Common factors in international bond returns (2000)
Driessen, J., Melenberg, B., Nijman, T.
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged and unhedged bond...
Testing affine term structure models in case of transaction costs (1999)
Driessen, J., Melenberg, B., Nijman, T.
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the...
High frequency analysis of lead-lag relationships between financial markets (1995)
High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based...
Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations (1989)
Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both (1988)
Derivatengebruik van Nederlandse niet-financiele bedrijven
Jong, A. De, Macrae, V., Nijman, T.
derivatives
High frequency analysis of lead-lag relationships between financial markets
High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based...
Testing affine term structure models in case of transaction costs
Driessen, J., Melenberg, B., Nijman, T.
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the...
Common factors in international bond returns
Driessen, J., Melenberg, B., Nijman, T.
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged and unhedged bond...
Do countries or industries explain momentum in Europe?
Nijman, T., Swinkels, L., Verbeek, M.
return on inverstment;portfolio investment;risk
GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS
least squares ; linear models ; expectations ; estimator
TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS.
regression analysis ; estimator ; tests
Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections.
econometrics ; economic models
Incomplete Panels and Selection Bias: A Survey.
population ; econometrics ; statistical analysis
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes.
econometrics ; econometric models
A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International.
De Jong, F., Nijman, T., Roell, A.
financial market
consumer expenditures
EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES.
commodities ; processing ; statistical analysis ; market ; demand
Testing Affine Term Structure Models in Case of Transaction Costs.
Driessen, J., Melenberg, B., Nijman, T.
In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the...
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses.
ECONOMETRICS;ECONOMIC MODELS