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An anatomy of commodity futures risk premia

Szymanowska, Marta; Roon, Frans de; Nijman, Theodore E.; … - In: The journal of finance : the journal of the American … 69 (2014) 1, pp. 453-484

Persistent link: https://www.econbiz.de/10010372410

Hedging pressure effects in futures markets

Roon, Frans de; Nijman, Theodore E.; Veld, Chris H. - In: The journal of finance : the journal of the American … 55 (2000) 3, pp. 1437-1456

Persistent link: https://www.econbiz.de/10001497632

Pricing term structure risk in futures markets

Roon, Frans de - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 139-157

Persistent link: https://www.econbiz.de/10001243201

Pricing term structure risk in futures markets

Nijman, Theodore E.; Roon, Frans de; Veld, Chris H. - 1996

Persistent link: https://www.econbiz.de/10000944055

Analyzing specification errors in models for future risk premia with hedging pressures

Roon, Frans de; Nijman, Theodore E.; Veld, Chris H. - 1997

Persistent link: https://www.econbiz.de/10000969027

Premia in forward foreign exchange as unobserved components

Nijman, Theodore E.; Palm, Franz C.; Wolff, Christiaan … - 1991

Persistent link: https://www.econbiz.de/10000809535

Premia in forward foreign exchange as unobserved components

Nijman, Theodore E.; Palm, Franz C.; Wolff, Christiaan … - 1991

Persistent link: https://www.econbiz.de/10000809738

When can life cycle investors benefit from time-varying bond risk premia?

Koijen, Ralph S. J.; Nijman, Theodore E.; Werker, Bas J. M. - In: The review of financial studies 23 (2010) 2, pp. 741-780

Persistent link: https://www.econbiz.de/10003941685

Premia in forward foreign exchange as unobserved components : a note

Nijman, Theodore E. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 3, pp. 361-365

Persistent link: https://www.econbiz.de/10001146824

Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2018

Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity...

Persistent link: https://www.econbiz.de/10011940016