T. E. Nijman

De gevolgen van de ontwikkelingen in de regelgeving voor de beleggingsmix van pensioenfondsen (2003)

Swinkels, L.A.P., Nijman, T.E.

Currency hedging for international stock portfolios: The usefulness of mean variance analysis (2003)

Do Countries or Industries Explain Momentum in Europe? (2002)

Nijman, T.E., Swinkels, L., Verbeek, M.

The driving force behind the well-documented medium term momentum effect in stock returns is subject of much debate. Empirical papers that aim to find the determinants of this return continuation,...

Modeling comovements in trading intensities to distinguish sector and stock specific news (2002)

Spierdijk, L., Nijman, T.E.

In this paper we propose a bivariate model for the trading intensities of stocks in a particular industry. The model consists of a univariate duration model for trades in either of the stocks and a...

The price impact of trades in illiquid stocks in periods of high and low market activity (2002)

Spierdijk, L., Nijman, T.E., Soest, A.H.O.

Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a trade and its relation to the trading intensity. While the price impact curve...

The dynamics of the impact of past performance on mutual fund flows (2002)

Goriaev, A.P., Nijman, T.E., Werker, B.J.M.

This study reconsiders the determinants of flows into US growth funds, focusing in particular on the dynamics of the impact of past performance on flows. We model the flow-performance relationship at...

Belang en beperkingen van het schema van voorbeeldwaarden in de nieuwe Financiele Bijsluiter (2002)

Nijman, T. E.

Value at risk in de financiele bijsluiter? (2002)

Zicht op beleggingsrisico's en kansen voor particuliere beleggers (2001)

On the empirical evidence of mutual fund strategic risk taking (2001)

Goriaev, A.P., Nijman, T.E., Werker, B.

We reexamine empirical evidence on strategic risk-taking behavior by mutual fund managers. Several studies suggest that fund performance in the first semester of a year influences risk-taking in the...

Eliminating look-ahead bias in evaluating persistence in mutual fund performance (2001)

Horst, J.R. Ter, Nijman, T.E.

Testing for mean-variance spanning: A survey (2001)

Nijman, T.E., Roon, F.A. De

Derivatengebruik van Nederlandse niet-financiële bedrijven (2001)

Jong, A. De, Macrae, V., Nijman, T.E.

Testing for Mean-Variance spanning with short sales constraints and transaction costs: The case of emerging markets (2001)

Nijman, T.E., Roon, F.A. De, Werker, B.J.M.

Evaluating Style Analysis (2000)

Currency Hedging for International Stock Portfolios (2000)

In this paper we evaluate applications of (return based) style analysis. The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without...

Evaluating style analysis (2000)

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as...

Nijman, T.E., Horst, J.R. Ter

In this paper we evaluate applications of (return based) style analysis. The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without...

Hedgen van valutarisico in Nederland. Discrepantie tussen theorie en praktijk? (2000)

Jong, A. De, Macrae, V., Nijman, T.E.

Zeggenschapsverhoudingen en financiële prestaties (2000)

Jong, A. De, Moerland, P.W., Nijman, T.E.

Hedging pressure effects in futures markets (2000)

Roon, F.A. De, Nijman, T.E., Veld, C.H.

Currency hedging for international stock portfolios : a general approach (1999)

De povere prestaties van beleggingsfondsen (1999)

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investordependencies such as...

Testing for mean-variance spanning : a survey (1998)

Roon, F.A. De, Nijman, T.E.

Eliminating biases in evaluating mutual fund performance from a survivorship free sample (1998)

Horst, J.R. Ter, Nijman, T.E., Verbeek, M.

Performance analysis of international mutual funds incorporating market frictions (1998)

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets (1998)

Style analysis and performance evaluation of Dutch mutual funds (1998)

Estimation and testing in models containing both jumps and conditional heteroskedasticity (1998)

In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we...

Werker, B.J.M., Drost, F.C., Nijman, T.E.

Pricing term structure risk in futures markets (1998)

Nijman, T.E., Roon, F.A. De, Veld, C.H.

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets (1998)

Eliminating biases in evaluating mutual fund performance from a survivorship free sample (1998)

Horst, J.R. Ter, Nijman, T.E., Verbeek, M.

Testing for mean-variance spanning : a survey (1998)

Analyzing specification errors in models for futures risk premia with hedging pressure (1997)

Roon, F.A. De, Nijman, T.E., Veld, C.

High frequency analysis of lead-lag relationships between financial markets (1997)

Econometrie van financiële markten: De bepaling van het risicoprofiel van beleggingen (1997)

Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets (1997)

Testing for spanning with futures contracts and nontraded assets : a general approach (1996)

Pricing term structure risk in futures markets (1996)

This paper generalizes the notion of mean-variance spanning as de- ned in the seminal paper of Huberman & Kandel (1987) in three di- mensions. It is shown how regression techniques can be used to...

Nijman, T.E., Roon, F.A. De, Veld, C.

One-period expected returns on futures contracts with di erent maturities di er because of risk premia in the spreads between futures and spot prices. We analyze the expected returns for futures...

Incomplete panels and selection bias (1996)

Pricing term structure risk in futures markets (1996)

Nijman, T.E., Roon, F.A. De, Veld, C.H.

Marginalization and contemporaneous aggregation in multivariate GARCH processes (1996)

Nijman, T.E., Sentana, E.

Price effects of trading and components of the bid-ask spread on the Paris Bourse (1996)

Nijman, T.E., Röell, A.A.

A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International (1995)

Nijman, T.E., Röell, A.A.

Temporal Aggregation of GARCH Processes (1995)

Drost, F.C., Nijman, T.E.

Estimation and Testing in Models Containing Both Jumps and Conditional Heteroskedasticity (1994)

Drost, F.C., Nijman, T.E., Werker, B.J.M.

In this paper we develop tests for the hypothesis that a series (observed in discrete time) is generated by a diffusion process and discuss the results of these tests for several exchange rates and...

Empirical tests of a simple pricing model for sugar futures (1991)

Exclusion Restrictions in Instrumental Variables Equations (1988)

Nijman, T.E., Steel, M.F.J.

The construction and use of approximations for missing quarterly observations: a model-based approach (1986)

Nijman, T.E., Palm, F.C.

Series temporelles incompletes en modelisation macroeconomique (1985)

Nijman, T.E., Palm, F.C.

Linear regression using both temporally aggregated and temporally disaggregated data (1982)

Palm, F.C., Nijman, T.E.

Do Countries or Industries Explain Momentum in Europe?

Nijman, T.E., Swinkels, L.

The driving force behind the well-documented medium term momentum effect in stock returns is subject of much debate. Empirical papers that aim to find the determinants of this return continuation,...

Evaluating Style Analysis

Currency Hedging for International Stock Portfolios

In this paper we evaluate applications of (return based) style analysis. The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without...

Linear regression using both temporally aggregated and temporally disaggregated data

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as...

Palm, F. C., Nijman, T. E.

The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach.

Nijman, T E, Palm, F C

Estimation and Testing in Models Containing Both Jumps and Conditional Heteroskedasticity

Drost, F.C., Nijman, T.E., Werker, B.J.M.

In this paper we develop tests for the hypothesis that a series (observed in discrete time) is generated by a diffusion process and discuss the results of these tests for several exchange rates and...

Pricing term structure risk in futures markets

Nijman, T.E., Roon, F.A. De, Veld, C.

One-period expected returns on futures contracts with di erent maturities di er because of risk premia in the spreads between futures and spot prices. We analyze the expected returns for futures...

Testing for spanning with futures contracts and nontraded assets : a general approach

Style analysis and performance evaluation of Dutch mutual funds

This paper generalizes the notion of mean-variance spanning as de- ned in the seminal paper of Huberman & Kandel (1987) in three di- mensions. It is shown how regression techniques can be used to...

Currency hedging for international stock portfolios : a general approach

In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we...