Research Output 1986 2020

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Discussion paper
585 Downloads (Pure)

Asset Opacity and Liquidity

Stenzel, A. & Wagner, W. B., 2013, Tilburg: Finance, 36 p. (CentER Discussion Paper; vol. 2013-066).

Research output: Working paperDiscussion paperOther research output

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Opacity
Liquidity
Assets
Information acquisition
Incentives
275 Downloads (Pure)

Asset Allocation in the Euro-Zone: Industry or Country Based?

Eiling, E., Gerard, B. & de Roon, F. A., 2005, Tilburg: Finance, 46 p. (CentER Discussion Paper; vol. 2005-2).

Research output: Working paperDiscussion paperOther research output

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Industry
Asset allocation
Euro zone
Equity returns
Factors
775 Downloads (Pure)

Assessing Credit with Equity: A CEV Model with Jump to Default

Campi, L., Polbennikov, S. Y. & Sbuelz, A., 2005, Tilburg: Finance, 32 p. (CentER Discussion Paper; vol. 2005-27).

Research output: Working paperDiscussion paperOther research output

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Equity
CEV model
Credit
Jump
Maturity
212 Downloads (Pure)

Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

Haeusler, E. & Segers, J., 2005, Tilburg: Econometrics, 27 p. (CentER Discussion Paper; vol. 2005-129).

Research output: Working paperDiscussion paperOther research output

File
Hill Estimator
Tail Index
Edgeworth Expansion
Confidence interval
248 Downloads (Pure)

A Simple Asymptotic Analysis of Residual-Based Statistics

Andreou, E. & Werker, B. J. M., 2003, Tilburg: Econometrics, 29 p. (CentER Discussion Paper; vol. 2003-118).

Research output: Working paperDiscussion paperOther research output

File
Asymptotic Analysis
Statistics
Limiting Distribution
GARCH Model
Null Distribution
383 Downloads (Pure)

Art and Money

Goetzmann, W., Renneboog, L. D. R. & Spaenjers, C., 2010, Tilburg: Finance, 41 p. (CentER Discussion Paper; vol. 2010-08).

Research output: Working paperDiscussion paperOther research output

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Top incomes
Art market
Art
Equity markets
Simulation analysis

Art and Money

Goetzmann, W., Renneboog, L. D. R. & Spaenjers, C., 2010, Tilburg: TILEC, 41 p. (TILEC Discussion Paper; vol. 2010-002).

Research output: Working paperDiscussion paperOther research output

Top incomes
Art market
Art
Equity markets
Simulation analysis
953 Downloads (Pure)

Are Female Top Managers Really Paid Less?

Geiler, P. H. M. & Renneboog, L. D. R., 2014, Tilburg: Finance, 43 p. (CentER Discussion Paper; vol. 2014-004).

Research output: Working paperDiscussion paperOther research output

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Managers
Remuneration
Industry
Consultants
Gender gap
29 Downloads (Pure)

Are Banks Too Big to Fail or Too Big to Save? International Evidence from Equity Prices and CDS Spreads

Demirgüc-Kunt, A. & Huizinga, H. P., 2010, Tilburg: EBC, 52 p. (EBC Discussion Paper; vol. 2010-15).

Research output: Working paperDiscussion paperOther research output

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Too big to fail
Equity prices
Credit default swap (CDS) spreads
Stock prices
Capitalization
332 Downloads (Pure)

Are Banks Too Big to Fail or Too Big to Save? International Evidence from Equity Prices and CDS Spreads

Demirgüc-Kunt, A. & Huizinga, H. P., 2010, Tilburg: Finance, 52 p. (CentER Discussion Paper; vol. 2010-59).

Research output: Working paperDiscussion paperOther research output

File
Too big to fail
Equity prices
Credit default swap (CDS) spreads
Stock prices
Capitalization
330 Downloads (Pure)

A Preference-Free Formula to Value Commodity Derivatives

Rodriguez, J. C., 2007, Tilburg: Finance, 31 p. (CentER Discussion Paper; vol. 2007-92).

Research output: Working paperDiscussion paperOther research output

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Derivatives
Commodities
Mean reversion
Martingale measure
Convenience yield
226 Downloads (Pure)

Approximate Distributions of Clusters of Extremes

Segers, J. J. J., 2003, Tilburg: Econometrics, 9 p. (CentER Discussion Paper; vol. 2003-91).

Research output: Working paperDiscussion paperOther research output

File
Extremes
Exceedance
Stationary Sequences
Justify
Markov chain
232 Downloads (Pure)

An M-Estimator for Tail Dependence in Arbitrary Dimensions

Einmahl, J. H. J., Krajina, A. & Segers, J., 2011, Tilburg: Econometrics, (CentER Discussion Paper; vol. 2011-013).

Research output: Working paperDiscussion paperOther research output

File
Tail Dependence
M-estimator
Multivariate Extreme Value Distribution
Dependence Function
Estimator
266 Downloads (Pure)

An Irregular Grid Approach for Pricing High-Dimensional American Options

Berridge, S. J. & Schumacher, J. M., 2004, Tilburg: Finance, 31 p. (CentER Discussion Paper; vol. 2004-18).

Research output: Working paperDiscussion paperOther research output

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Markov processes
Costs
203 Downloads (Pure)

An Irregular Grid Approach for Pricing High Dimensional American Options

Berridge, S. J. & Schumacher, J. M., 2002, Tilburg: Finance, 31 p. (CentER Discussion Paper; vol. 2002-99).

Research output: Working paperDiscussion paperOther research output

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Grid
American options
Pricing
100 Downloads (Pure)

An Evaluation of the nFTK

Shu, L., Melenberg, B. & Schumacher, H., May 2016, Tilburg: NETSPAR, 48 p. (Netspar Industry Paper; vol. Design 57).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Scenarios
Evaluation
Pension funds
Economics
VAR model
466 Downloads (Pure)

An Empirical Analysis of Legal Insider Trading in the Netherlands

Degryse, H. A., de Jong, F. C. J. M. & Lefebvre, J. J. G., 2009, Tilburg: Finance, 49 p. (CentER Discussion Paper; vol. 2009-48).

Research output: Working paperDiscussion paperOther research output

File
Information content
Empirical analysis
Purchase
The Netherlands
Insider trading

An Empirical Analysis of Legal Insider Trading in the Netherlands

Degryse, H. A., de Jong, F. C. J. M. & Lefebvre, J. J. G., 2009, Tilburg: TILEC, 49 p. (TILEC Discussion Paper; vol. 2009-026).

Research output: Working paperDiscussion paperOther research output

Information content
Empirical analysis
Purchase
The Netherlands
Insider trading
335 Downloads (Pure)

An Empirical Analysis of Incremental Capital Structure Decisions Under Managerial Entrenchment

de Jong, A. & Veld, C. H., 1998, Tilburg: Finance, 33 p. (CentER Discussion Paper; vol. 1998-83).

Research output: Working paperDiscussion paperOther research output

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Managers
Managerial entrenchment
Incremental
Empirical analysis
Capital structure
768 Downloads (Pure)

Anatomy of Public-Private Partnerships: Their Creation, Financing, and Renegotiations

Miranda Sarmento, J. & Renneboog, L. D. R., 2014, Tilburg: Finance, 42 p. (CentER Discussion Paper; vol. 2014-017).

Research output: Working paperDiscussion paperOther research output

File
public private partnership
German Federal Railways
private sector
public sector
infrastructure
213 Downloads (Pure)

An Asymptotic Analysis of Nearly Unstable inar (1) Models

Drost, F. C., van den Akker, R. & Werker, B. J. M., 2006, Tilburg: Econometrics, 35 p. (CentER Discussion Paper; vol. 2006-44).

Research output: Working paperDiscussion paperOther research output

File
Asymptotic analysis
Experiment
Autoregressive process
Autoregression
Estimator
293 Downloads (Pure)

An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data

Charlier, E., Melenberg, B. & van Soest, A. H. O., 1997, Tilburg: Econometrics, 36 p. (CentER Discussion Paper; vol. 1997-14).

Research output: Working paperDiscussion paperOther research output

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Semiparametric model
Fixed effects
Expenditure
Panel data
Random effects model
256 Downloads (Pure)

An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models

Charlier, E., Melenberg, B. & van Soest, A. H. O., 1997, Tilburg: Econometrics, 26 p. (CentER Discussion Paper; vol. 1997-15).

Research output: Working paperDiscussion paperOther research output

File
Cross section
Expenditure
Elasticity
Parametric model
Exogeneity
272 Downloads (Pure)

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

de Roon, F. A., Nijman, T. E. & Veld, C. H., 1997, Tilburg: Finance, 35 p. (CentER Discussion Paper; vol. 1997-102).

Research output: Working paperDiscussion paperOther research output

File
225 Downloads (Pure)

Analytic American Option Pricing and Applications

Sbuelz, A., 2003, Tilburg: Finance, 13 p. (CentER Discussion Paper; vol. 2003-64).

Research output: Working paperDiscussion paperOther research output

File
American option pricing
Option prices
Breakdown
Maturity
American options
248 Downloads (Pure)

An Alternative Asymptotic Analysis of Residual-Based Statistics

Andreou, E. & Werker, B. J. M., 2004, Tilburg: Econometrics, 39 p. (CentER Discussion Paper; vol. 2004-56).

Research output: Working paperDiscussion paperOther research output

File
Asymptotic Analysis
Statistics
Alternatives
Limiting Distribution
Nonparametric Statistics
232 Downloads (Pure)

A Method of Moments Estimator of Tail Dependence

Einmahl, J. H. J., Krajina, A. & Segers, J. J. J., 2007, Tilburg: Econometrics, 32 p. (CentER Discussion Paper; vol. 2007-80).

Research output: Working paperDiscussion paperOther research output

File
436 Downloads (Pure)

A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis

Knaup, M. & Wagner, W. B., 2009, Tilburg: Macroeconomics, 32 p. (CentER Discussion Paper; vol. 2009-35 S).

Research output: Working paperDiscussion paperOther research output

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Subprime crisis
Bank performance
Credit
Credit risk
Share prices

A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis

Knaup, M. & Wagner, W. B., 2009, Tilburg: EBC, 32 p. (EBC Discussion Paper; vol. 2009-06 S).

Research output: Working paperDiscussion paperOther research output

Subprime crisis
Bank performance
Credit
Credit risk
Share prices
315 Downloads (Pure)

Aggressive Orders and the Resiliency of a Limit Order Market

Degryse, H. A., de Jong, F. C. J. M., van Ravenswaaij, M. & Wuyts, G., 2002, Tilburg: Finance, 53 p. (CentER Discussion Paper; vol. 2002-80).

Research output: Working paperDiscussion paperOther research output

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Resiliency
Order flow
Limit order market
Price effects
Tick size
397 Downloads (Pure)

A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems

Boonen, T. J., De Waegenaere, A. M. B. & Norde, H. W., 2012, Tilburg: Econometrics, 43 p. (CentER Discussion Paper; vol. 2012-091).

Research output: Working paperDiscussion paperOther research output

File
Capital allocation
Risk capital
Shapley value
Allocation problem
Allocation rules
227 Downloads (Pure)

A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances

van den Broek, W. A., Engwerda, J. C. & Schumacher, J. M., 2000, Tilburg: Macroeconomics, 12 p. (CentER Discussion Paper; vol. 2000-38).

Research output: Working paperDiscussion paperOther research output

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Linear systems
Controllers
State feedback
Uncertainty
209 Downloads (Pure)

Actual versus Perceived Central Bank Transparency: The Case of the European Central Bank

van der Cruijsen, C. A. B. & Eijffinger, S. C. W., 2007, Tilburg: Macroeconomics, 44 p. (CentER Discussion Paper; vol. 2007-78).

Research output: Working paperDiscussion paperOther research output

File
Central bank transparency
Transparency
European Central Bank
Central bank
Household survey
1199 Downloads (Pure)

A Corporate Governance Index: Convergence and Diversity of National Corporate Governance Regulations

Martynova, M. & Renneboog, L. D. R., 2010, Tilburg: Finance, 35 p. (CentER Discussion Paper; vol. 2010-17).

Research output: Working paperDiscussion paperOther research output

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Corporate governance
Governance indexes
European countries
Shareholders
Capital markets

A Corporate Governance Index: Convergence and Diversity of National Corporate Governance Regulations

Martynova, M. & Renneboog, L. D. R., 2010, Tilburg: TILEC, 35 p. (TILEC Discussion Paper; vol. 2010-012).

Research output: Working paperDiscussion paperOther research output

A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests (Replaced by DP 2010-72)

Hallin, M., van den Akker, R. & Werker, B. J. M., 2009, Tilburg: Econometrics, 23 p. (CentER Discussion Paper; vol. 2009-02).

Research output: Working paperDiscussion paperOther research output

Unit root tests
228 Downloads (Pure)

A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)

Hallin, M., van den Akker, R. & Werker, B. J. M., 2011, TILBURG: Faculteit der Economische Wetenschappen, 36 p. (CentER Discussion Paper; vol. 2011-002).

Research output: Working paperDiscussion paperOther research output

File
Unit root tests
Distribution-free
Finite sample
Innovation
Sample size

A Class of Simple Distribution-Free Rank-Based Unit Root Tests (Replaced by DP 2011-002)

Hallin, M., van den Akker, R. & Werker, B. J. M., 2010, Tilburg: Econometrics, 26 p. (CentER Discussion Paper; vol. 2010-72).

Research output: Working paperDiscussion paperOther research output

Unit root tests
Distribution-free
685 Downloads (Pure)

Accounting Discretion of Banks During a Financial Crisis

Huizinga, H. P. & Laeven, L., 2009, Tilburg: Finance, 58 p. (CentER Discussion Paper; vol. 2009-58).

Research output: Working paperDiscussion paperOther research output

File
Financial crisis
Accounting discretion
Mortgage-backed securities
Assets
Loans
30 Downloads (Pure)

Accounting Discretion of Banks During a Financial Crisis

Huizinga, H. P. & Laeven, L., 2009, Tilburg: Finance, 58 p. (EBC Discussion Paper; vol. 2009-17).

Research output: Working paperDiscussion paperOther research output

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Financial crisis
Accounting discretion
Mortgage-backed securities
Assets
Loans