# Theo Nijman

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## Personal Details

First Name: | Theo |

Middle Name: | |

Last Name: | Nijman |

Suffix: | |

RePEc Short-ID: | pni115 |

[This author has chosen not to make the email address public] | |

http://center.uvt.nl/staff/nijman/ | |

Tilburg, Netherlands

http://www.tilburguniversity.nl/faculties/feb/organisation/dept/eor/

: +31 13 466 2430

+31 13 466 3280

PO Box 90153, 5000 LE Tilburg

RePEc:edi:exkubnl (more details at EDIRC)

http://www.tilburguniversity.nl/faculties/feb/organisation/dept/eor/

: +31 13 466 2430

+31 13 466 3280

PO Box 90153, 5000 LE Tilburg

RePEc:edi:exkubnl (more details at EDIRC)

Tilburg, Netherlands

http://www.tilburguniversity.nl/faculties/feb/organisation/dept/fin/

: +31 13 466 3041

+31 13 466 2875

PO Box 90153, 5000 LE Tilburg

RePEc:edi:fdkubnl (more details at EDIRC)

http://www.tilburguniversity.nl/faculties/feb/organisation/dept/fin/

: +31 13 466 3041

+31 13 466 2875

PO Box 90153, 5000 LE Tilburg

RePEc:edi:fdkubnl (more details at EDIRC)

Tilburg, Netherlands

http://center.uvt.nl/

: 31 13 4663050

31 13 4663066

P.O. Box 90153, 5000 LE Tilburg

RePEc:edi:cekubnl (more details at EDIRC)

http://center.uvt.nl/

: 31 13 4663050

31 13 4663066

P.O. Box 90153, 5000 LE Tilburg

RePEc:edi:cekubnl (more details at EDIRC)

- Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010.
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**Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand**," Discussion Paper 2010-14, Tilburg University, Center for Economic Research. - Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010.
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**Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement**," Discussion Paper 2010-11, Tilburg University, Center for Economic Research. - Sanders, E.A.T. & De Waegenaere, A.M.B. & Nijman, T.E., 2010.
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**When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?**," Discussion Paper 2010-43, Tilburg University, Center for Economic Research.- Sanders, Lisanne & De Waegenaere, Anja & Nijman, Theo E., 2013.
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**When can insurers offer products that dominate delayed old-age pension benefit claiming?**," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 134-149.

- Sanders, Lisanne & De Waegenaere, Anja & Nijman, Theo E., 2013.
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- Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006.
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**Optimal Portfolio Choice with Annuitization**," Discussion Paper 2006-78, Tilburg University, Center for Economic Research. - Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005.
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**Labor Income and the Demand for Long-term Bonds**," Discussion Paper 2005-95, Tilburg University, Center for Economic Research. - Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman, 2004.
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**An Anatomy of Futures Returns: Risk Premiums and Trading Strategies**," WO Research Memoranda (discontinued) 757, Netherlands Central Bank, Research Department. - Nijman, T.E. & Swinkels, L.A.P., 2003.
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**Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes**," Discussion Paper 2003-20, Tilburg University, Center for Economic Research. - Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002.
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**Do Countries or Industries Explain Momentum in Europe?**," Discussion Paper 2002-9, Tilburg University, Center for Economic Research.- Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004.
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**Do countries or industries explain momentum in Europe?**," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September.

- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002.
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**Do Countries or Industries Explain Momentum in Europe?**," ERIM Report Series Research in Management ERS-2002-91-F&A, 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. - Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004.
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**Do countries or industries explain momentum in Europe?**," Other publications TiSEM 73c21ccd-7c67-4e11-8eac-5, Tilburg University, School of Economics and Management.

- Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004.
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- de Roon, Frans & Nijman, Theo E & ter Horst, Jenke, 2002.
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**Evaluating Style Analysis**," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.- ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
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**Evaluating style analysis**," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.

- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000.
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**Evaluating Style Analysis**," Discussion Paper 2000-64, Tilburg University, Center for Economic Research.

- ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
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- Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002.
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**The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity**," Discussion Paper 2002-29, Tilburg University, Center for Economic Research. - Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002.
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**Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News**," Discussion Paper 2002-69, Tilburg University, Center for Economic Research. - Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002.
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**The Dynamics of the Impact of Past Performance on Mutual Fund Flows**," Discussion Paper 2002-2, Tilburg University, Center for Economic Research. - Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2001.
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**On the Empirical Evidence of Mutual Fund Strategic Risk Taking**," Discussion Paper 2001-9, Tilburg University, Center for Economic Research. - Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000.
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**Common Factors in International Bond Returns**," Discussion Paper 2000-91, Tilburg University, Center for Economic Research.- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003.
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**Common factors in international bond returns**," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 629-656, October.

- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003.
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- Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000.
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**Testing Affine Term Structure Models in Case of Transaction Costs**," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society.- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005.
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**Testing affine term structure models in case of transaction costs**," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.

- Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999.
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**Testing Affine Term Structure Models in Case of Transaction Costs**," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.

- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005.
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- de Jong, A. & Macrae, V. & Nijman, T.E., 2000.
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**Derivatengebruik van Nederlandse Niet-Financiële Bedrijven**," Research Memorandum 786, Tilburg University, School of Economics and Management. - de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1999.
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**Currency Hedging for International Stock Portfolios : A General Approach**," Discussion Paper 1999-123, Tilburg University, Center for Economic Research. - de Roon, F.A. & Nijman, T.E., 1998.
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**Testing for mean-variance spanning : A survey**," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.- DeRoon, Frans A. & Nijman, Theo E., 2001.
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**Testing for mean-variance spanning: a survey**," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.

- DeRoon, Frans A. & Nijman, Theo E., 2001.
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- de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1998.
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**Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets**," Discussion Paper 1998-07, Tilburg University, Center for Economic Research. - Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998.
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**Style Analysis and Performance Evaluation of Dutch Mutual Funds**," Discussion Paper 1998-50, Tilburg University, Center for Economic Research. - Jenke R. ter Horst & Theo E. Nijman & Marno Verbeek, 1998.
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**Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample**," Working Papers Department of Economics ces9820, KU Leuven, Faculty of Economics and Business, Department of Economics.- Ter Horst, J.R. & Nijman, T.E. & Verbeek, M.J.C.M., 1998.
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**Eliminating biases in evaluating mutual fund performance from a survivorship free sample**," Discussion Paper 98.55, Tilburg University, Center for Economic Research.

- Ter Horst, J.R. & Nijman, T.E. & Verbeek, M.J.C.M., 1998.
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- Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998.
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**Performance analysis of international mutual funds incorporating market frictions**," Discussion Paper 1998-51, Tilburg University, Center for Economic Research. - de Roon, F.A. & Nijman, T.E. & Veld, C.H., 1997.
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**Analyzing specification errors in models for futures risk premia with hedging pressure**," Discussion Paper 1997-102, Tilburg University, Center for Economic Research. - F. A. d. ROON & T. E. NIJMAN & B. J. WERKER, 1996.
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**Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach**," SFB 373 Discussion Papers 1996,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.- Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 1996.
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**Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach**," Discussion Paper 1996-83, Tilburg University, Center for Economic Research.

- Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 1996.
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- Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996.
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**Pricing Term Structure Risk in Futures Markets**," Discussion Paper 1996-78, Tilburg University, Center for Economic Research.- de Roon, Frans A. & Nijman, Theo E. & Veld, Chris, 1998.
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**Pricing Term Structure Risk in Futures Markets**," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 139-157, March.

- de Roon, Frans A. & Nijman, Theo E. & Veld, Chris, 1998.
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- de Jong, F.C.J.M. & Nijman, T.E., 1995.
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**High frequency analysis of lead-lag relationships between financial markets**," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.- de Jong, Frank & Nijman, Theo, 1997.
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**High frequency analysis of lead-lag relationships between financial markets**," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.

- de Jong, Frank & Nijman, Theo, 1997.
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- Nijman, T. & Sentana, E., 1994.
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**Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses**," Papers 9419, Centro de Estudios Monetarios Y Financieros-.- Nijman, Theo & Sentana, Enrique, 1996.
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**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.

- Nijman, T.E. & Sentana, E., 1993.
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**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Discussion Paper 1993-12, Tilburg University, Center for Economic Research. - Nijman, T.E. & Sentana, E., 1996.
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**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management. - Nijman, T. & Sentana, E., 1993.
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**Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes**," Papers 9312, Tilburg - Center for Economic Research.

- Nijman, Theo & Sentana, Enrique, 1996.
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- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994.
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**Estimation and testing in models containing both jumps and conditional heteroskedasticity**," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.- Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998.
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**Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity**," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-43, April.

- Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998.
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- de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994.
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**Price effects of trading and components of the bid-ask spread on the Paris Bource**," Discussion Paper 1994-54, Tilburg University, Center for Economic Research.- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996.
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**Price effects of trading and components of the bid-ask spread on the Paris Bourse**," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.

- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996.
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- De Jong, F. & Nijman, T. & Roell, A., 1993.
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**A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International**," Papers 9329, Tilburg - Center for Economic Research. - de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1993.
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**A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International**," Discussion Paper 1993-29, Tilburg University, Center for Economic Research.- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995.
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**A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International**," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.

- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995.
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- Drost, F.C. & Nijman, T.E., 1992.
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**Temporal Aggregation of Garch Processes**," Papers 9240, Tilburg - Center for Economic Research.- Drost, Feike C & Nijman, Theo E, 1993.
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**Temporal Aggregation of GARCH Processes**," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July.

- Drost, F.C. & Nijman, T.E., 1990.
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**Temporal aggregation of GARCH processes**," Discussion Paper 1990-66, Tilburg University, Center for Economic Research. - Drost, F.C. & Nijman, T.E., 1992.
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**Temporal aggregation of GARCH processes**," Discussion Paper 1992-40, Tilburg University, Center for Economic Research. - Drost, F.C. & Nijman, T.E., 1990.
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**Temporal Aggregation Of Garch Processes**," Papers 9066, Tilburg - Center for Economic Research.

- Drost, Feike C & Nijman, Theo E, 1993.
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- Verbeek, M. & Nijman, T., 1992.
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**Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections**," Papers 9201, Tilburg - Center for Economic Research.- Verbeek, Marno & Nijman, Theo, 1993.
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**Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections**," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 125-136, September.

- Verbeek, Marno & Nijman, Theo, 1993.
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- Verbeek, M. & Nijman, T., 1992.
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**Incomplete Panels and Selection Bias: A Survey**," Papers 9207, Tilburg - Center for Economic Research.- Verbeek, M.J.C.M. & Nijman, T.E., 1992.
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**Incomplete panels and selection bias : A survey**," Discussion Paper 1992-7, Tilburg University, Center for Economic Research.

- Verbeek, M.J.C.M. & Nijman, T.E., 1992.
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- Verbeek, M.J.C.M. & Nijman, T.E., 1992.
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**Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)**," Discussion Paper 1992-1, Tilburg University, Center for Economic Research. - Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991.
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**Premia in Forward Foreign Exchange as Unobserved Components**," Papers 9112, Tilburg - Center for Economic Research.- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1993.
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**Premia in forward foreign exchange as unobserved components**," Other publications TiSEM 23782b7b-2146-4381-8cf9-4, Tilburg University, School of Economics and Management. - Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991.
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**Premia in forward foreign exchange as unobserved components**," Discussion Paper 1991-12, Tilburg University, Center for Economic Research.

- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1993.
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- Nijman, T.E. & Palm, F.C., 1991.
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**Recent Developments in Modeling Volatility in Financial Data**," Papers 9168, Tilburg - Center for Economic Research.- Nijman, T.E. & Palm, F.C., 1991.
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**Recent developments in modeling volatility in financial data**," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.

- Nijman, T.E. & Palm, F.C., 1991.
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- Nijman, T. & Beetsma, R., 1990.
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**Empirical Tests Of A Simple Pricing Model For Sugar Futures**," Papers 9068, Tilburg - Center for Economic Research.- Theodore E. Nijman & Roel Beetsma, 1991.
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**Empirical Tests of a Simple Pricing Model for Sugar Futures**," Annals of Economics and Statistics, GENES, issue 24, pages 121-131.

- Nijman, T.E. & Beetsma, R.M.W.J., 1991.
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**Empirical tests of a simple pricing model for sugar futures**," Other publications TiSEM bf4e6378-ad42-48bf-9a98-e, Tilburg University, School of Economics and Management. - Nijman, T.E. & Beetsma, R.M.W.J., 1990.
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**Empirical tests of a simple pricing model for sugar futures**," Discussion Paper 1990-68, Tilburg University, Center for Economic Research.

- Theodore E. Nijman & Roel Beetsma, 1991.
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- Verbeek, M. & Nijman, T., 1990.
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**Testing For Selectivity Bias In Panel Data Models**," Papers 9018, Tilburg - Center for Economic Research.- Verbeek, Marno & Nijman, Theo, 1992.
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**Testing for Selectivity Bias in Panel Data Models**," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 681-703, August.

- Verbeek, M.J.C.M. & Nijman, T.E., 1990.
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**Testing for selectivity bias in panel data models**," Discussion Paper 1990-18, Tilburg University, Center for Economic Research.

- Verbeek, Marno & Nijman, Theo, 1992.
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- Verbeek, M. & Nijman, T., 1990.
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**Can Cohort Data Be Treated As Genuine Panel Data**," Papers 9064, Tilburg - Center for Economic Research.- Verbeek, Marno & Nijman, Theo, 1992.
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**Can Cohort Data Be Treated as Genuine Panel Data?**," Empirical Economics, Springer, vol. 17(1), pages 9-23.

- Verbeek, M.J.C.M. & Nijman, T.E., 1990.
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**Can cohort data be treated as genuine panel data?**," Discussion Paper 1990-64, Tilburg University, Center for Economic Research.

- Verbeek, Marno & Nijman, Theo, 1992.
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- Nijman, T.E., 1989.
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**A natural approach to optimal forecasting in case of preliminary observations**," Research Memorandum FEW 404, Tilburg University, School of Economics and Management. - Nijman, T. & Palm, F., 1989.
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**Generalized Least Squares Estimation Of Linear Models Containing Rational Future Exepectations**," Papers 8902, Tilburg - Center for Economic Research.- Nijman, Theo & Palm, Franz, 1991.
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**Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations**," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 383-89, May.

- Nijman, T.E. & Palm, F.C., 1989.
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**Generalized least squares estimation of linear models containing rational future expectations**," Discussion Paper 1989-2, Tilburg University, Center for Economic Research. - Nijman, T.E. & Palm, F.C., 1991.
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**Generalized least squares estimation of linear models containing rational future expectations**," Other publications TiSEM 6d9f1d75-6ab6-4db6-b5aa-b, Tilburg University, School of Economics and Management.

- Nijman, Theo & Palm, Franz, 1991.
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- Nijman, T. & Verbeek, M., 1989.
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**The Nonresponse Bias In The Analysis Of The Determinants Of Total Expenditures Of Households Based On Panel Data**," Papers 8936, Tilburg - Center for Economic Research. - Nijman, T.E. & Verbeek, M.J.C.M., 1989.
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**The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data**," Discussion Paper 1989-36, Tilburg University, Center for Economic Research. - Nijman, T.E. & Steel, M.F.J., 1988.
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**Exclusion restrictions in instrumental variables equations**," Research Memorandum FEW 327, Tilburg University, School of Economics and Management.- Nijman, T.E. & Steel, M.F.J., 1990.
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**Exclusion restrictions in instrumental variables equations**," Other publications TiSEM 8ed5ddd9-9da8-4725-b4fa-c, Tilburg University, School of Economics and Management.

- Nijman, T.E. & Steel, M.F.J., 1990.
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- Nijman, T.E. & Verbeek, M.J.C.M. & van Soest, A.H.O., 1988.
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**The optimal design of rotating panels in a simple analysis of variance model**," Research Memorandum FEW 318, Tilburg University, School of Economics and Management. - Nijman, T.E. & Verbeek, M.J.C.M., 1988.
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**Estimation of time dependent parameters in linear models using cross sections, panels or both**," Research Memorandum FEW 302, Tilburg University, School of Economics and Management.- Nijman, Theo & Verbeek, Marno, 1990.
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**Estimation of time-dependent parameters in linear models using cross-sections, panels, or both**," Journal of Econometrics, Elsevier, vol. 46(3), pages 333-346, December.

- Nijman, Theo & Verbeek, Marno, 1990.
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- Nijman, T.E. & Palm, F.C., 1987.
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**Consistent estimation of regression models with incompletely observed exogenous variables**," Research Memorandum FEW 272, Tilburg University, School of Economics and Management.- Theodore E. Nijman & Franz C. Palm, 1988.
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**Consistent Estimation of Regression Models with Incompletely Observed Exogenous Variables**," Annals of Economics and Statistics, GENES, issue 12, pages 151-175.

- Nijman, T.E. & Palm, F.C., 1988.
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**Consistent estimation of regression models with incompletely observed exogenous variables**," Other publications TiSEM a44e99cc-3c1b-461c-91c1-2, Tilburg University, School of Economics and Management.

- Theodore E. Nijman & Franz C. Palm, 1988.
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- Nijman, T.E. & Palm, F.C., 1987.
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**Predictive accuracy gain from disaggregate sampling in ARIMA-models**," Research Memorandum FEW 273, Tilburg University, School of Economics and Management.- Nijman, Theo E & Palm, Franz C, 1990.
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**Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models**," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-15, October.

- Nijman, T.E. & Palm, F.C., 1990.
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**Predictive accuracy gain from disaggregate sampling in ARIMA models**," Other publications TiSEM 50a68aea-1b30-497d-b111-6, Tilburg University, School of Economics and Management.

- Nijman, Theo E & Palm, Franz C, 1990.
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- Nijman, T.E. & Palm, F.C., 1986.
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**Efficiency gains due to using missing data procedures in regression models**," Research Memorandum FEW 240, Tilburg University, School of Economics and Management.- Palm, F.C. & Nijman, T.E., 1988.
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**Efficiency gains due to using missing data procedures in regression models**," Other publications TiSEM 2853eab0-e00a-4df9-898e-d, Tilburg University, School of Economics and Management.

- Palm, F.C. & Nijman, T.E., 1988.
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- Nijman, T.E. & Palm, F.C., 1986.
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**Consistent estimation of rational expectation models**," Research Memorandum FEW 216, Tilburg University, School of Economics and Management.

- Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker, 2011.
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**Optimal Annuity Risk Management**," Review of Finance, European Finance Association, vol. 15(4), pages 799-833. - Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker, 2010.
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**When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?**," Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 741-780, February. - Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo, 2010.
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**Longevity risk and capital markets: The 2008-2009 update**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 135-138, February. - Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008.
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**Longevity risk in portfolios of pension annuities**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April. - Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008.
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**Estimating the term structure of mortality**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April. - Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J.M., 2008.
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**Performance information dissemination in the mutual fund industry**," Journal of Financial Markets, Elsevier, vol. 11(2), pages 144-159, May.- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2008.
"
**Performance information dissemination in the mutual fund industry**," Other publications TiSEM 4d4ab4a3-0443-4758-aefe-8, Tilburg University, School of Economics and Management.

- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2008.
"
- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005.
"
**Testing affine term structure models in case of transaction costs**," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.- Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999.
"
**Testing Affine Term Structure Models in Case of Transaction Costs**," Discussion Paper 1999-84, Tilburg University, Center for Economic Research. - Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000.
"
**Testing Affine Term Structure Models in Case of Transaction Costs**," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society.

- Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999.
"
- Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M., 2005.
"
**Yet another look at mutual fund tournaments**," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 127-137, January.- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2005.
"
**Yet another look at mutual fund tournaments**," Other publications TiSEM 18f339f2-5cf9-4e35-9440-9, Tilburg University, School of Economics and Management.

- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2005.
"
- ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
"
**Evaluating style analysis**," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000.
"
**Evaluating Style Analysis**," Discussion Paper 2000-64, Tilburg University, Center for Economic Research. - de Roon, Frans & Nijman, Theo E & ter Horst, Jenke, 2002.
"
**Evaluating Style Analysis**," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.

- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000.
"
- Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004.
"
**Do countries or industries explain momentum in Europe?**," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September.- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002.
"
**Do Countries or Industries Explain Momentum in Europe?**," Discussion Paper 2002-9, Tilburg University, Center for Economic Research. - Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002.
"
**Do Countries or Industries Explain Momentum in Europe?**," ERIM Report Series Research in Management ERS-2002-91-F&A, 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. - Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004.
"
**Do countries or industries explain momentum in Europe?**," Other publications TiSEM 73c21ccd-7c67-4e11-8eac-5, Tilburg University, School of Economics and Management.

- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002.
"
- de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M., 2003.
"
**Currency hedging for international stock portfolios: The usefulness of mean-variance analysis**," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 327-349, February. - Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003.
"
**Common factors in international bond returns**," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 629-656, October.- Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000.
"
**Common Factors in International Bond Returns**," Discussion Paper 2000-91, Tilburg University, Center for Economic Research.

- Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000.
"
- ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno, 2001.
"
**Eliminating look-ahead bias in evaluating persistence in mutual fund performance**," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 345-373, September. - DeRoon, Frans A. & Nijman, Theo E., 2001.
"
**Testing for mean-variance spanning: a survey**," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.- de Roon, F.A. & Nijman, T.E., 1998.
"
**Testing for mean-variance spanning : A survey**," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.

- de Roon, F.A. & Nijman, T.E., 1998.
"
- Frans A. de Roon & Theo E. Nijman & Chris Veld, 2000.
"
**Hedging Pressure Effects in Futures Markets**," Journal of Finance, American Finance Association, vol. 55(3), pages 1437-1456, 06.- de Roon, F.A. & Nijman, T.E. & Veld, C.H., 2000.
"
**Hedging pressure effects in futures markets**," Other publications TiSEM 3dfe2c9f-3194-4751-9b34-1, Tilburg University, School of Economics and Management.

- de Roon, F.A. & Nijman, T.E. & Veld, C.H., 2000.
"
- Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998.
"
**Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity**," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-43, April.- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994.
"
**Estimation and testing in models containing both jumps and conditional heteroskedasticity**," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.

- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994.
"
- de Roon, Frans A. & Nijman, Theo E. & Veld, Chris, 1998.
"
**Pricing Term Structure Risk in Futures Markets**," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 139-157, March.- Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996.
"
**Pricing Term Structure Risk in Futures Markets**," Discussion Paper 1996-78, Tilburg University, Center for Economic Research.

- Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996.
"
- de Jong, Frank & Nijman, Theo, 1997.
"
**High frequency analysis of lead-lag relationships between financial markets**," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.- de Jong, F.C.J.M. & Nijman, T.E., 1995.
"
**High frequency analysis of lead-lag relationships between financial markets**," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.

- de Jong, F.C.J.M. & Nijman, T.E., 1995.
"
- Nijman, Theo & Sentana, Enrique, 1996.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.- Nijman, T. & Sentana, E., 1993.
"
**Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes**," Papers 9312, Tilburg - Center for Economic Research. - Nijman, T.E. & Sentana, E., 1996.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management. - Nijman, T.E. & Sentana, E., 1993.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Discussion Paper 1993-12, Tilburg University, Center for Economic Research. - Nijman, T. & Sentana, E., 1994.
"
**Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses**," Papers 9419, Centro de Estudios Monetarios Y Financieros-.

- Nijman, T. & Sentana, E., 1993.
"
- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996.
"
**Price effects of trading and components of the bid-ask spread on the Paris Bourse**," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.- de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994.
"
**Price effects of trading and components of the bid-ask spread on the Paris Bource**," Discussion Paper 1994-54, Tilburg University, Center for Economic Research.

- de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994.
"
- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995.
"
**A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International**," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.- de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1993.
"
**A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International**," Discussion Paper 1993-29, Tilburg University, Center for Economic Research.

- de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1993.
"
- Nijman, Theo E & Palm, Franz C & Wolff, Christian C P, 1993.
"
**Premia in Forward Foreign Exchange as Unobserved Components: A Note**," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 361-65, July. - Drost, Feike C & Nijman, Theo E, 1993.
"
**Temporal Aggregation of GARCH Processes**," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July.- Drost, F.C. & Nijman, T.E., 1992.
"
**Temporal Aggregation of Garch Processes**," Papers 9240, Tilburg - Center for Economic Research. - Drost, F.C. & Nijman, T.E., 1992.
"
**Temporal aggregation of GARCH processes**," Discussion Paper 1992-40, Tilburg University, Center for Economic Research. - Drost, F.C. & Nijman, T.E., 1990.
"
**Temporal aggregation of GARCH processes**," Discussion Paper 1990-66, Tilburg University, Center for Economic Research. - Drost, F.C. & Nijman, T.E., 1990.
"
**Temporal Aggregation Of Garch Processes**," Papers 9066, Tilburg - Center for Economic Research.

- Drost, F.C. & Nijman, T.E., 1992.
"
- Verbeek, Marno & Nijman, Theo, 1993.
"
**Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections**," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 125-136, September.- Verbeek, M. & Nijman, T., 1992.
"
**Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections**," Papers 9201, Tilburg - Center for Economic Research.

- Verbeek, M. & Nijman, T., 1992.
"
- Nijman, Theo & Verbeek, Marno, 1992.
"
**The optimal choice of controls and pre-experimental observations**," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 183-189. - Nijman, Theo & Verbeek, Marno, 1992.
"
**Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 243-57, July-Sept. - Verbeek, Marno & Nijman, Theo, 1992.
"
**Testing for Selectivity Bias in Panel Data Models**," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 681-703, August.- Verbeek, M. & Nijman, T., 1990.
"
**Testing For Selectivity Bias In Panel Data Models**," Papers 9018, Tilburg - Center for Economic Research. - Verbeek, M.J.C.M. & Nijman, T.E., 1990.
"
**Testing for selectivity bias in panel data models**," Discussion Paper 1990-18, Tilburg University, Center for Economic Research.

- Verbeek, M. & Nijman, T., 1990.
"
- Verbeek, Marno & Nijman, Theo, 1992.
"
**Can Cohort Data Be Treated as Genuine Panel Data?**," Empirical Economics, Springer, vol. 17(1), pages 9-23.- Verbeek, M.J.C.M. & Nijman, T.E., 1990.
"
**Can cohort data be treated as genuine panel data?**," Discussion Paper 1990-64, Tilburg University, Center for Economic Research. - Verbeek, M. & Nijman, T., 1990.
"
**Can Cohort Data Be Treated As Genuine Panel Data**," Papers 9064, Tilburg - Center for Economic Research.

- Verbeek, M.J.C.M. & Nijman, T.E., 1990.
"
- Nijman, Theo & Verbeek, Marno & van Soest, Arthur, 1991.
"
**The efficiency of rotating-panel designs in an analysis-of-variance model**," Journal of Econometrics, Elsevier, vol. 49(3), pages 373-399, September.- Nijman, T.E. & Verbeek, M.J.C.M. & van Soest, A.H.O., 1991.
"
**The efficiency of rotating panel designs in an analysis of variance model**," Other publications TiSEM 9cbb61cc-762f-4ab2-84f6-5, Tilburg University, School of Economics and Management.

- Nijman, T.E. & Verbeek, M.J.C.M. & van Soest, A.H.O., 1991.
"
- Nijman, Theo & Palm, Franz, 1991.
"
**Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations**," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 383-89, May.- Nijman, T.E. & Palm, F.C., 1991.
"
**Generalized least squares estimation of linear models containing rational future expectations**," Other publications TiSEM 6d9f1d75-6ab6-4db6-b5aa-b, Tilburg University, School of Economics and Management. - Nijman, T. & Palm, F., 1989.
"
**Generalized Least Squares Estimation Of Linear Models Containing Rational Future Exepectations**," Papers 8902, Tilburg - Center for Economic Research. - Nijman, T.E. & Palm, F.C., 1989.
"
**Generalized least squares estimation of linear models containing rational future expectations**," Discussion Paper 1989-2, Tilburg University, Center for Economic Research.

- Nijman, T.E. & Palm, F.C., 1991.
"
- Nijman, Theo & Verbeek, Marno, 1990.
"
**Estimation of time-dependent parameters in linear models using cross-sections, panels, or both**," Journal of Econometrics, Elsevier, vol. 46(3), pages 333-346, December.- Nijman, T.E. & Verbeek, M.J.C.M., 1988.
"
**Estimation of time dependent parameters in linear models using cross sections, panels or both**," Research Memorandum FEW 302, Tilburg University, School of Economics and Management.

- Nijman, T.E. & Verbeek, M.J.C.M., 1988.
"
- Nijman, Theo E & Palm, Franz C, 1990.
"
**Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models**," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-15, October.- Nijman, T.E. & Palm, F.C., 1990.
"
**Predictive accuracy gain from disaggregate sampling in ARIMA models**," Other publications TiSEM 50a68aea-1b30-497d-b111-6, Tilburg University, School of Economics and Management. - Nijman, T.E. & Palm, F.C., 1987.
"
**Predictive accuracy gain from disaggregate sampling in ARIMA-models**," Research Memorandum FEW 273, Tilburg University, School of Economics and Management.

- Nijman, T.E. & Palm, F.C., 1990.
"
- Nijman, T E & Palm, F C, 1986.
"
**The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach**," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 47-58, January.- Nijman, T.E. & Palm, F.C., 1985.
"
**The construction and use of approximations for missing quarterly observations : A model-based approach**," Other publications TiSEM 22310454-d7c0-4639-b9a7-5, Tilburg University, School of Economics and Management.

- Nijman, T.E. & Palm, F.C., 1985.
"
- Palm, Franz C & Nijman, Theo E, 1984.
"
**Missing Observations in the Dynamic Regression Model**," Econometrica, Econometric Society, vol. 52(6), pages 1415-35, November.- Palm, F.C. & Nijman, Th., 1982.
"
**Missing observations in the dynamic regression model**," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. - Nijman, T.E. & Palm, F.C., 1984.
"
**Missing observations in the dynamic regression model**," Other publications TiSEM 4d689d7c-4d89-4ab6-b8c3-f, Tilburg University, School of Economics and Management.

- Palm, F.C. & Nijman, Th., 1982.
"
- Palm, F. C. & Nijman, T. E., 1982.
"
**Linear regression using both temporally aggregated and temporally disaggregated data**," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 333-343, August.- Palm, F.C. & Nijman, T.E., 1982.
"
**Linear regression using both temporally aggregated and temporally disaggregated data**," Other publications TiSEM dc43de47-0865-4485-8f7c-8, Tilburg University, School of Economics and Management. - Palm, F.C. & Nijman, Th., 1981.
"
**Linear regression using both temporally aggregated and temporally disaggregated data**," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

- Palm, F.C. & Nijman, T.E., 1982.
"

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

- NEP-RMG:
**Risk Management**(2) 2003-03-14 2004-08-16. Author is listed - NEP-CFN:
**Corporate Finance**(1) 2003-03-14. Author is listed - NEP-FIN:
**Finance**(1) 2004-08-16. Author is listed - NEP-FMK:
**Financial Markets**(1) 2008-04-21. Author is listed

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#### Most cited item

- Drost, F.C. & Nijman, T.E., 1992.
"
**Temporal Aggregation of Garch Processes**," Papers 9240, Tilburg - Center for Economic Research.

#### Most downloaded item (past 12 months)

- Jenke R. ter Horst & Theo E. Nijman & Marno Verbeek, 1998.
"
**Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample**," Working Papers Department of Economics ces9820, KU Leuven, Faculty of Economics and Business, Department of Economics.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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