Theo Nijman

Datos Biográficos

ID5735447
NOMBRETheo Nijman
NOMBRESTheo
APELLIDONijman
FIRMANIJMAN T
AFILIACIONESTilburg University
VERIFICADONo
TOTAL DE OBRAS5
TOTAL DE CITAS0
TOTAL COMO AUTOR5
TOTAL COMO EDITOR0
PRIMER AÑO DE PUBLICACIÓN1990
AÑO MÁS RECIENTE DE PUBLICACIÓN2017
ÍNDICE H0

  • Health Cost Risk

    Open AccessKim Peijnenburg, Theo Nijman et al.ARTICLEThe Economic Journal2017Referencias: 43

    We find that health cost risk lowers optimal annuity demand at retirement. If medical expenses can be sizeable early in retirement, full annuitisation at retirement is no longer optimal because agents do not have enough time to build a liquid wealth buffer. Furthermore, large deviations from optimal annuitisation levels lead to small utility differences. Our results suggest that health cost risk can explain a large proportion of empirically obser…

  • Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity

    Feike C Drost, Theo Nijman et al.ARTICLEJournal of Business and Economic…1998

    In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …

  • Premia in Forward Foreign Exchange as Unobserved Components

    Theo Nijman, Theo E Nijman et al.ARTICLEJournal of Business and Economic…1993

    We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the differenc…

  • Testing for Selectivity Bias in Panel Data Models

    Marno Verbeek, Theo NijmanARTICLEInternational Economic Review1992

    Missing observations are a rule rather than an exception in panel data.In this paper we discuss several tests to check for the presence of selectivity bias in regression estimates based on panel data.One approach to test for selectivity bias i n these estimates is to specify the missing data mechanism explicitly and to estimate the response mechanism and the regres-equation jointly.Alternatively, one can derive the asymptotically efficient Lagran…

  • Predictive Accuracy Gain From Disaggregate Sampling in Arima Models

    Theo Nijman, Theo E Nijman et al.ARTICLEJournal of Business and Economic…1990

    Economics