, 2003, "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, volume 33, issue 2, pages 283-296, October.
  7. A. Pelsser, 2003, "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 1, pages 59-65, DOI: 10.1088/1469-7688/3/1/306.
  8. W. A. van den Broek & J. C. Engwerda & J. M. Schumacher, 2003, "Robust Equilibria in Indefinite Linear-Quadratic Differential Games," Journal of Optimization Theory and Applications, Springer, volume 119, issue 3, pages 565-595, December, DOI: 10.1023/B:JOTA.0000006690.78564.88.

2002

  1. Diks Cees & Manzan Sebastiano, 2002, "Tests for Serial Independence and Linearity Based on Correlation Integrals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 2, pages 1-22, July, DOI: 10.2202/1558-3708.1005.
  2. De Gooijer, Jan G., 2002, "Introduction to forecasting decisions in conflict situations," International Journal of Forecasting, Elsevier, volume 18, issue 3, pages 319-320.
  3. De Gooijer, Jan G. & Gannoun, Ali & Zerom, Dawit, 2002, "Mean squared error properties of the kernel-based multi-stage median predictor for time series," Statistics & Probability Letters, Elsevier, volume 56, issue 1, pages 51-56, January.
  4. Pieter Bouwknegt & Antoon Pelsser, 2002, "Market Value of Insurance Contracts with Profit Sharing," Journal of Risk Finance, Emerald Group Publishing Limited, volume 3, issue 3, pages 60-64, February, DOI: 10.1108/eb043495.

2001

  1. Jan G. De Gooijer, 2001, "Cross‐validation Criteria for Setar Model Selection," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 3, pages 267-281, May, DOI: 10.1111/1467-9892.00223.
  2. Frank De Jong & Joost Driessen & Antoon Pelsser, 2001, "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, volume 5, issue 3, pages 201-237.

2000

  1. Gooijer, Jan G. De & Gannoun, Ali, 2000, "Nonparametric conditional predictive regions for time series," Computational Statistics & Data Analysis, Elsevier, volume 33, issue 3, pages 259-275, May.
  2. Antoon Pelsser, 2000, "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, volume 4, issue 1, pages 95-104.
  3. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000, "Markov-functional interest rate models," Finance and Stochastics, Springer, volume 4, issue 4, pages 391-408.

1999

  1. De Gooijer, Jan G & MacNeill, Ian B, 1999, "Lagged Regression Residuals and Serial-Correlation Tests," Journal of Business & Economic Statistics, American Statistical Association, volume 17, issue 2, pages 236-247, April.
  2. Weeren, A. J. T. M. & Schumacher, J. M. & Engwerda, J. C., 1999, "Strategic behavior and noncooperative hierarchical control," Journal of Economic Dynamics and Control, Elsevier, volume 23, issue 4, pages 641-669, February.
  3. A. J. T. M. Weeren & J. M. Schumacher & J. C. Engwerda, 1999, "Asymptotic Analysis of Linear Feedback Nash Equilibria in Nonzero-Sum Linear-Quadratic Differential Games," Journal of Optimization Theory and Applications, Springer, volume 101, issue 3, pages 693-722, June, DOI: 10.1023/A:1021798322597.

1998

  1. Jan De Gooijer, 1998, "On threshold moving‐average models," Journal of Time Series Analysis, Wiley Blackwell, volume 19, issue 1, pages 1-18, January, DOI: 10.1111/1467-9892.00074.
  2. De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998, "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, volume 17, issue 3, pages 513-534, June.
  3. De Gooijer, Jan G. & De Bruin, Paul T., 1998, "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, volume 37, issue 1, pages 7-14, January.

1997

  1. De Gooijer, Jan G. & Franses, Philip Hans, 1997, "Forecasting and seasonality," International Journal of Forecasting, Elsevier, volume 13, issue 3, pages 303-305, September.

1996

  1. Akman, Ibrahim & De Gooijer, Jan G., 1996, "Component extraction analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, volume 21, issue 5, pages 487-499, May.
  2. Pelsser, Antoon & Vorst, Ton, 1996, "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, volume 91, issue 2, pages 250-263, June.

1995

  1. De Gooijer, Jan G., 1995, "Oliver Duncan Anderson: 1940-1995," International Journal of Forecasting, Elsevier, volume 11, issue 1, pages 195-196, March.

1993

  1. de Gooijer, Jan G., 1993, "Nonlinear dynamics, chaos, and instability : William A. Brock, David A. Hsieh and Blake LeBaron, 1991, (MIT Press, Cambridge) 328, pp. [UK pound]29.25. ISBN 0-262-02329-6," International Journal of Forecasting, Elsevier, volume 9, issue 1, pages 134-135, April.
  2. De Gooijer, Jan G., 1993, "On predictive least squares principles : C.Z. Wei, The Annals of Statistics 20 (1992), 1-42," International Journal of Forecasting, Elsevier, volume 9, issue 1, pages 138-139, April.

1992

  1. Ruijgrok, Th. & Diks, C., 1992, "Quasicrystalline polymers," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 183, issue 1, pages 51-53, DOI: 10.1016/0378-4371(92)90177-R.
  2. de Gooijer, Jan G. & Klein, Andre, 1992, "On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes," International Journal of Forecasting, Elsevier, volume 7, issue 4, pages 501-513, March.
  3. De Gooijer, Jan G. & Kumar, Kuldeep, 1992, "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, volume 8, issue 2, pages 135-156, October.
  4. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992, "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer;The Psychometric Society, volume 57, issue 3, pages 333-349, September, DOI: 10.1007/BF02295422.

1990

  1. de Gooijer, Jap G., 1990, "The role of time series analysis in forecasting: A personal view," International Journal of Forecasting, Elsevier, volume 6, issue 4, pages 449-451, December.

1989

  1. De Gooijer, Jan G., 1989, "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, volume 31, issue 1, pages 31-35.

1980

  1. De Gooijer, Jan G., 1980, "Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1," Journal of Econometrics, Elsevier, volume 14, issue 3, pages 365-379, December.

Chapters

1997

  1. Pieter H.F.M. van Casteren & Jan G. De Gooijer, 1997, "Model Selection By Maximum Entropy," Advances in Econometrics, Emerald Group Publishing Limited, "Applying Maximum Entropy to Econometric Problems", DOI: 10.1108/S0731-9053(1997)0000012007.

Software components

2022

  1. Christopher F Baum & Denni Tommasi & Lina Zhang, 2022, "IVREG2M: Stata module to identify treatment-effects estimates with potentially misreported and endogenous program participation," Statistical Software Components, Boston College Department of Economics, number S459093, revised 04 Jun 2024.

2021

  1. Andy Lin & Denni Tommasi & Lina Zhang, 2021, "IVBOUNDS: Stata module providing instrumental variable method to bound treatment-effects estimates with potentially misreported and endogenous program participation," Statistical Software Components, Boston College Department of Economics, number S458967, revised .

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.