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Do Countries or Industries Explain Momentum in Europe?

Nijman, Theo; Swinkels, L.A.P.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011090881

Retirement Flexibility and Portfolio Choice

Meijdam, Lex; Adema, Y.; Bonenkamp, J. - Tilburg University, Center for Economic Research - 2011

positive relationship between risk taking and retirement fl exibility is weakened - and under some conditions even turned … around - if not only capital-market risks but also productivity risks are considered. Productivity risk in combination with a … high elasticity of substitution between consumption and leisure creates a positive correlation between asset returns and …

Persistent link: https://www.econbiz.de/10011091480

Economic Hedging Portfolios

Werker, Bas J.M.; van den Goorbergh, R.W.J.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2003

, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion …-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging … demand obtained in the traditional mean-variance framework.We find that agents across a broad range of levels of risk …

Persistent link: https://www.econbiz.de/10011091561

A Discrete Multivariate Mean Value Theorem with Applications

Talman, Dolf; Yang, Z.F. - Tilburg University, Center for Economic Research - 2006

AMS classifications: 47H10; 54H25; 55M20; 90C33; 91B50

Persistent link: https://www.econbiz.de/10011090682

Solving Discrete Zero Point Problems with Vector Labeling

Talman, Dolf; van der Laan, G.; Yang, Z.F. - Tilburg University, Center for Economic Research - 2005

AMS classifications: 47H10; 54H25; 55M20; 90C26; 90C33; 91B50;

Persistent link: https://www.econbiz.de/10011091169

Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations

Talman, Dolf; van der Laan, G.; Yang, Z.F. - Tilburg University, Center for Economic Research - 2007

Tucker's well-known combinatorial lemma states that for any given symmetric triangulation of the n-dimensional unit cube and for any integer labeling that assigns to each vertex of the triangulation a label from the set f§1;§2; ¢ ¢ ¢ ;§ng with the property that antipodal vertices on the...

Persistent link: https://www.econbiz.de/10011091211

Solving Discrete Systems of Nonlinear Equations

Talman, Dolf; van der Laan, G.; Yang, Z.F. - Tilburg University, Center for Economic Research - 2008

In this paper we study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice Zn of the n-dimensional Euclidean space IRn. It is assumed that the set is integrally convex, which implies that the convex hull of the set can be subdivided in...

Persistent link: https://www.econbiz.de/10011091637

Computing Integral Solutions of Complementarity Problems

Talman, Dolf; van der Laan, G.; Yang, Z.F. - Tilburg University, Center for Economic Research - 2005

AMS classifications: 90C33, 90C26, 91B50.

Persistent link: https://www.econbiz.de/10011092187

Improving Garch Volatility Forecasts

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1998

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our...

Persistent link: https://www.econbiz.de/10011090288

Purchasing Power Parity : Evidence from a New Test

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

Most economists intuitively consider purchasing power parity (PPP) to be true. Nevertheless, quite surprisingly, the empirical literature is not very supportive for PPP. In this paper, however, we find evidence in favor of PPP using a new test. The test is embedded in a Markov regime-switching...

Persistent link: https://www.econbiz.de/10011090364