Bertrand Melenberg

Tilburg University - Center for Economic Research (CentER)

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

45

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CITATIONS
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88

Scholarly Papers (45)

1.

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Number of pages: 52 Posted: 06 Nov 2000
Joost Driessen, Pieter Klaassen and Bertrand Melenberg
Tilburg University - Center and Faculty of Economics and Business Administration, UBS AG and Tilburg University - Center for Economic Research (CentER)
Downloads 1,234 (15,421)
Citation 24

Abstract:

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Term Structure Models; Interest Rate Derivatives; Option Pricing; Hedging

2.

Common Factors in International Bond Returns

Number of pages: 34 Posted: 11 Apr 2000
Joost Driessen, Theo Nijman and Bertrand Melenberg
Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 738 (32,533)
Citation 11

Abstract:

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3.

Backtesting for Risk-Based Regulatory Capital

Number of pages: 30 Posted: 04 Dec 2002
Jeroen Kerkhof and Bertrand Melenberg
Lehman Brothers International, Europe and Tilburg University - Center for Economic Research (CentER)
Downloads 549 (48,237)
Citation 12

Abstract:

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Risk management, capital requirements, Basle Accord, multiplication factors, and model selection

4.

Model Risk and Regulatory Capital

Number of pages: 54 Posted: 24 Feb 2002
Jeroen Kerkhof, J. M. Schumacher and Bertrand Melenberg
Lehman Brothers International, Europe, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 540 (49,221)
Citation 15

Abstract:

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Model risk, Capital requirements, (Coherent) risk measurement, Derivative pricing models

5.

Trading Volume, Volatility and Return Dynamics: Individual and Cross-Market Analysis

Number of pages: 36 Posted: 24 Nov 2007
Leon Zolotoy and Bertrand Melenberg
CentER, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 427 (65,957)

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trading volume, volatility, return reversal, price discovery

6.

The Econometric Analysis of Microscopic Simulation Models

CentER Discussion Paper No. 2006-99
Number of pages: 46 Posted: 25 Oct 2006
Youwei Li, Bas Donkers and Bertrand Melenberg
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 282 (105,729)
Citation 1

Abstract:

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Microscopic simulation models, Econometric analysis

7.

Testing Affine Term Structure Models in Case of Transaction Costs

Number of pages: 34 Posted: 31 Jan 2000
Joost Driessen, Theo Nijman and Bertrand Melenberg
Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 222 (135,046)
Citation 2

Abstract:

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8.

Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

CentER Working Paper Series No. 2011-061
Number of pages: 29 Posted: 31 May 2011
Technion-Israel Institute of Technology, Tilburg University - Department of Econometrics & Operations Research, Tilburg University - Center for Economic Research (CentER), Tilburg University - Center for Economic Research (CentER) and Tilburg University - Department of Econometrics & Operations Research
Downloads 220 (136,195)
Citation 4

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robust optimization, ø-divergence, goodness-of-fit statistics

9.

The Non- and Semiparametric Analysis of Ms Models: Some Applications

CentER Discussion Paper No. 2006-95
Number of pages: 19 Posted: 24 Oct 2006
Youwei Li, Bas Donkers and Bertrand Melenberg
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 207 (144,307)

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Microscopic simulation models, Probability density function, Spectral density function, Memory parameters

10.

Ambiguity, no Arbitrage, and the Limits to Rational Expectations

Number of pages: 36 Posted: 06 Mar 2008
Hendri Adriaens, Bas Donkers and Bertrand Melenberg
CentERdata, Tilburg University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 199 (149,645)

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Asset pricing, ambiguity, rational expectations, behavioral finance

11.

Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products: The Effect of Investment Risk

CentER Discussion Paper Series No. 2011-036
Number of pages: 42 Posted: 06 Apr 2011 Last Revised: 30 Apr 2011
Ralph Stevens, Anja De Waegenaere and Bertrand Melenberg
CPB Netherlands Bureau of Economic Policy Analysis, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 194 (153,362)

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Life insurance, life annuities, death benefits, survivor swaps, risk

12.

Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison

CentER Discussion Paper No. 2005-100
Number of pages: 52 Posted: 29 Sep 2005
Simon Polbennikov and Bertrand Melenberg
Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 184 (160,850)
Citation 1

Abstract:

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Portfolio choice, mean variance, mean coherent risk, comparison

13.

Environmental Kuznets Curves for Co2: Heterogeneity Versus Homogeneity

CentER Discussion Paper Series No. 2005-25
Number of pages: 39 Posted: 04 Apr 2005
Herman R.J. Vollebergh, Elbert Dijkgraaf and Bertrand Melenberg
PBL Netherlands Environmental Assessment Agency (Bilthoven), Erasmus University Rotterdam, SEOR-ECRi and Tilburg University - Center for Economic Research (CentER)
Downloads 169 (173,487)
Citation 7

Abstract:

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Environmental Kuznets curves, (semi) parametric estimation, heterogeneity

14.

Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures

CentER Discussion Paper Series No. 2015-047
Number of pages: 54 Posted: 14 May 2014 Last Revised: 29 Sep 2015
Krzysztof Postek, Dick den Hertog and Bertrand Melenberg
Tilburg University - Center for Economic Research (CentER), Tilburg University - Department of Econometrics & Operations Research and Tilburg University - Center for Economic Research (CentER)
Downloads 155 (186,692)

Abstract:

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risk measure, robust counterpart, nonlinear inequality, robust optimization

15.

The CAPM with Endogenous Beliefs

AFA 2009 San Francisco Meetings Paper
Number of pages: 32 Posted: 06 Mar 2008
Hendri Adriaens, Bas Donkers and Bertrand Melenberg
CentERdata, Tilburg University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 150 (191,922)

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Asset pricing, CAPM, endogenous beliefs

16.

Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information

CentER Discussion Paper Series No. 2015-030
Number of pages: 36 Posted: 07 Jun 2015 Last Revised: 18 Jun 2015
Tilburg University - Center for Economic Research (CentER), Technion-Israel Institute of Technology, Tilburg University - Department of Econometrics & Operations Research and Tilburg University - Center for Economic Research (CentER)
Downloads 129 (216,671)

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robust optimization; ambiguity; stochastic programming; chance constraints

17.

Firm Level Productivity Under Imperfect Competition in Output and Labor Markets

CESifo Working Paper Series No. 3082
Number of pages: 50 Posted: 15 Jun 2010
Tilburg University, Tilburg University - Department of Econometrics & Operations Research, Tilburg University - Center for Economic Research (CentER), University of Antwerp - Department of Economics and Hasselt University
Downloads 105 (251,861)

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18.

Trends in Mortality Decrease and Economic Growth

Netspar Discussion Paper No. 11/2013-071
Number of pages: 38 Posted: 07 Feb 2014
Geng Niu and Bertrand Melenberg
Southwestern University of Finance and Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 96 (267,424)

Abstract:

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Longevity, GDP per capita, Lee-Carter model

19.

Testing for Mean-Coherent Regular Risk Spanning

CentER Discussion Paper No. 2005-99
Number of pages: 41 Posted: 29 Sep 2005
Simon Polbennikov and Bertrand Melenberg
Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 93 (272,941)
Citation 1

Abstract:

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Portfolio choice, coherent risk, spanning test

20.

It Takes Two to Tango: International Transfer of Pricing Information between Cross-Listed Securities

Number of pages: 35 Posted: 24 Nov 2007
Leon Zolotoy and Bertrand Melenberg
CentER, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 89 (280,664)

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cross-listed securities, price discovery, trading volume

21.

An Evaluation of the nFTK. Technical Appendix

Number of pages: 26 Posted: 18 Jun 2016
Lei Shu, Bertrand Melenberg and J. M. Schumacher
Tilburg University, Students, Tilburg University - Center for Economic Research (CentER) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 54 (368,357)

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pension fund regulation, replacement ratio, funding ratio

22.

Global Warming and Local Dimming: The Statistical Evidence

CentER Discussion Paper Series No. 2011-004
Number of pages: 33 Posted: 21 Jul 2011
J.R. Magnus, Bertrand Melenberg and Chris Muris
Vrije Universiteit Amsterdam, School of Business and Economics, Tilburg University - Center for Economic Research (CentER) and affiliation not provided to SSRN
Downloads 53 (371,410)
Citation 2

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global warming, dimming, aerosols, dynamic panel data

23.

Identifying Reduced-Form Relations with Panel Data

Tinbergen Institute Discussion Paper No. 07-072/3
Number of pages: 65 Posted: 18 Sep 2007
Herman R.J. Vollebergh, Elbert Dijkgraaf and Bertrand Melenberg
PBL Netherlands Environmental Assessment Agency (Bilthoven), Erasmus University Rotterdam, SEOR-ECRi and Tilburg University - Center for Economic Research (CentER)
Downloads 53 (371,410)
Citation 8

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Identification, Panel Data, Reduced-Form (Semi-)Parametric Estimation, Emission-Income Relationships

24.

Linking Retirement Age to Life Expectancy Effects on Healthy Life Expectancy Before and After Retirement

Number of pages: 29 Posted: 26 Sep 2015
Anja De Waegenaere, Ying Yang and Bertrand Melenberg
Tilburg University - Center for Economic Research (CentER), University of Rhode Island - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 50 (381,042)

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Retirement age policy, (healthy) life expectancy, health status at retirement age

25.

Grazing the Commons: Global Carbon Emissions Forever?

CentER Discussion Paper No. 2011-020
Number of pages: 50 Posted: 03 Mar 2011 Last Revised: 02 Dec 2013
Bertrand Melenberg, Herman R.J. Vollebergh and Elbert Dijkgraaf
Tilburg University - Center for Economic Research (CentER), PBL Netherlands Environmental Assessment Agency (Bilthoven) and Erasmus University Rotterdam, SEOR-ECRi
Downloads 47 (391,259)

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CO2 Emissions, Environmental Kuznets Curve, Panel Data, (Semi) Parametric Estimation

Productivity, Price- and Wage-Markups: An Empirical Analysis of the Dutch Manufacturing Industry

Number of pages: 35 Posted: 15 Mar 2015
Sara Amoroso, Bertrand Melenberg, Joseph Plasmans and Mark Vancauteren
European Commission, Joint Research Centre, Institute for Prospective Technological Studies (IPTS), Tilburg University - Center for Economic Research (CentER), University of Antwerp - Department of Economics and Hasselt University
Downloads 25 (498,218)

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price-cost margin, trade unions, identification, production functions, panel data

Productivity, Price- and Wage-Markups: An Empirical Analysis of the Dutch Manufacturing Industry

CESifo Working Paper Series No. 5273
Number of pages: 36 Posted: 10 Apr 2015
Sara Amoroso, Bertrand Melenberg, Joseph Plasmans and Mark Vancauteren
European Commission, Joint Research Centre, Institute for Prospective Technological Studies (IPTS), Tilburg University - Center for Economic Research (CentER), University of Antwerp - Department of Economics and Hasselt University
Downloads 20 (529,079)

Abstract:

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price-cost margin, trade unions, identification, production functions, panel data

27.

An Analysis of the Interaction between Health Expenditure and its Determinants in the U.S.

Number of pages: 33 Posted: 21 Sep 2015
Ying Yang and Bertrand Melenberg
University of Rhode Island - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 43 (405,336)

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Healthcare spending, Elderly's health status, Stationarity, Dynamic relationship

28.

Framing Effects in an Employee Saving Scheme: A Non-Parametric Analysis

Netspar Discussion Paper No. 01/2013-001
Number of pages: 43 Posted: 17 Jan 2013
Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University - Center for Economic Research (CentER), Tilburg University and Goethe University Frankfurt
Downloads 42 (409,003)

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framing effects, labeling effects, employee savings, non-parametric methods, behavioral economics

29.

Robust Longevity Risk Management

Netspar Discussion Paper No. 12/2014-073
Number of pages: 40 Posted: 27 Feb 2015
Hong Li, Anja De Waegenaere and Bertrand Melenberg
Warren Centre for Actuarial Studies and Research, University of Manitoba, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 41 (412,703)

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longevity risk, robust hedging, Kullback-Leibler divergence, mean-variance, conditional-value-at-risk

30.

Do Americans Live Longer and Healthier? Forecasting Healthy Life Expectancy by Including Dynamic Evolutions of Mortality, Health, and Macroeconomic Variables

Number of pages: 33 Posted: 21 Sep 2015
Ying Yang, Anja De Waegenaere and Bertrand Melenberg
University of Rhode Island - Department of Economics, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 34 (440,697)

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Life Expectancy, healthy life expectancy, uncertainties

31.

The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach

Netspar Discussion Paper No. 11/2014-072
Number of pages: 38 Posted: 27 Feb 2015
Hong Li, Anja De Waegenaere and Bertrand Melenberg
Warren Centre for Actuarial Studies and Research, University of Manitoba, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 30 (458,462)

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Lee-Carter model, Cairns-Blake-Dowd model, Gibbs sampling

32.

Identification and Estimation of the Environmental Kuznets Curve: Pairwise Differencing to Deal with Nonlinearity and Nonstationarity

CESifo Working Paper Series No. 5837
Number of pages: 35 Posted: 27 Apr 2016
Suphi Sen, Bertrand Melenberg and Herman R.J. Vollebergh
CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, Tilburg University - Center for Economic Research (CentER) and PBL Netherlands Environmental Assessment Agency (Bilthoven)
Downloads 28 (468,146)

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CO2 Emissions, Unit Roots, Nonlinearity, Nonparametric Estimation

33.

Stochastic Modeling and Forecasting of Health Changes in the U.S. Population

Number of pages: 34 Posted: 21 Sep 2015
Ying Yang, Anja De Waegenaere and Bertrand Melenberg
University of Rhode Island - Department of Economics, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 20 (511,641)

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Stochastic process, Lee-Carter model, Macroeconomic fluctuations, Forecasts

34.

Framing Effects in an Employee Savings Scheme: A Non-Parametric Analysis

IZA Discussion Paper No. 7154
Number of pages: 44 Posted: 02 Feb 2013
Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University - Center for Economic Research (CentER), Tiburg University and Goethe University Frankfurt
Downloads 13 (552,249)

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framing effects, labeling effects, employee savings, nonparametric methods, behavioral economics

35.

Robust Mean–Variance Hedging of Longevity Risk

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 459-475, 2017
Number of pages: 17 Posted: 14 Apr 2017
Hong Li, Anja De Waegenaere and Bertrand Melenberg
Nankai University, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 1 (637,435)
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36.

Econometric Analysis of Microscopic Simulation Models

Quantitative Finance, (2010), 10(10), 1187-1201
Posted: 30 Oct 2014
Youwei Li, Bas Donkers and Bertrand Melenberg
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)

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37.

Calculating Capital Requirements for Longevity Risk in Life Insurance Products Using an Internal Model in Line with Solvency II

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Posted: 05 Nov 2009
Ralph Stevens, Anja De Waegenaere and Bertrand Melenberg
CPB Netherlands Bureau of Economic Policy Analysis, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)

Abstract:

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38.

Testing Hedge Effectiveness for Option Positions

Journal of Risk, Vol. 8, No. 2, Winter 2005-2006
Posted: 10 May 2006
Jeroen Kerkhof, J. M. Schumacher and Bertrand Melenberg
Lehman Brothers International, Europe, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)

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risk measures, value-at-risk, VAR, tail distribution, hedge errors, delta-hedged options, autoregressive model

39.

Testing Expected Shortfall Models for Derivative Positions

CentER Working Paper No. 2003-24
Posted: 26 May 2004
Jeroen Kerkhof, J. M. Schumacher and Bertrand Melenberg
Lehman Brothers International, Europe, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)

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Risk management, backtesting, expected shortfall, value-at-risk

40.

An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models

Empirical Economics, Vol. 25, Issue 3
Posted: 20 Oct 2000
Erwin Charlier, Arthur van Soest and Bertrand Melenberg
Tilburg University - Department of Econometrics & Operations Research, Tilburg University and Tilburg University - Center for Economic Research (CentER)

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Sample selection, Engel curves, semiparametric cross-section models

41.

Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design

Tilburg University, CentER Working Paper No. 1999-115
Posted: 31 May 2000
R. Vazquez-Alvarez, Arthur van Soest and Bertrand Melenberg
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Tilburg University and Tilburg University - Center for Economic Research (CentER)

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42.

Bounds on Quantiles in the Presence of Full- and Partial-Item Nonresponse

CentER Working Paper No. 38
Posted: 12 Oct 1999
R. Vazquez-Alvarez, Arthur van Soest and Bertrand Melenberg
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Tilburg University and Tilburg University - Center for Economic Research (CentER)

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43.

Estimating Risk Attitudes Using Lotteries: A Large Sample Approach

Tilburg University, CentER Discussion Paper Series No. 1999-12
Posted: 27 Sep 1999
Bas Donkers, Arthur van Soest and Bertrand Melenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University and Tilburg University - Center for Economic Research (CentER)

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44.

Nonparametric Bound on the Income Distribution in the Presence of Item Nonresponse

Tilburg University, CentER Discussion Paper No. 33
Posted: 27 Sep 1999
R. Vazquez-Alvarez, Arthur van Soest and Bertrand Melenberg
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Tilburg University and Tilburg University - Center for Economic Research (CentER)

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45.

On the Pricing of Options in Incomplete Markets

Posted: 20 Mar 1997
Bas J. M. Werker and Bertrand Melenberg
Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)

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