Frank R. Kleibergen

University of Amsterdam - Department of Quantitative Economics (KE)

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

5

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CITATIONS
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175

Scholarly Papers (5)

1.

The Joint Estimation of Term Structures and Credit Spreads

Journal of Empirical Finance, Vol. 8, No. 3, pp. 297-323, 2001
Number of pages: 25 Posted: 27 Apr 1999
Patrick Houweling, Frank R. Kleibergen and Jaap Hoek
Robeco Investment Research, University of Amsterdam - Department of Quantitative Economics (KE) and Robeco Asset Management
Downloads 2,068 (6,748)

Abstract:

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2.

Reduced Rank Regression Using Generalized Method of Moments Estimators with Extensions to Structural Breaks in Reduced Rank Models

Number of pages: 58 Posted: 10 Dec 1996
Frank R. Kleibergen
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 221 (137,391)

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3.

Generalized Reduced Rank Tests Using the Singular Value Decomposition

Tinbergen Institute Discussion Paper No. 2003-003/4
Number of pages: 25 Posted: 05 Feb 2003
Frank R. Kleibergen and Richard Paap
University of Amsterdam - Department of Quantitative Economics (KE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 92 (278,425)
Citation 184

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stochastic discount factor model, cointegration, GMM

4.

Robust Inference for Consumption-Based Asset Pricing

Journal of Finance, Forthcoming
Number of pages: 84 Posted: 03 Jun 2019
Frank R. Kleibergen and Zhaoguo Zhan
University of Amsterdam - Department of Quantitative Economics (KE) and Kennesaw State University
Downloads 29 (469,893)

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5.

Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analysis of Cointegration

Erasmus University of Rotterdam, Econometric Institute, Working Paper No. A1.89 WP 9668/A
Posted: 15 Feb 1998
Frank R. Kleibergen and Richard Paap
University of Amsterdam - Department of Quantitative Economics (KE) and Erasmus University Rotterdam (EUR) - Department of Econometrics

Abstract:

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