Bertrand Melenberg

Tilburg University - Center for Economic Research (CentER)

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

45

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110

CROSSREF CITATIONS

43

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 - Tilburg University School of Economics and Management, UBS AG and Tilburg University - Center for Economic Research (CentER)
Downloads 1,275 (28,067)
Citation 17

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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 - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 791 (54,914)
Citation 6

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 621 (75,204)
Citation 14

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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, Johannes 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 612 (76,561)
Citation 17

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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 465 (107,372)
Citation 1

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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 310 (169,006)
Citation 4

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Microscopic simulation models, Econometric analysis

7.

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 - Department of Econometrics & OR, Netspar, and CentER, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Department of Econometrics & Operations Research
Downloads 296 (177,342)
Citation 52

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

8.

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 - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 253 (207,909)
Citation 14

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

9.

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 - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 245 (214,540)
Citation 1

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10.

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 242 (217,145)
Citation 4

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risk measure, robust counterpart, nonlinear inequality, robust optimization

11.

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 233 (225,333)
Citation 1

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Asset pricing, ambiguity, rational expectations, behavioral finance

12.

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 212 (246,307)
Citation 3

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

13.

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 210 (248,518)
Citation 3

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Portfolio choice, mean variance, mean coherent risk, comparison

14.

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 (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 204 (255,192)
Citation 18

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Environmental Kuznets curves, (semi) parametric estimation, heterogeneity

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 187 (275,893)

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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 173 (295,434)
Citation 5

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robust optimization; ambiguity; stochastic programming; chance constraints

17.

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 152 (329,559)
Citation 8

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Longevity, GDP per capita, Lee-Carter model

18.

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 136 (360,004)

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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 118 (400,482)
Citation 1

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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 113 (413,366)

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cross-listed securities, price discovery, trading volume

21.

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 - Department of Econometrics & OR, Netspar, and CentER, University of Rhode Island - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 105 (435,752)

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

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 90 (482,767)
Citation 4

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global warming, dimming, aerosols, dynamic panel data

23.

An Evaluation of the nFTK. Technical Appendix

Number of pages: 26 Posted: 18 Jun 2016
Lei Shu, Bertrand Melenberg and Johannes M. Schumacher
Tilburg University, Students, Tilburg University - Center for Economic Research (CentER) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 89 (486,092)

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pension fund regulation, replacement ratio, funding ratio

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 45 (704,538)

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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 44 (711,251)

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

25.

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 - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 83 (507,313)

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Life Expectancy, healthy life expectancy, uncertainties

26.

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 77 (530,327)

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

27.

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 - Tilburg University School of Economics and Management, Tilburg University - Center for Economic Research (CentER), Tilburg University and University of Toronto
Downloads 77 (530,327)
Citation 1

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

28.

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 (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 77 (530,327)
Citation 3

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

29.

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 (EUR) - Erasmus School of Economics (ESE)
Downloads 74 (542,562)

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

30.

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
Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 60 (605,236)

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

31.

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 - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 56 (625,799)
Citation 1

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

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
Wageningen University and Research (WUR), Tilburg University - Center for Economic Research (CentER) and PBL Netherlands Environmental Assessment Agency (Bilthoven)
Downloads 55 (631,084)

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CO2 Emissions, Unit Roots, Nonlinearity, Nonparametric Estimation

33.

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
Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Center for Economic Research (CentER)
Downloads 51 (653,079)
Citation 6

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

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 - Tilburg University School of Economics and Management, Tilburg University - Center for Economic Research (CentER), Tiburg University and University of Toronto
Downloads 33 (771,683)

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

35.

Interval Estimation with Model Uncertainty: A Method and Applications

Number of pages: 43 Posted: 28 Mar 2022 Last Revised: 03 Mar 2023
Jing Li and Bertrand Melenberg
Jinhe Center for Economic Research, Xi'an Jiaotong University and Tilburg University - Center for Economic Research (CentER)
Downloads 20 (882,065)

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Model Uncertainty, Robustness, Interval Estimation, f-divergences, Simple Linear Regression

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 - Department of Econometrics & OR, Netspar, and 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, Johannes 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, Johannes 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

Posted: 20 Oct 2000
Tilburg University - Department of Econometrics & Operations Research, Tilburg UniversityNetspar 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
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Tilburg UniversityNetspar 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
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Tilburg UniversityNetspar 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, Arthur van Soest and Bertrand Melenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg UniversityNetspar 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
University of St. Gallen - Swiss Institute for International Economics and Applied Economic Research, Tilburg UniversityNetspar 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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