prof. dr. B. (Bertrand) Melenberg

Tilburg School of Economics and Management

Table of contents

• Journal articles
• Books
• Book chapters
• Working and/or discussion papers
• Reports (government and other final research reports)

Journal articles

• 2011
  • Magnus, J.R., Melenberg, B., & Muris, C.H.M. (2011). Global warming and local dimming: The statistical evidence. Journal of the American Statistical Association, 106(494), 452-464.
    (More)
• 2010
  • De Waegenaere, A.M.B., Melenberg, B., & Stevens, R. (2010). Longevity risk. De Economist, 158(2), 151-192.
    (Free access)
    (More)
  • Kerkhof, F.L.J., Melenberg, B., & Schumacher, J.M. (2010). Model risk and capital reserves. Journal of Banking and Finance, 34(1), 267-279.
    (More)
  • Li, Y., Donkers, A.C.D., & Melenberg, B. (2010). Econometric analysis of microscopic simulation models. Quantitative Finance, 10(10), 1187-1201.
    (More)
  • Stevens, R., De Waegenaere, A.M.B., & Melenberg, B. (2010). Logevity risk in pension annuities: The effect of product design. Insurance : Mathematics & Economics, 46(1), 222-234.
    (More)
• 2009
  • Vollebergh, H.R.J., Melenberg, B., & Dijkgraaf, E. (2009). Identifying reduced-form relations with panel data: The case of pollution and income. Journal of Environmental Economics and Management, 58(1), 27-42.
    (Free access)
    (More)
• 2008
  • Hari, N., De Waegenaere, A.M.B., Melenberg, B., & Nijman, T.E. (2008). Longevity risk in portfolios of pension annuities. Insurance : Mathematics & Economics, 42(2), 505-519.
    (More)
  • Hari, N., De Waegenaere, A.M.B., Melenberg, B., & Nijman, T.E. (2008). Estimating the term structure of mortality. Insurance : Mathematics & Economics, 42(2), 492-504.
    (More)
• 2006
  • Kerkhof, F.L.J., Melenberg, B., & Schumacher, J.M. (2006). Testing hedge effectiveness for option positions. Journal of Risk, 8(2), 61-79.
    (More)
• 2005
  • Driessen, J.J.A.G., Melenberg, B., & Nijman, T.E. (2005). Testing affine term structure models in case of transaction costs. Journal of Econometrics, 126(1), 201-232.
    (Free access)
    (More)
• 2004
  • Kerkhof, F.L.J., & Melenberg, B. (2004). Backtesting for risk-based regulatory capital. Journal of Banking and Finance, 28, 1845-1865.
    (More)
• 2003
  • Dijkgraaf, E., Gradus, R.H.J.M., & Melenberg, B. (2003). Contracting out refuse collection. Empirical Economics, 28(3), 553-570.
    (More)
  • Driessen, J.J.A.G., Klaassen, P., & Melenberg, B. (2003). The performance of multi-factor term structure models for pricing and hedging caps and swaptions. Journal of Financial and Quantitative Analysis, 38(3), 635-672.
    (More)
  • Driessen, J.J.A.G., Melenberg, B., & Nijman, T.E. (2003). Common factors in international bond returns. Journal of International Money and Finance, 22(5), 629-656.
    (Free access)
    (More)
• 2002
  • Bellemare, C., Melenberg, B., & Soest, A.H.O. van (2002). Semi-parametric models for satisfaction with income. Portuguese Economic Journal, 1(2), 181-203.
    (Free access)
    (More)
• 2001
  • Charlier, E., Melenberg, B., & Soest, A.H.O. van (2001). An analysis of housing expenditure using semiparametric models and panel data. Journal of Econometrics, 101(1), 71-107.
    (More)
  • Donkers, A.C.D., Melenberg, B., & Soest, A.H.O. van (2001). Estimating risk attitudes using lotteries: A large sample approach. Journal of Risk and Uncertainty, 22(2), 165-195.
    (More)
• 2000
  • Charlier, E., Melenberg, B., & Soest, A.H.O. van (2000). Estimation of a censored regression panel data model using conditional moment restrictions efficiently. Journal of Econometrics, 95(1), 25-56.
    (More)
  • Charlier, E., Melenberg, B., & Soest, A.H.O. van (2000). An analysis of housing expenditure using semiparametric cross-section models. Empirical Economics, 25(3), 437-462.
    (More)
• 1999
  • Melenberg, B., & Werker, B.J.M. (1999). A convenient way to characterize equivalent Martingale measures in incomplete markets. Statistical Inference for Stochastic Processes, 2, 11-30.
    (Free access)
    (More)
• 1998
  • Euwals, R.W., Melenberg, B., & Soest, A.H.O. van (1998). Testing the predictive value of subjective labour supply data. Journal of Applied Econometrics, 13(5), 567-586.
    (More)
  • Horowitz, J., Lee, M.J., Melenberg, B., & Soest, A.H.O. van (1998). Application of semiparametric methods for micro-data. Journal of Applied Econometrics, 13(5), 431-434.
    (More)
  • Melenberg, B., & Lee, M.J. (1998). Bounding quantiles in sample selection models. Applied Economics Letters, 61(1), 29-35.
    (More)
• 1997
  • Melenberg, B. (1997). Life cycle consumption models with uncertainty within periods. Economics Letters, 57(1), 1-4.
    (Free access)
    (More)
• 1996
  • Melenberg, B., & Soest, A.H.O. van (1996). Measuring the costs of children: Parametric and semiparametric estimators. Statistica Neerlandica, 50(1), 171-192.
    (Free access)
    (More)
  • Melenberg, B., & Soest, A.H.O. van (1996). Parametric and semi-parametric modelling of vacation expenditures. Journal of Applied Econometrics, 11(1), 59-76.
    (Free access)
    (More)
• 1995
  • Adang, P.J.M., & Melenberg, B. (1995). Nonnegativity constraints and intratemporal uncertainty in multi-good life-cycle models. Journal of Applied Econometrics, 10(1), 1-15.
    (Free access)
    (More)
  • Charlier, G.W.P., Melenberg, B., & Soest, A.H.O. van (1995). A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation. Statistica Neerlandica, 49(3), 324-342.
    (Free access)
    (More)
• 1990
  • Melenberg, B., Alessie, R.J.M., & Gradus, R.H.J.M. (1990). The problem of not observing small expenditures in a consumer expenditure survey. Journal of Applied Econometrics, 5(2), 151-166.
    (Free access)
    (More)
• 1989
  • Alessie, R.J.M., Melenberg, B., & Kapteyn, A.J. (1989). The effects of liquidity constraints on consumption: Estimation from household panel data. European Economic Review, 33, 547-555.
    (Free access)
    (More)
• 1988
  • Melenberg, B., Alessie, R.J.M., & Weber, G. (1988). Consumption, leisure and earnings-related liquidity constraints: A note. Economics Letters, 27(1), 101-104.
    (Free access)
    (More)

Books

• 1992
  • Melenberg, B. (1992). Micro-econometric models of consumer behaviour and welfare. [S.l.]: [s.n.].
    (More)
  • Melenberg, B., Deleeck, H., & Bosch, K. van den (1992). Poverty and the adequacy of social security in the EC. Aldershot: Avebury.
    (More)
• 1991
  • Alessie, R.J.M., Melenberg, B., & Kapteyn, A.J. (1991). Subjective definitions of poverty and the measurement of reference groups.
    (More)
• 1990
  • Muffels, R.J.A., Vries, A. de, Melenberg, B., Alessie, R.J.M., Kolkhuis-Tanke, P., Berghman, J., & Kapteyn, A.J. (1990). Poverty in the Netherlands. 's-Gravenhage: VUGA. (C.O.S.Z.-reeks).
    (More)
• 1987
  • Melenberg, B., & Kapteyn, A.J. (1987). Inkomens en bestedingen van ouderen: Verslag van een vooronderzoek. Tilburg: Stichting Economisch Instituut Tilburg.
    (More)

Book chapters

• 2007
  • Donkers, A.C.D., Li, Y., & Melenberg, B. (2007). The econometric analysis of agent-based models in finance: An application. In H. Yin, P. Tino, E. Corchado, W. Byrne, & X. Yao (Eds.), Procedings of the 8th International Conference on Intelligent Data Engineering and Automated Learning - IDEAL 2007 (pp. 1081-1091). Berlin: Springer-Verlag. (LNCS, 4881).
    (More)
• 1995
  • Lee, M., Melenberg, B., & Soest, A.H.O. van (1995). Artificial neural networks and wage equations. In S.V. Troye, A.M. Fuglseth, & E. Nyhus (Eds.), Frontiers in economic psychology: 20th IAREP Conference, Bergen, Norway, 1995 (pp. 445-459). [S.l.]: International Association for Research in Economic Psychology (IAREP).
    (More)
  • Melenberg, B., & Soest, A.H.O. van (1995). Semiparametric estimation of equivalence scales using subjective information. In S.V. Troye, A.M. Fuglseth, & E. Nyhus (Eds.), Frontiers in economic psychology: 20th IAREP Conference, Bergen, Norway, 1995 (pp. 500-514). [S.l.]: International Association for Research in Economic Psychology (IAREP).
    (More)
• 1993
  • Melenberg, B., & Kapteyn, A.J. (1993). Measuring the well-being of the elderly. In A.B. Atkinson & M. Rein (Eds.), Age, work and social security (pp. 161-187). New York: St. Martin's Press.
    (More)

Working and/or discussion papers

• 2011
  • Ben-Tal, A, Hertog, D. den, De Waegenaere, A.M.B., Melenberg, B., & Rennen, G. (2011). Robust Solutions of Optimization Problems Affected by Uncertain Probabilities. (CentER Discussion Paper, 2011-061, 2011-061)
    (Free access)
    (More)
  • Magnus, J.R., Melenberg, B., & Muris, C.H.M. (2011). Global Warming and Local Dimming: The Statistical Evidence. (CentER Discussion Paper, 2011-004, 2011-004)
    (Free access)
    (More)
  • Melenberg, B., Vollebergh, H.R.J., & Dijkgraaf, E. (2011). Grazing the Commons: Global Carbon Emissions Forever? (CentER Discussion Paper, 2011-020, 2011-020)
    (Free access)
    (More)
  • 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. (CentER Discussion Paper, 2011-036, 2011-036)
    (Free access)
    (More)
• 2006
  • Li, Y., Donkers, A.C.D., & Melenberg, B. (2006). The Econometric Analysis of Microscopic Simulation Models. (CentER Discussion Paper, 2006-99, 2006-099) pp. 1-47.
    (Free access)
    (More)
  • Li, Y., Donkers, A.C.D., & Melenberg, B. (2006). The Non- and Semiparametric Analysis of MS Models: Some Applications. (CentER Discussion Paper, 2006-95, 2006-095) pp. 1-20.
    (Free access)
    (More)
• 2005
  • Melenberg, B., & Polbennikov, S.Y. (2005). Testing for Mean-Coherent Regular Risk Spanning. (CentER Discussion Paper, 2005-99, 2005-099) p. 42.
    (Free access)
    (More)
  • Polbennikov, S.Y., & Melenberg, B. (2005). Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison. (CentER Discussion Paper, 2005-100, 2005-100) pp. 1-53.
    (Free access)
    (More)
  • Vollebergh, H.R.J., Dijkgraaf, E., & Melenberg, B. (2005). Environmental Kuznets Curves for CO2: Heterogeneity Versus Homogeneity. (CentER Discussion Paper, 2005-25, 2005-025) pp. 1-40.
    (Free access)
    (More)
• 2003
  • Kerkhof, F.L.J., Melenberg, B., & Schumacher, J.M. (2003). Testing Expected Shortfall Models for Derivative Positions. (CentER Discussion Paper, 2003-24, 2003-024) pp. 1-24.
    (Free access)
    (More)
• 2002
  • Bellemare, C., Melenberg, B., & Soest, A.H.O. van (2002). Semi-parametric Models for Satisfaction with Income. (CentER Discussion Paper, 2002-87, 2002-087) pp. 1-39.
    (Free access)
    (More)
  • Kerkhof, F.L.J., Melenberg, B., & Schumacher, J.M. (2002). Model Risk and Regulatory Capital. (CentER Discussion Paper, 2002-27, 2002-027) pp. 1-57.
    (Free access)
    (More)
  • Kerkhof, F.L.J., & Melenberg, B. (2002). Backtesting for Risk-Based Regulatory Capital. (CentER Discussion Paper, 2002-110, 2002-110) pp. 1-31.
    (Free access)
    (More)
• 2001
  • Vazquez-Alvarez, R., Melenberg, B., & Soest, A.H.O. van (2001). Nonparametric Bounds in the Presence of Item Nonresponse, Unfolding Brackets and Anchoring. (CentER Discussion Paper, 2001-67, 2001-067) pp. 1-40.
    (Free access)
    (More)
• 2000
  • 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. (CentER Discussion Paper, 2000-93, 2000-093) pp. 1-46.
    (Free access)
    (More)
  • Driessen, J.J.A.G., Melenberg, B., & Nijman, T.E. (2000). Common Factors in International Bond Returns. (CentER Discussion Paper, 2000-91, 2000-091) pp. 1-36.
    (Free access)
    (More)
• 1999
  • Donkers, A.C.D., Melenberg, B., & Soest, A.H.O. van (1999). Estimating Risk Attitudes Using Lotteries; A Large Sample Approach. (CentER Discussion Paper, 1999-12, 1999-012) pp. 1-39.
    (Free access)
    (More)
  • Driessen, J.J.A.G., Melenberg, B., & Nijman, T.E. (1999). Testing Affine Term Structure Models in Case of Transaction Costs. (CentER Discussion Paper, 1999-84, 1999-084) pp. 1-32.
    (Free access)
    (More)
  • Vazquez-Alvarez, R., Melenberg, B., & Soest, A.H.O. van (1999). Nonparametric Bounds on the Income Distribution in the Presence of Item Nonresponse. (CentER Discussion Paper, 1999-33, 1999-033) pp. 1-30.
    (Free access)
    (More)
  • Vazquez-Alvarez, R., Melenberg, B., & Soest, A.H.O. van (1999). Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design. (CentER Discussion Paper, 1999-115, 1999-115) pp. 1-31.
    (Free access)
    (More)
  • Vazquez-Alvarez, R., Melenberg, B., & Soest, A.H.O. van (1999). Bounds on Quantiles in the Presence of Full and Partial Item Nonresponse. (CentER Discussion Paper, 1999-38, 1999-038) pp. 1-33.
    (Free access)
    (More)
• 1997
  • Charlier, E., Melenberg, B., & Soest, A.H.O. van (1997). An Analysis of Housing Expenditure Using Semiparametric Cross-Section Models. (CentER Discussion Paper, 1997-15, 1997-015) pp. 1-26.
    (Free access)
    (More)
  • Charlier, E., Melenberg, B., & Soest, A.H.O. van (1997). An Analysis of Housing Expenditure Using Semiparametric Models and Panel Data. (CentER Discussion Paper, 1997-14, 1997-014) pp. 1-36.
    (Free access)
    (More)
  • Euwals, R.W., Melenberg, B., & Soest, A.H.O. van (1997). Testing the Predicitive Value of Subjective Labour Supply Data. (CentER Discussion Paper, 1997-25, 1997-025) pp. 1-35.
    (Free access)
    (More)
• 1996
  • Melenberg, B., & Werker, B.J.M. (1996). On the Pricing of Options in Incomplete Markets. (CentER Discussion Paper, 1996-19, 1996-019) pp. 1-20.
    (Free access)
    (More)
• 1995
  • Charlier, G.W.P., Melenberg, B., & Soest, A.H.O. van (1995). Estimation of a censored regression panel data model using conditional moment restrictions efficiently. (CentER Discussion Paper, 1995-114, 1995-114)
    (Free access)
    (More)
  • Melenberg, B., & Soest, A.H.O. van (1995). Semiparametric estimation of equivalence scales using subjective information. (CentER Discussion Paper, 1995-71, 1995-071)
    (Free access)
    (More)
• 1993
  • Melenberg, B., & Soest, A.H.O. van (1993). Semi-parametric estimation of the sample selection model. (CentER Discussion Paper, 1993-34, 1993-034)
    (Free access)
    (More)
• 1991
  • Adang, P.J.M., & Melenberg, B. (1991). Intratemporal uncertainty in the multi-good life cycle consumption model: Motivation and application. (Research memorandum / Tilburg University, Department of Economics, FEW 487)
    (Free access)
    (More)
  • Melenberg, B., & Soest, A.H.O. van (1991). Parametric and semi-parametric modelling of vacation expenditures. (CentER Discussion Paper, 1991-44, 1991-044)
    (Free access)
    (More)
• 1990
  • Alessie, R.J.M., Kapteyn, A.J., & Melenberg, B. (1990). The effects of liquidity constraints on consumption: Estimation from household panel data. (Reprint series / CentER for Economic Research, 15)
    (Free access)
    (More)
• 1989
  • Kooreman, P., & Melenberg, B. (1989). Maximum score estimation in the ordered response model. (CentER Discussion Paper, 1989-48, 1989-048)
    (Free access)
    (More)
  • Melenberg, B., & Alessie, R.J.M. (1989). A method to construct moments in the multi-good life cycle consumption model. (Research memorandum / Tilburg University, Department of Economics, FEW 419)
    (Free access)
    (More)
• 1987
  • 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 / Tilburg University, Department of Economics, FEW 293)
    (Free access)
    (More)
  • Alessie, R.J.M., Melenberg, B., & Weber, G. (1987). Consumption, leisure and earnings-related liquidity constraints: A note. (Research memorandum / Tilburg University, Department of Economics, FEW 295)
    (Free access)
    (More)

Reports (government and other final research reports)

• 1997
  • Melenberg, B., & Werker, B.J.M. (1997). A New Way to Characterize Equivalent Martingale Measures in Incomplete Markets. (Preprints Institut de Statistique Universite Libre de Bruxel, 9752) pp. 1-19. Brussels: Institut de Statistique - University of Brussels.
    (More)