Author Page for Bertrand Melenberg

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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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:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Aharon Ben-Tal, Dick den Hertog, Anja De Waegenaere, Bertrand Melenberg and Gijs Rennen

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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)

Abstract:

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

Krzysztof Postek, Aharon Ben-Tal, Dick den Hertog and Bertrand Melenberg

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

Abstract:

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

Abstract:

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

Sara Amoroso, Peter M. Kort, Bertrand Melenberg, Joseph Plasmans and Mark Vancauteren

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)

Abstract:

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

Abstract:

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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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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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

Abstract:

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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24.

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

Downloads 89 (486,092)

Citation 2

2

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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

Peter Kooreman, Bertrand Melenberg, Henriette Prast and Nathanael Vellekoop

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

Abstract:

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

Abstract:

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)

Abstract:

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)

Abstract:

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

Abstract:

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)

Abstract:

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

Abstract:

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

Peter Kooreman, Bertrand Melenberg, Henriette M. Prast and Nathanael Vellekoop

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)

Abstract:

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)

Abstract:

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)

Abstract:

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:

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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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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40.

An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models

Posted: 20 Oct 2000

Erwin Charlier, Arthur van Soest, Arthur van Soest and Bertrand Melenberg

Tilburg University - Department of Econometrics & Operations Research, Tilburg UniversityNetspar and Tilburg University - Center for Economic Research (CentER)

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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, Arthur van Soest and Bertrand Melenberg

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

R. Vazquez-Alvarez, Arthur van Soest, Arthur van Soest and Bertrand Melenberg

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)

Abstract:

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, Arthur van Soest and Bertrand Melenberg

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)

Bertrand Melenberg

Tilburg University - Center for Economic Research (CentER)

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Scholarly Papers (45)

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