Photo of Theo Nijman
  • Warandelaan 2, Koopmans Building, room K 526

    5037 AB Tilburg

    Netherlands

1982 …2019
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Research Output 1982 2019

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Discussion paper
2017
35 Downloads (Pure)

New Dutch pension contracts and lessons for other countries

Bovenberg, L. & Nijman, T., Sep 2017, Tilburg: NETSPAR, 22 p. (Netspar Academic Series; vol. DP 09/2017-014).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Pensions
Financial assets
Contract design
Financial risk management
Longevity risk
2016
34 Downloads (Pure)

De Meerwaarde van Risicodeling met Toekomstige Generaties Nader Bezien

Boeijen, D., Bonenkamp, J., Bovenberg, L., Frehen, L., de Haan, J., Joseph, A., Lever, M., Loois, M., Michielsen, T., Nijman, T., Ponds, E. & Werker, B., Nov 2016, Tilburg: NETSPAR, (Netspar Industry Paper; vol. Occasional 07/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
17 Downloads (Pure)

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 8 p. (Netspar Industry Paper; vol. Occasional 13/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
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Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen Vanuit Aanspraken

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 6 p. (Netspar Industry Paper; vol. Occasional 06/2016).

Research output: Working paperDiscussion paperOther research output

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen vanuit Vermogens per Horizon

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 15 p. (Netspar Industry Paper; vol. Occasional 11/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
17 Downloads (Pure)

Projectierentes in Verbeterde Premieregelingen

Bovenberg, L., Nijman, T. & Werker, B., May 2016, Tilburg: NETSPAR, 22 p. (Netspar Industry Paper; vol. Occasional 12/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
26 Downloads (Pure)

Welke Vaste Dalingen en Welk Beleggingsbeleid Passen bij Gewenste Uitkeringsprofielen in Verbeterde Premieregelingen?

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 11 p. (Netspar Industry Paper; vol. Occasional 14/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
2015

Personal Pensions with Risk Sharing, Affordable, Adequate and Stable Private Pensions in Europe

Bovenberg, L. & Nijman, T., Apr 2015, CEPR, 38 p. (CEPR Discussion Paper; no. 10538).

Research output: Working paperDiscussion paperOther research output

Private pensions
Risk sharing
Pensions
Insurance
Retirement
64 Downloads (Pure)

Personal Pensions with Risk Sharing, Affordable, Adequate and Stable Private Pensions in Europe

Bovenberg, L. & Nijman, T., Mar 2015, Tilburg: NETSPAR, 38 p. (Netspar Discussion Paper; vol. 03/2015-005).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Private pensions
Risk sharing
Pensions
Insurance
Retirement
2013

The Annuity Puzzle Remains a Puzzle

Peijnenburg, J. M. J., Werker, B. & Nijman, T., Jul 2013, Tilburg: NETSPAR, 34 p. (NETSPAR Discussion Paper; vol. 01/2010-003).

Research output: Working paperDiscussion paperOther research output

Annuitization
Annuities
Menu
Equity
Default risk
2010
339 Downloads (Pure)

Health Cost Risk and Optimal Retirement Provision: A Simple Rule for Annuity Demand

Peijnenburg, J. M. J., Nijman, T. E. & Werker, B. J. M., 2010, Tilburg: Finance, 35 p. (CentER Discussion Paper; vol. 2010-14).

Research output: Working paperDiscussion paperOther research output

File
Retirement
Annuities
Health costs
Simple rules
Annuitization
380 Downloads (Pure)

Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement

Peijnenburg, J. M. J., Nijman, T. E. & Werker, B. J. M., 2010, Tilburg: Finance, 30 p. (CentER Discussion Paper; vol. 2010-11).

Research output: Working paperDiscussion paperOther research output

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Market risk
Annuitization
Retirement
Annuities
Background risk
215 Downloads (Pure)

When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?

Sanders, E. A. T., De Waegenaere, A. M. B. & Nijman, T. E., 2010, Tilburg: Econometrics, 36 p. (CentER Discussion Paper; vol. 2010-43).

Research output: Working paperDiscussion paperOther research output

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Old age
Insurer
Pensions
Pension scheme
Annuities
2006
421 Downloads (Pure)

Optimal Portfolio Choice with Annuitization

Koijen, R. S. J., Nijman, T. E. & Werker, B. J. M., 2006, Tilburg: Finance, 46 p. (CentER Discussion Paper; vol. 2006-78).

Research output: Working paperDiscussion paperOther research output

File
Optimal portfolio choice
Annuitization
Retirement
Annuities
Investors
2005
238 Downloads (Pure)

Labor Income and the Demand for Long-term Bonds

Koijen, R. S. J., Nijman, T. E. & Werker, B. J. M., 2005, Tilburg: Finance, 66 p. (CentER Discussion Paper; vol. 2005-95).

Research output: Working paperDiscussion paperOther research output

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Inflation
Labor income
Investors
Time variation
Income risk
2003
291 Downloads (Pure)

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Nijman, T. E. & Swinkels, L. A. P., 2003, Tilburg: Finance, 37 p. (CentER Discussion Paper; vol. 2003-20).

Research output: Working paperDiscussion paperOther research output

File
2002
337 Downloads (Pure)

Do Countries or Industries Explain Momentum in Europe?

Nijman, T. E., Swinkels, L. A. P. & Verbeek, M. J. C. M., 2002, Tilburg: Finance, 42 p. (CentER Discussion Paper; vol. 2002-9).

Research output: Working paperDiscussion paperOther research output

File
233 Downloads (Pure)

Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News

Spierdijk, L., Nijman, T. E. & van Soest, A. H. O., 2002, Tilburg: Econometrics, 26 p. (CentER Discussion Paper; vol. 2002-69).

Research output: Working paperDiscussion paperOther research output

File
News
Trade intensity
Comovement
Modeling
Probit
344 Downloads (Pure)

The Dynamics of the Impact of Past Performance on Mutual Fund Flows

Goriaev, A. P., Nijman, T. E. & Werker, B. J. M., 2002, Tilburg: Finance, 28 p. (CentER Discussion Paper; vol. 2002-2).

Research output: Working paperDiscussion paperOther research output

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Mutual fund flows
Convexity
Investors
Risk factors
Systematic risk
275 Downloads (Pure)

The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity

Spierdijk, L., Nijman, T. E. & van Soest, A. H. O., 2002, Tilburg: Econometrics, 33 p. (CentER Discussion Paper; vol. 2002-29).

Research output: Working paperDiscussion paperOther research output

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Price impact
Market activity
Trade intensity
Bid/ask spread
High-frequency data
2001
233 Downloads (Pure)

On the Empirical Evidence of Mutual Fund Strategic Risk Taking

Goriaev, A. P., Nijman, T. E. & Werker, B. J. M., 2001, Tilburg: Finance, 15 p. (CentER Discussion Paper; vol. 2001-9).

Research output: Working paperDiscussion paperOther research output

File
Empirical evidence
Strategic risk
Risk taking
Mutual funds
Fund managers
2000
460 Downloads (Pure)

Common Factors in International Bond Returns

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 2000, Tilburg: Finance, 36 p. (CentER Discussion Paper; vol. 2000-91).

Research output: Working paperDiscussion paperOther research output

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Bond returns
Common factors
Currency
Factors
Term structure
336 Downloads (Pure)

Evaluating Style Analysis

de Roon, F. A., Nijman, T. E. & Ter Horst, J. R., 2000, Tilburg: Finance, 36 p. (CentER Discussion Paper; vol. 2000-64).

Research output: Working paperDiscussion paperOther research output

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Style analysis
Assets
Factor loadings
Mutual funds
Empirical results
1999
244 Downloads (Pure)

Currency Hedging for International Stock Portfolios: A General Approach

de Roon, F. A., Nijman, T. E. & Werker, B. J. M., 1999, Tilburg: Econometrics, 35 p. (CentER Discussion Paper; vol. 1999-123).

Research output: Working paperDiscussion paperOther research output

File
Investors
Currency hedging
Mean-variance
Currency
Optimal portfolio
305 Downloads (Pure)

Testing Affine Term Structure Models in Case of Transaction Costs

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 1999, Tilburg: Finance, 32 p. (CentER Discussion Paper; vol. 1999-84).

Research output: Working paperDiscussion paperOther research output

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Transaction costs
Affine term structure models
Testing
Factors
Misspecification
1998
417 Downloads (Pure)

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

Ter Horst, J. R., Nijman, T. E. & Verbeek, M. J. C. M., 1998, Tilburg: Econometrics, 37 p. (CentER Discussion Paper; vol. 98.55).

Research output: Working paperDiscussion paperOther research output

File
221 Downloads (Pure)

Performance analysis of international mutual funds incorporating market frictions

Ter Horst, J. R., Nijman, T. E. & de Roon, F. A., 1998, Tilburg: Econometrics, 37 p. (CentER Discussion Paper; vol. 1998-51).

Research output: Working paperDiscussion paperOther research output

File
313 Downloads (Pure)

Style Analysis and Performance Evaluation of Dutch Mutual Funds

Ter Horst, J. R., Nijman, T. E. & de Roon, F. A., 1998, Tilburg: Econometrics, 24 p. (CentER Discussion Paper; vol. 1998-50).

Research output: Working paperDiscussion paperOther research output

File
Style analysis
Performance evaluation
Mutual funds
Investment style
Equity
432 Downloads (Pure)

Testing for mean-variance spanning: A survey

de Roon, F. A. & Nijman, T. E., 1998, Tilburg: Econometrics, 67 p. (CentER Discussion Paper; vol. 1998-132).

Research output: Working paperDiscussion paperOther research output

File
283 Downloads (Pure)

Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets

de Roon, F. A., Nijman, T. E. & Werker, B. J. M., 1998, Tilburg: Econometrics, 47 p. (CentER Discussion Paper; vol. 1998-07).

Research output: Working paperDiscussion paperOther research output

File
1997
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
1996
253 Downloads (Pure)

Pricing Term Structure Risk in Futures Markets

Nijman, T. E., de Roon, F. A. & Veld, C. H., 1996, Tilburg: Finance, 24 p. (CentER Discussion Paper; vol. 1996-78).

Research output: Working paperDiscussion paperOther research output

File
Futures markets
Futures prices
Futures contracts
Term structure
Pricing
382 Downloads (Pure)

Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach

Nijman, T. E., de Roon, F. A. & Werker, B. J. M., 1996, Tilburg: Finance, 31 p. (CentER Discussion Paper; vol. 1996-83).

Research output: Working paperDiscussion paperOther research output

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Utility function
Assets
Futures contracts
Testing
Power utility
1995
1067 Downloads (Pure)

High frequency analysis of lead-lag relationships between financial markets

de Jong, F. C. J. M. & Nijman, T. E., 1995, Unknown Publisher, 28 p. (CentER Discussion Paper; vol. 1995-34).

Research output: Working paperDiscussion paperOther research output

File
Frequency analysis
Financial markets
Lead-lag relationship
Estimator
Imputation
1994
476 Downloads (Pure)

Estimation and testing in models containing both jumps and conditional heteroskedasticity

Drost, F. C., Nijman, T. E. & Werker, B. J. M., 1994, Unknown Publisher, 20 p. (CentER Discussion Paper; vol. 1994-105).

Research output: Working paperDiscussion paperOther research output

File
Conditional heteroskedasticity
Testing
Jump
Generalized autoregressive conditional heteroscedasticity
Stock market index
297 Downloads (Pure)

Price effects of trading and components of the bid-ask spread on the Paris Bource

de Jong, F. C. J. M., Nijman, T. E. & Roell, A. A., 1994, Unknown Publisher, 27 p. (CentER Discussion Paper; vol. 1994-54).

Research output: Working paperDiscussion paperOther research output

File
1993
252 Downloads (Pure)

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

de Jong, F. C. J. M., Nijman, T. E. & Roell, A. A., 1993, Unknown Publisher, (CentER Discussion Paper; vol. 1993-29).

Research output: Working paperDiscussion paperOther research output

File
213 Downloads (Pure)

Marginalization and contemporaneous aggregation in multivariate GARCH processes

Nijman, T. E. & Sentana, E., 1993, Unknown Publisher, 23 p. (CentER Discussion Paper; vol. 1993-12).

Research output: Working paperDiscussion paperOther research output

File
1992
542 Downloads (Pure)

Incomplete panels and selection bias: A survey

Verbeek, M. J. C. M. & Nijman, T. E., 1992, Unknown Publisher, 43 p. (CentER Discussion Paper; vol. 1992-7).

Research output: Working paperDiscussion paperOther research output

File
226 Downloads (Pure)

Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)

Verbeek, M. J. C. M. & Nijman, T. E., 1992, Unknown Publisher, 21 p. (CentER Discussion Paper; vol. 1992-1).

Research output: Working paperDiscussion paperOther research output

File
1124 Downloads (Pure)

Temporal aggregation of GARCH processes

Drost, F. C. & Nijman, T. E., 1992, Unknown Publisher, 21 p. (CentER Discussion Paper; vol. 1992-40).

Research output: Working paperDiscussion paperOther research output

File
1991
209 Downloads (Pure)

Premia in forward foreign exchange as unobserved components

Nijman, T. E., Palm, F. C. & Wolff, C. C. P., 1991, Unknown Publisher, 18 p. (CentER Discussion Paper; vol. 1991-12).

Research output: Working paperDiscussion paperOther research output

File
220 Downloads (Pure)

Recent developments in modeling volatility in financial data

Nijman, T. E. & Palm, F. C., 1991, Unknown Publisher, 45 p. (CentER Discussion Paper; vol. 1991-68).

Research output: Working paperDiscussion paperOther research output

File
1990
326 Downloads (Pure)

Can cohort data be treated as genuine panel data?

Verbeek, M. J. C. M. & Nijman, T. E., 1990, Unknown Publisher, (CentER Discussion Paper; vol. 1990-64).

Research output: Working paperDiscussion paperOther research output

File
230 Downloads (Pure)

Empirical tests of a simple pricing model for sugar futures

Nijman, T. E. & Beetsma, R. M. W. J., 1990, Unknown Publisher, 22 p. (CentER Discussion Paper; vol. 1990-68).

Research output: Working paperDiscussion paperOther research output

File
571 Downloads (Pure)

Temporal aggregation of GARCH processes

Drost, F. C. & Nijman, T. E., 1990, Unknown Publisher, 27 p. (CentER Discussion Paper; vol. 1990-66).

Research output: Working paperDiscussion paperOther research output

File
259 Downloads (Pure)

Testing for selectivity bias in panel data models

Verbeek, M. J. C. M. & Nijman, T. E., 1990, Unknown Publisher, 36 p. (CentER Discussion Paper; vol. 1990-18).

Research output: Working paperDiscussion paperOther research output

File
1989
235 Downloads (Pure)

Generalized least squares estimation of linear models containing rational future expectations

Nijman, T. E. & Palm, F. C., 1989, Unknown Publisher, 11 p. (CentER Discussion Paper; vol. 1989-2).

Research output: Working paperDiscussion paperOther research output

File
221 Downloads (Pure)

The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data

Nijman, T. E. & Verbeek, M. J. C. M., 1989, Unknown Publisher, 39 p. (CentER Discussion Paper; vol. 1989-36).

Research output: Working paperDiscussion paperOther research output

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