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Nijman, Theo E.

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Author ID: nijman.theo-e Recent zbMATH articles by "Nijman, Theo E."
Published as: Nijman, T.; Nijman, T. E.; Nijman, Theo; Nijman, Theo E.
Documents Indexed: 15 Publications since 1982

Publications by Year

Citations contained in zbMATH Open

13 Publications have been cited 195 times in 175 Documents Cited by Year
Temporal aggregation of GARCH processes. Zbl 0780.62099
Drost, Feike C.; Nijman, Theo E.
82
1993
Longevity risk in portfolios of pension annuities. Zbl 1152.91586
Hári, Norbert; De Waegenaere, Anja; Melenberg, Bertrand; Nijman, Theo E.
19
2008
Testing for selectivity bias in panel data models. Zbl 0850.62892
Verbeek, Marno; Nijman, Theo
19
1992
Marginalization and contemporaneous aggregation in multivariate GARCH processes. Zbl 0843.62104
Nijman, Theo; Sentana, Enrique
17
1996
Optimal annuity risk management. Zbl 1225.91061
Koijen, Ralph S. J.; Nijman, Theo E.; Werker, Bas J. M.
14
2011
Estimating the term structure of mortality. Zbl 1152.91585
Hári, Norbert; De Waegenaere, Anja; Melenberg, Bertrand; Nijman, Theo E.
14
2008
The annuity puzzle remains a puzzle. Zbl 1401.91181
Peijnenburg, Kim; Nijman, Theo; Werker, Bas J. M.
11
2016
Can cohort data be treated as genuine panel data? Zbl 0819.62097
Verbeek, M.; Nijman, T.
10
1992
Efficiency gains due to using missing data procedures in regression models. Zbl 0654.62053
Nijman, Theo; Palm, Franz
3
1988
Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002
Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo
2
2010
Linear regression using both temporally aggregated and temporally disaggregated data. Zbl 0504.62060
Palm, F. C.; Nijman, T. E.
2
1982
Testing affine term structure models in case of transaction costs. Zbl 1335.91092
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo
1
2005
Generalized least squares estimation of linear models containing rational future expectations. Zbl 0725.62102
Nijman, Theo; Palm, Franz
1
1991
The annuity puzzle remains a puzzle. Zbl 1401.91181
Peijnenburg, Kim; Nijman, Theo; Werker, Bas J. M.
11
2016
Optimal annuity risk management. Zbl 1225.91061
Koijen, Ralph S. J.; Nijman, Theo E.; Werker, Bas J. M.
14
2011
Longevity risk and capital markets: the 2008-2009 update. Zbl 1231.91002
Blake, David; De Waegenaere, Anja; Macminn, Richard; Nijman, Theo
2
2010
Longevity risk in portfolios of pension annuities. Zbl 1152.91586
Hári, Norbert; De Waegenaere, Anja; Melenberg, Bertrand; Nijman, Theo E.
19
2008
Estimating the term structure of mortality. Zbl 1152.91585
Hári, Norbert; De Waegenaere, Anja; Melenberg, Bertrand; Nijman, Theo E.
14
2008
Testing affine term structure models in case of transaction costs. Zbl 1335.91092
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo
1
2005
Marginalization and contemporaneous aggregation in multivariate GARCH processes. Zbl 0843.62104
Nijman, Theo; Sentana, Enrique
17
1996
Temporal aggregation of GARCH processes. Zbl 0780.62099
Drost, Feike C.; Nijman, Theo E.
82
1993
Testing for selectivity bias in panel data models. Zbl 0850.62892
Verbeek, Marno; Nijman, Theo
19
1992
Can cohort data be treated as genuine panel data? Zbl 0819.62097
Verbeek, M.; Nijman, T.
10
1992
Generalized least squares estimation of linear models containing rational future expectations. Zbl 0725.62102
Nijman, Theo; Palm, Franz
1
1991
Efficiency gains due to using missing data procedures in regression models. Zbl 0654.62053
Nijman, Theo; Palm, Franz
3
1988
Linear regression using both temporally aggregated and temporally disaggregated data. Zbl 0504.62060
Palm, F. C.; Nijman, T. E.
2
1982
all top 5

Cited by 283 Authors

6 Lin, Tzuling
6 Tsai, Cary Chi-Liang
5 Blake, David
5 Hafner, Christian Matthias
5 Nijman, Theo E.
5 Werker, Bas J. M.
4 Bollerslev, Tim
4 De Waegenaere, Anja
4 Forsyth, Peter A.
4 Linton, Oliver Bruce
4 MacMinn, Richard D.
4 Meddahi, Nour
4 Renault, Eric
4 Sentana, Enrique
3 Boonen, Tim J.
3 Chan, Wai-Sum
3 Chen, An
3 Cook, Steven C.
3 Palm, Franz C.
3 Wooldridge, Jeffrey M.
2 Andreou, Elena
2 Batten, Jonathan A.
2 Cheung, Siu Hung
2 Drost, Feike C.
2 Fiorentini, Gabriele
2 Francq, Christian
2 Ghysels, Eric
2 Hardy, Mary R.
2 Hill, Jonathan B.
2 Jondeau, Eric
2 Laurent, Sébastien-Yves
2 Li, Johnny Siu-Hang
2 Li, Youwei
2 Lovrics, Laszlo
2 Mátyás, László
2 McMillan, David G.
2 Melenberg, Bertrand
2 Rach, Manuel
2 Regis, Luca
2 Sherris, Michael
2 Speight, Alan E. H.
2 Vella, Francis
2 Vetzal, Kenneth R.
2 Westmacott, Graham
2 Zaffaroni, Paolo
2 Zakoïan, Jean-Michel
2 Zhang, Li-Xin
1 Aguilar, Mike
1 Ahmed, Jameel
1 Aknouche, Abdelhakim
1 Anatolyev, Stanislav
1 Anwar, Sajid
1 Aro, Helena
1 Asai, Manabu
1 Bacinello, Anna Rita
1 Bahraminasab, Alireza
1 Baillie, Richard T.
1 Balikhin, Michael A.
1 Baltagi, Badi H.
1 Balter, Anne G.
1 Bauer, Daniel J.
1 Beckers, Benjamin
1 Beltratti, Andrea
1 Bhattacharya, Debopam
1 Bibi, Abdelouahab
1 Billings, Stephen A.
1 Biørn, Erik
1 Blackburn, Craig
1 Börger, Matthias
1 Borgonovo, Emanuele
1 Brown, Robert L.
1 Brummelhuis, Raymond
1 Buccheri, Giuseppe
1 Calzolari, Giorgio
1 Capobianco, Enrico
1 Casalini, Riccardo
1 Chambers, Marcus J.
1 Chan, Yin-Ting
1 Chen, Songnian
1 Cho, Myeong-hyeon
1 Chou, Ray Yeutien
1 Christodoulakis, George A.
1 Chuliá, Helena
1 Coca, Daniel
1 Colla, Paolo
1 Collado, M. Dolores
1 Cook, Steve
1 Corradi, Valentina
1 Corsi, Fulvio
1 Cox, Samuel H. jun.
1 Crawley, Edmund
1 Croux, Christophe
1 D’Albis, Hippolyte
1 Das, Mitali
1 Date, Paresh M.
1 Dávila Quintana, Delia
1 de Veiga, Bernardo
1 Demos, Antonis
1 Di Lorenzo, Emilia
1 Dionne, Georges
...and 183 more Authors
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Cited in 46 Serials

45 Journal of Econometrics
23 Insurance Mathematics & Economics
12 Economics Letters
10 North American Actuarial Journal
9 Econometric Theory
6 Quantitative Finance
6 ASTIN Bulletin
4 Journal of Time Series Analysis
4 Journal of Economic Dynamics & Control
4 Computational Statistics and Data Analysis
3 Mathematics and Computers in Simulation
3 Statistics & Probability Letters
3 Econometric Reviews
2 Journal of Statistical Planning and Inference
2 European Journal of Operational Research
2 Journal of Statistical Computation and Simulation
2 Statistische Hefte
2 The Econometrics Journal
2 Applied Stochastic Models in Business and Industry
2 Asia-Pacific Financial Markets
2 European Actuarial Journal
1 International Journal of Systems Science
1 Physica A
1 The Annals of Statistics
1 Journal of Applied Probability
1 Metron
1 Theory and Decision
1 Social Choice and Welfare
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Computational Optimization and Applications
1 Statistical Papers
1 Studies in Nonlinear Dynamics and Econometrics
1 International Journal of Theoretical and Applied Finance
1 Journal of Applied Statistics
1 International Journal of Modern Physics C
1 Scandinavian Actuarial Journal
1 Computational Management Science
1 Journal of Forecasting
1 Journal of Statistical Theory and Practice
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Journal of Probability and Statistics
1 Annals of Finance
1 Journal of Time Series Econometrics
1 ISRN Probability and Statistics
1 Journal of Econometric Methods

Citations by Year