Similar Search Results

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B. - 2000

In this paper we empirically compare a wide range of different term structure models when it comes to the pricing and, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and pricing results, and investigate which type of data "interest...

Persistent link: https://www.econbiz.de/10009460130

Life cycle consumption models with uncertainty within periods

Melenberg, B. - In: Economics letters 57 (1997) 1, pp. 1-4

Persistent link: https://www.econbiz.de/10006790657

Contracting out refuse collection

Dijkgraaf, E.; Gradus, R.H.J.M.; Melenberg, B. - In: Empirical economics : a journal of the Institute for … 28 (2003) 3, pp. 553-570

Persistent link: https://www.econbiz.de/10006257185

Measuring the costs of children: parametric and semiparametric estimators

Melenberg, B.; Soest, A.H.O.van - In: Statistica Neerlandica : journal of the Netherlands … 50 (1996) 1, pp. 171-192

Persistent link: https://www.econbiz.de/10006479001

A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation

Charlier, E.; Melenberg, B.; Soest, A.H.O.van - In: Statistica Neerlandica : journal of the Netherlands … 49 (1995) 3, pp. 324-342

Persistent link: https://www.econbiz.de/10006484524

Testing the Predictive Value of Subjective Labour Supply Data

Euwals, R.; Melenberg, B.; Soest, A.van - In: Journal of applied econometrics 13 (1998) 5, pp. 567-586

Persistent link: https://www.econbiz.de/10006991413

Introduction: Application of Semiparametric Methods for Micro-Data

Horowitz, J.; Lee, M.-J.; Melenberg, B.; Soest, A.van - In: Journal of applied econometrics 13 (1998) 5, pp. 431-434

Persistent link: https://www.econbiz.de/10006991420

Parametric and Semi-parametric Modelling of Vacation Expenditures

Melenberg, B.; Soest, A.van - In: Journal of applied econometrics 11 (1996) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10007001656

Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-cycle Model

Adang, P.; Melenberg, B. - In: Journal of applied econometrics 10 (1995) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10007007907

Testing Affine Term Structure Models in Case of Transaction Costs.

Driessen, J.; Melenberg, B.; Nijman, T. - CentER for Economic Research, Universiteit van Tilburg - 1999

In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...

Persistent link: https://www.econbiz.de/10005775395