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Empirical tests of a simple pricing model for sugar futures

Nijman, Theodore E.; Beetsma, Roel - 1990

Persistent link: https://www.econbiz.de/10000805947

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

Yet another look at mutual fund tournaments

Goriaev, Aleksej P.; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of empirical finance 12 (2005) 1, pp. 127-137

Persistent link: https://www.econbiz.de/10002643489

Estimation and testing in models containing both jumps and conditional heteroscedasticity

Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10001244002

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

Estimation and testing in models containing both jumps and conditional heteroskedasticity

Drost, Feike C.; Nijman, Theodore E.; Werker, Bas J. M. - 1994

Persistent link: https://www.econbiz.de/10000904675

A simple approach to estimate long-term interest rates

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2022

We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the...

Persistent link: https://www.econbiz.de/10013545943