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Bertrand Melenberg

Personal Details

First Name:Bertrand
Middle Name:
Last Name:Melenberg
Suffix:
RePEc Short-ID:pme250
http://www.tilburguniversity.nl/webwijs/show/?uid=b.melenberg

Affiliation

CentER Graduate School for Economics and Business
School of Economics and Management
Universiteit van Tilburg

Tilburg, Netherlands
https://www.tilburguniversity.edu/research/economics-and-management/graduate-school
RePEc:edi:cekubnl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
  2. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Discussion Paper 2015-030, Tilburg University, Center for Economic Research.
  3. Postek, K.S. & den Hertog, D. & Melenberg, B., 2014. "Tractable Counterparts of Distributionally Robust Constraints on Risk Measures," Discussion Paper 2014-031, Tilburg University, Center for Economic Research.
  4. Ben-Tal, A. & den Hertog, D. & De Waegenaere, A.M.B. & Melenberg, B. & Rennen, G., 2011. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Discussion Paper 2011-061, Tilburg University, Center for Economic Research.
  5. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.
  6. Melenberg, B. & Vollebergh, H.R.J. & Dijkgraaf, E., 2011. "Grazing the Commons : Global Carbon Emissions Forever?," Discussion Paper 2011-020, Tilburg University, Center for Economic Research.
  7. Magnus, J.R. & Melenberg, B. & Muris, C.H.M., 2011. "Global Warming and Local Dimming : The Statistical Evidence," Discussion Paper 2011-004, Tilburg University, Center for Economic Research.
  8. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Non- and Semiparametric Analysis of MS Models : Some Applications," Discussion Paper 2006-95, Tilburg University, Center for Economic Research.
  9. Hendri Adriaens & Bertrand Melenberg & Bas Donkers, 2006. "Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets," Computing in Economics and Finance 2006 340, Society for Computational Economics.
  10. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Econometric Analysis of Microscopic Simulation Models," Discussion Paper 2006-99, Tilburg University, Center for Economic Research.
  11. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
  12. Hendri Adriaens & Bertrand Melenberg, 2005. "Multi-period CAPM with Heterogeneous Agents," Computing in Economics and Finance 2005 163, Society for Computational Economics.
  13. Vollebergh, H.R.J. & Dijkgraaf, E. & Melenberg, B., 2005. "Environmental Kuznets Curves for CO2 : Heterogeneity Versus Homogeneity," Discussion Paper 2005-25, Tilburg University, Center for Economic Research.
  14. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Discussion Paper 2005-100, Tilburg University, Center for Economic Research.
  15. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper 2003-24, Tilburg University, Center for Economic Research.
  16. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002. "Model Risk and Regulatory Capital," Discussion Paper 2002-27, Tilburg University, Center for Economic Research.
  17. Kerkhof, F.L.J. & Melenberg, B., 2002. "Backtesting for Risk-Based Regulatory Capital," Discussion Paper 2002-110, Tilburg University, Center for Economic Research.
  18. Charles Bellemare & Bertrand Melenberg & Arthur van Soest van Soest, 2002. "Semi-parametric models for satisfaction with income," CeMMAP working papers CWP12/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  19. Vazquez-Alvarez, R. & Melenberg, B. & van Soest, A.H.O., 2001. "Nonparametric Bounds in the Presence of Item Nonresponse, Unfolding Brackets and Anchoring," Discussion Paper 2001-67, Tilburg University, Center for Economic Research.
  20. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000. "Common Factors in International Bond Returns," Discussion Paper 2000-91, Tilburg University, Center for Economic Research.
  21. Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B., 2000. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Discussion Paper 2000-93, Tilburg University, Center for Economic Research.
  22. Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000. "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society.
  23. Vazquez-Alvarez, R. & Melenberg, B. & van Soest, A.H.O., 1999. "Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design," Discussion Paper 1999-115, Tilburg University, Center for Economic Research.
  24. Vazquez-Alvarez, R. & Melenberg, B. & van Soest, A.H.O., 1999. "Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse," Discussion Paper 1999-33, Tilburg University, Center for Economic Research.
  25. Donkers, A.C.D. & Melenberg, B. & van Soest, A.H.O., 1999. "Estimating Risk Attitudes Using Lotteries; A Large Sample Approach," Discussion Paper 1999-12, Tilburg University, Center for Economic Research.
  26. Vazquez-Alvarez, R. & Melenberg, B. & van Soest, A.H.O., 1999. "Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse," Discussion Paper 1999-38, Tilburg University, Center for Economic Research.
  27. Charlier, E. & Melenberg, B. & van Soest, A.H.O., 1997. "An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data," Discussion Paper 1997-14, Tilburg University, Center for Economic Research.
  28. Euwals, R.W. & Melenberg, B. & van Soest, A.H.O., 1997. "Testing the Predicitive Value of Subjective Labour Supply Data," Discussion Paper 1997-25, Tilburg University, Center for Economic Research.
  29. Charlier, E. & Melenberg, B. & van Soest, A.H.O., 1997. "An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models," Discussion Paper 1997-15, Tilburg University, Center for Economic Research.
  30. Melenberg, B. & Werker, B.J.M., 1996. "On the Pricing of Options in Incomplete Markets," Discussion Paper 1996-19, Tilburg University, Center for Economic Research.
  31. Melenberg, B. & van Soest, A.H.O., 1995. "Semiparametric estimation of equivalence scales using subjective information," Discussion Paper 1995-71, Tilburg University, Center for Economic Research.
  32. Charlier, G.W.P. & Melenberg, B. & van Soest, A.H.O., 1995. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Discussion Paper 1995-114, Tilburg University, Center for Economic Research.
  33. Melenberg, B. & Van Soest, A., 1993. "Semi-Parametric Estimation on the Sample Selection Model," Papers 9334, Tilburg - Center for Economic Research.
  34. Melenberg, B. & Van Soest, A., 1991. "Parametric and Semi-parametric Modelling of Vocation Expenditures," Papers 9144, Tilburg - Center for Economic Research.
  35. Adang, P.J.M. & Melenberg, B., 1991. "Intratemporal uncertainty in the multi-good life cycle consumption model : Motivation and application," Research Memorandum FEW 487, Tilburg University, School of Economics and Management.
  36. Melenberg, B. & Alessie, R.J.M., 1989. "A method to construct moments in the multi-good life cycle consumption model," Research Memorandum FEW 419, Tilburg University, School of Economics and Management.
  37. Kooreman, P. & Melenberg, B., 1989. "Maximum Score Estimation In The Ordred Response Model," Papers 8948, Tilburg - Center for Economic Research.
  38. Alessie, R.J.M. & Gradus, R.H.J.M. & Melenberg, B., 1987. "The problem of not observing small expenditures in a consumer expenditure survey," Research Memorandum FEW 293, Tilburg University, School of Economics and Management.
  39. Alessie, R.J.M. & Melenberg, B. & Weber, G., 1987. "Consumption, leisure and earnings-related liquidity constraints : A note," Research Memorandum FEW 295, Tilburg University, School of Economics and Management.

Articles

  1. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
  2. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April.
  3. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  4. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
  5. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 635-672, September.
  6. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003. "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 629-656, October.
  7. E. Dijkgraaf & R. H. J. M. Gradus & B. Melenberg, 2003. "Contracting out refuse collection," Empirical Economics, Springer, vol. 28(3), pages 553-570, July.
  8. Donkers, Bas & Melenberg, Bertrand & Van Soest, Arthur, 2001. "Estimating Risk Attitudes Using Lotteries: A Large Sample Approach," Journal of Risk and Uncertainty, Springer, vol. 22(2), pages 165-195, March.
  9. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2001. "An analysis of housing expenditure using semiparametric models and panel data," Journal of Econometrics, Elsevier, vol. 101(1), pages 71-107, March.
  10. Bertrand Melenberg & Arthur van Soest & Erwin Charlier, 2000. "An analysis of housing expenditure using semiparametric cross-section models," Empirical Economics, Springer, vol. 25(3), pages 437-462.
  11. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
  12. Bertrand Melenberg & Bas Werker, 1999. "A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets," Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 11-30, January.
  13. Lee, Myoung-jae & Melenberg, Bertrand, 1998. "Bounding quantiles in sample selection models," Economics Letters, Elsevier, vol. 61(1), pages 29-35, October.
  14. Joel Horowitz & Myoung-Jae Lee & Bertrand Melenberg & Arthur van Soest, 1998. "Introduction: application of semiparametric methods for micro-data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 431-433.
  15. Rob Euwals & Bertrand Melenberg & Arthur van Soest, 1998. "Testing the predictive value of subjective labour supply data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 567-585.
  16. Melenberg, Bertrand, 1997. "Life cycle consumption models with uncertainty within periods," Economics Letters, Elsevier, vol. 57(1), pages 1-4, November.
  17. Melenberg, Bertrand & van Soest, Arthur, 1996. "Parametric and Semi-parametric Modelling of Vacation Expenditures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 59-76, Jan.-Feb..
  18. Adang, Pim & Melenberg, Bertrand, 1995. "Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 1-15, Jan.-Marc.
  19. Alessie, Rob & Gradus, Raymond H J M & Melenberg, Bertrand, 1990. "The Problem of Not Observing Small Expenditures in a Consumer Expenditure Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 151-166, April-Jun.
  20. Alessie, Rob & Kapteyn, Arie & Melenberg, Bertrand, 1989. "The effects of liquidity constraints on consumption Estimation from household panel data," European Economic Review, Elsevier, vol. 33(2-3), pages 547-555, March.
  21. Alessie, Rob & Melenberg, Bertrand & Weber, Guglielmo, 1988. "Consumption, leisure and earnings-related liquidity constraints : A note," Economics Letters, Elsevier, vol. 27(1), pages 101-104.

More information

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-UPT: Utility Models and Prospect Theory (2) 2015-01-09 2015-07-04
  2. NEP-DCM: Discrete Choice Models (1) 2002-06-13
  3. NEP-ORE: Operations Research (1) 2015-07-04
  4. NEP-RMG: Risk Management (1) 2015-01-09

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