Econometrics and Finance Group
5000 LE Tilburg
Tilburg University - Center for Economic Research (CentER)
in Total Papers Downloads
in Total Papers Citations
optimal life-cycle portfolio choice, annuity risk
bond risk premia, life-cycle consumption, portfolio choice
currency risk, hedging, forwards, international asset pricing, portfolio choice
Asymmetric Information, Credit Markets, Loans, Bonds, Credit Spreads
Time-varying dependence, best-of-two-markets options, non-normality
Asset allocation, retirement, life-cycle portfolio choice, annuity, savings
Economic risk premia, macroeconomic announcements
Economic hedging portfolios, risk aversion-weighted hedging, state-dependent utility, risk premiums
funded pension, risk regulation, regulatory quality
Funded pension, risk regulation, regulatory quality
value at risk, portfolio choice, pension funds
Portfolio choice, value-at-risk, pension funds
Life-cycle portfolio choice, retirement, post-retirement investment
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ECOJ.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
High-frequency data, Integrated power variance, Local Asymptotic Normality, Nonparametric efficiency bounds, Realized volatility, Volatility estimation
Derivative pricing, jump diffusion, stochastic volatility
duration modeling, hitting time, trading intensity, market microstructure
Conditional heteroskedasticity, Linear and quadratic residual auto- correlation tests, Model misspecification test, Nonlinear time series, Parameter constancy, Residual symmetry tests
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9583.
conditional heteroskedasticity, linear and quadratic residual autocorrelation tests, model misspecification test, nonlinear time series, parameter constancy, residual symmetry tests
Causality, continuous time models, transaction prices, transaction times, ultra-high frequency data
Asymptotic size, discretized estimators, goodness-of-fit tests, local asymptotic normality, rank statistics, structural break tests, temporal dependence tests, two-stage inference
count data, integer-valued time series, information loss structure
File name: jtsa.
File name: JTSA.
Count data, integer‐valued time series, information loss structure
count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency
independence copula, nonparametric maximum likelihood estimator, score function, semiparametric efficiency, tangent space
Statistics, estimation, testing
count data, integer-valued time series, bilinear model
integer-valued times series, Poisson limit experiment, local-to-unity asymptotics
derivatives trading, execution timing, optimal stopping, dynamic programming, straddles, dynamic order strategies
Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test
adaptivity, correlation matrix, influence function, quadratic form, ranks, score function, tangent space
limit experiment, differentiability in quadratic mean, asymptotic linearity
Dickey-Fuller test, Local Asymptotic Normality
Invariance structure, local asymptotic normality, median regression, quantile restrictions
risk sharing, fair division, Perron-Frobenius theory, eigenvector computation, collectives
Cointegration model, cointegration rank, elliptical densities
Illiquid assets, asset liability management, asset allocation, liquidity constraints, capital constraints, pension funds, regulation
longevity risk, group self-annuitization (GSA), insurance, variable annuity
Factor Pricing Models, Risk-Return Models, Omitted Factors, Misspecified Models
dynamic asset allocation, robustness, uncertainty, ambiguity, bond premium puzzle
unit root test, semiparametric power envelope, limit experiment, LABF, maximal invariant, rank statistic
Volatility, continuous time model, exact discretization
Ranks, signs, Hajek representation, median regression, median restrictions, maximal invariant
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 1.891 seconds