Theo Nijman
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Contact
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Universiteit van Tilburg
→ School of Economics and Management
→ Departement Econometrie & Operations Research (weight: 34%)
 website
 location: Tilburg, Netherlands

Universiteit van Tilburg
→ School of Economics and Management
→ Finance Department (weight: 33%)
 website
 location: Tilburg, Netherlands

Universiteit van Tilburg
→ School of Economics and Management
→ CentER Graduate School for Economics and Business (weight: 33%)
 website
 location: Tilburg, Netherlands
Research profile
author of:

Common factors in international bond returns
by Driessen, Joost & Melenberg, Bertrand & Nijman, Theo

The efficiency of rotatingpanel designs in an analysisofvariance model
by Nijman, Theo & Verbeek, Marno & van Soest, Arthur

High frequency analysis of leadlag relationships between financial markets
by de Jong, Frank & Nijman, Theo

Testing for Selectivity Bias in Panel Data Models.
by Verbeek, Marno & Nijman, Theo

The optimal choice of controls and preexperimental observations
by Nijman, Theo & Verbeek, Marno

Testing Affine Term Structure Models in Case of Transaction Costs
by Joost Driessen & Bertrand Melenberg & Theo Nijman

Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations.
by Nijman, Theo & Palm, Franz

Estimation of timedependent parameters in linear models using crosssections, panels, or both
by Nijman, Theo & Verbeek, Marno

Minimum MSE estimation of a regression model with fixed effects from a series of crosssections
by Verbeek, Marno & Nijman, Theo

Price effects of trading and components of the bidask spread on the Paris Bourse
by de Jong, Frank & Nijman, Theo & Roell, Ailsa

A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
by de Jong, Frank & Nijman, Theo & Roell, Ailsa

Marginalization and contemporaneous aggregation in multivariate GARCH processes
by Nijman, Theo & Sentana, Enrique

GENERALIZED LEAST SQUARES ESTIMATION OF LINEAR MODELS CONTAINING RATIONAL FUTURE EXEPECTATIONS
by NIJMAN, T. & PALM, F.

Incomplete Panels and Selection Bias: A Survey.
by Verbeek, M. & Nijman, T.

Do countries or industries explain momentum in Europe?
by Nijman, Theo & Swinkels, Laurens & Verbeek, Marno

TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS.
by VERBEEK, M. & NIJMAN, T.

THE NONRESPONSE BIAS IN THE ANALYSIS OF THE DETERMINANTS OF TOTAL EXPENDITURES OF HOUSEHOLDS BASED ON PANEL DATA.
by NIJMAN, T. & VERBEEK, M.

Can Cohort Data Be Treated as Genuine Panel Data?
by Verbeek, Marno & Nijman, Theo

Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function.
by Nijman, Theo & Verbeek, Marno

Testing affine term structure models in case of transaction costs
by Driessen, Joost & Melenberg, Bertrand & Nijman, Theo

A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International.
by De Jong, F. & Nijman, T. & Roell, A.

Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections.
by VERBEEK, M. & NIJMAN, T.

Temporal Aggregation of Garch Processes.
by Drost, F. C. & Nijman, T. E.

CAN COHORT DATA BE TREATED AS GENUINE PANEL DATA.
by VERBEEK, M. & NIJMAN, T.

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses.
by Nijman, T. & Sentana, E.

Premia in Forward Foreign Exchange as Unobserved Components.
by Nijman, T. E. & Palm, F. C. & Wolff, C. C. P.

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes.
by Nijman, T. & Sentana, E.

EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES.
by NIJMAN, T. & BEETSMA, R.

The Construction and Use of Approximations for Missing Quarterly Observations: A Modelbased Approach.
by Nijman, T. E. & Palm, F. C.

Linear regression using both temporally aggregated and temporally disaggregated data
by Palm, F. C. & Nijman, T. E.

Recent Developments in Modeling Volatility in Financial Data.
by Nijman, T. E. & Palm, F. C.

TEMPORAL AGGREGATION OF GARCH PROCESSES.
by DROST, F. C. & NIJMAN, T. E.

Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity.
by Drost, Feike C. & Nijman, Theo E. & Werker, Bas J. M.

Premia in Forward Foreign Exchange as Unobserved Components: A Note.
by Nijman, Theo E. & Palm, Franz C. & Wolff, Christian C. P.

Missing Observations in the Dynamic Regression Model.
by Palm, Franz C. & Nijman, Theo E.

Temporal Aggregation of GARCH Processes.
by Drost, Feike C. & Nijman, Theo E.

Testing for meanvariance spanning: a survey
by DeRoon, Frans A. & Nijman, Theo E.

Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models.
by Nijman, Theo E. & Palm, Franz C.

An Anatomy of Futures Returns: Risk Premiums and Trading Strategies
by Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman

Hedging Pressure Effects in Futures Markets
by Frans A. De Roon & Theo E. Nijman & Chris Veld

Currency hedging for international stock portfolios: The usefulness of meanvariance analysis
by de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M.

Evaluating style analysis
by ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A.

Evaluating Style Analysis
by de Roon, Frans & Nijman, Theo E. & ter Horst, Jenke

Eliminating lookahead bias in evaluating persistence in mutual fund performance
by ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno

Yet another look at mutual fund tournaments
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.

Longevity risk and capital markets: The 20082009 update
by Blake, David & De Waegenaere, Anja & MacMinn, Richard & Nijman, Theo

Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample
by Jenke R. ter Horst & Theo E. Nijman & Marno Verbeek

Performance information dissemination in the mutual fund industry
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.

Longevity risk in portfolios of pension annuities
by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.

Estimating the term structure of mortality
by Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E.

When Can Life Cycle Investors Benefit from TimeVarying Bond Risk Premia?
by Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker

Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach
by de Roon, F. A. & Nijman, T. E. & Werker, B. J.

Optimal Annuity Risk Management
by Ralph S. J. Koijen & Theo E. Nijman & Bas J. M. Werker

Pricing Term Structure Risk in Futures Markets
by de Roon, Frans A. & Nijman, Theo E. & Veld, Chris

Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
by Peijnenburg, J. M. J. & Nijman, T. E. & Werker, B. J. M.

Recent developments in modeling volatility in financial data
by Nijman, T. E. & Palm, F. C.

Can cohort data be treated as genuine panel data?
by Verbeek, M. J. C. M. & Nijman, T. E.

Currency Hedging for International Stock Portfolios : A General Approach
by de Roon, F. A. & Nijman, T. E. & Werker, B. J. M.

Analyzing specification errors in models for futures risk premia with hedging pressure
by de Roon, F. A. & Nijman, T. E. & Veld, C. H.

Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News
by Spierdijk, L. & Nijman, T. E. & van Soest, A. H. O.

On the Empirical Evidence of Mutual Fund Strategic Risk Taking
by Goriaev, A. P. & Nijman, T. E. & Werker, B. J. M.

Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach
by Nijman, T. E. & de Roon, F. A. & Werker, B. J. M.

Empirical tests of a simple pricing model for sugar futures
by Nijman, T. E. & Beetsma, R. M. W. J.

The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data
by Nijman, T. E. & Verbeek, M. J. C. M.

Marginalization and contemporaneous aggregation in multivariate GARCH processes
by Nijman, T. E. & Sentana, E.

Estimation and testing in models containing both jumps and conditional heteroskedasticity
by Drost, F. C. & Nijman, T. E. & Werker, B. J. M.

Evaluating Style Analysis
by de Roon, F. A. & Nijman, T. E. & Ter Horst, J. R.

Testing for meanvariance spanning with short sales constraints and transaction costs : The case of emerging markets
by de Roon, F. A. & Nijman, T. E. & Werker, B. J. M.

Incomplete panels and selection bias : A survey
by Verbeek, M. J. C. M. & Nijman, T. E.

Testing Affine Term Structure Models in Case of Transaction Costs
by Driessen, J. J. A. G. & Melenberg, B. & Nijman, T. E.

A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
by de Jong, F. C. J. M. & Nijman, T. E. & Roell, A. A.

Testing for meanvariance spanning : A survey
by de Roon, F. A. & Nijman, T. E.

Labor Income and the Demand for Longterm Bonds
by Koijen, R. S. J. & Nijman, T. E. & Werker, B. J. M.

Do Countries or Industries Explain Momentum in Europe?
by Nijman, T. E. & Swinkels, L. A. P. & Verbeek, M. J. C. M.

Temporal aggregation of GARCH processes
by Drost, F. C. & Nijman, T. E.

Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)
by Verbeek, M. J. C. M. & Nijman, T. E.

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
by Nijman, T. E. & Swinkels, L. A. P.

The Dynamics of the Impact of Past Performance on Mutual Fund Flows
by Goriaev, A. P. & Nijman, T. E. & Werker, B. J. M.

High frequency analysis of leadlag relationships between financial markets
by de Jong, F. C. J. M. & Nijman, T. E.

Temporal aggregation of GARCH processes
by Drost, F. C. & Nijman, T. E.

Generalized least squares estimation of linear models containing rational future expectations
by Nijman, T. E. & Palm, F. C.

Testing for selectivity bias in panel data models
by Verbeek, M. J. C. M. & Nijman, T. E.

Pricing Term Structure Risk in Futures Markets
by Nijman, T. E. & de Roon, F. A. & Veld, C. H.

The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity
by Spierdijk, L. & Nijman, T. E. & van Soest, A. H. O.

Style Analysis and Performance Evaluation of Dutch Mutual Funds
by Ter Horst, J. R. & Nijman, T. E. & de Roon, F. A.

Price effects of trading and components of the bidask spread on the Paris Bource
by de Jong, F. C. J. M. & Nijman, T. E. & Roell, A. A.

Performance analysis of international mutual funds incorporating market frictions
by Ter Horst, J. R. & Nijman, T. E. & de Roon, F. A.

Optimal Portfolio Choice with Annuitization
by Koijen, R. S. J. & Nijman, T. E. & Werker, B. J. M.

Common Factors in International Bond Returns
by Driessen, J. J. A. G. & Melenberg, B. & Nijman, T. E.

When Can Insurers Offer Products That Dominate Delayed OldAge Pension Benefit Claiming?
by Sanders, E. A. T. & De Waegenaere, A. M. B. & Nijman, T. E.

Eliminating biases in evaluating mutual fund performance from a survivorship free sample
by Ter Horst, J. R. & Nijman, T. E. & Verbeek, M. J. C. M.

Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand
by Peijnenburg, J. M. J. & Nijman, T. E. & Werker, B. J. M.

Premia in forward foreign exchange as unobserved components
by Nijman, T. E. & Palm, F. C. & Wolff, C. C. P.

Efficiency gains due to using missing data procedures in regression models
by Nijman, T. E. & Palm, F. C.

Exclusion restrictions in instrumental variables equations
by Nijman, T. E. & Steel, M. F. J.

The optimal design of rotating panels in a simple analysis of variance model
by Nijman, T. E. & Verbeek, M. J. C. M. & van Soest, A. H. O.

A natural approach to optimal forecasting in case of preliminary observations
by Nijman, T. E.

Predictive accuracy gain from disaggregate sampling in ARIMAmodels
by Nijman, T. E. & Palm, F. C.

Consistent estimation of regression models with incompletely observed exogenous variables
by Nijman, T. E. & Palm, F. C.

Estimation of time dependent parameters in linear models using cross sections, panels or both
by Nijman, T. E. & Verbeek, M. J. C. M.

Consistent estimation of rational expectation models
by Nijman, T. E. & Palm, F. C.

Derivatengebruik van Nederlandse NietFinanciële Bedrijven
by de Jong, A. & Macrae, V. & Nijman, T. E.