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B. (Bertrand) Melenberg


Hoogleraar of Econometrics and Finance

Tilburg School of Economics and Management
Econometrics and Operations Research

 

Expertise

Bertrand Melenberg is a research fellow at CentER, Tilburg University, professor in Econometrics and Quantitative Finance at the Department of Econometrics & OR, Program Director of the MSc Economics and Finance of Aging, and senior researcher at Netspar. He is also part-time affiliated to the Finance Department of the University. His research interests cover various fields such as Empirical Micro-Econometrics and Empirical Finance (Asset Pricing). He taught various courses in econometrics, finance, and statistics at both undergraduate and graduate level and supervised several Ph.D. students.

Key words

Publications

Most recent publications

Click here for the extended list of publications

 

Education

Ph.D. Thesis

Micro-econometric models of consumer behaviour and welfare, January 1992.

Supervisor: Arie Kapteyn.

Formal training

 

Ph.D. in Econometrics, 1992, Tilburg University

M.A. in Econometrics, 1986, University of Groningen, cum laude

B.A. in Econometrics, 1983, University of Groningen, cum laude

Career

2004- present Professor of Econometrics and Finance, Tilburg University

1999- 2003 Associate Professor of Econometrics and Finance, Tilburg

University

1993 - 1999 Assistant Professor of Econometrics, Tilburg University

1989 - 1993 Research Associate, N.W.O. (Netherlands Organization for

Scientific Research)

1991 - 1993 Lecturer (0.2), Tilburg University

1986 - 1989 Research Associate, Economics Institute Tilburg (EIT)

1983 - 1985 Research Assistant, University of Groningen

Research Grants

 

Understanding Financial Markets at the Micro Level, NWO, 2002.

Research Consultancy

 

Consultant New Economic School, Moscow.

Administration

Present

 

  • Co-organizer seminars Econometrics and Statistics

Past

  • Member Daily Board, Department of Econometrics
  • Secretary Daily Board, Department of Econometrics
  • Member Faculty Council (Faculteitsraad), Faculty of Economics
  • Member Faculty Committee on Human Resources Management
  • Member Educational Committee Econometrics and Operations Research
  • Member Faculty Recruitment Committee, 2002/2003 (Washington D.C.)
  • Coordinator Internships Econometrics and Quantitative Finance (undergraduate programme Econometrics & OR)
  • Member Educational Board Econometrics and Operations Research
  • Member Management Team Department of Econometrics and Operations Research
  • Organizer Informal Econometrics Seminars

Download my CV

Publications

Most recent publications

Click here for the extended list of publications

Research supervision

Ph.D. supervision

Current Ph.D. students:

  • Youwei Li, Understanding Financial Markets at the Micro-level (I). Joint supervision with B. Donkers.
  • Hendri Adriaens, Understanding Financial Markets at the Micro Level (II). Joint supervision with B. Donkers.
  • Caroline Tan (ABN-AMRO Bank), Modelling Credit Risk. Joint supervision with B. Werker.
  • Norbert Hari, Aspects of Asset Liability Management. Joint supervision with A. De Waegenaere and Th. E. Nijman.
  • Leon Zolotoy, Integration of international stock markets.

Past Ph. D. Students:

  • Erwin Charlier, Limited dependent variable models for panel data. Ph.D. defense: November 28, 1997. Jointly supervised with A. van Soest.
  • Rob Euwals, Empirical studies on individual labour market behaviour. Ph.D. defense: December 12, 1997. Jointly supervised with A. van Soest.
  • Bas Donkers, Using subjective information to test life cycle models of savings. Ph.D. defense: June 30, 2000. Jointly supervised with A. van Soest.
  • Joost Driessen, Empirical studies on the pricing of bonds and interest rate derivatives. Ph.D. defense: June 6, 2001. Jointly supervised with Th. E. Nijman.
  • Rosalia Vazquez Alvarez, A nonparametric approach to the sample selection problem in survey data. Ph.D. defense: June 26, 2001. Jointly supervised with A. van Soest.
  • Jeroen Kerkhof, Model risk and robust hedging. Ph.D. defense: November 7, 2003. Jointly supervised with H. Schumacher.
  • Simon Pobennikov, Modelling of and empirical studies on portfolio choice, option pricing, and credit risk. Ph.D. defense: November 18, 2005.

External member Ph.D. committees

Xiaodong Gong, Dmitry Danilov, Laurens Swinkels, Elbert Dijkgraaf, Qin Tu.

 

Teaching

Graduate programmes

  • Econometric Methods A, B, and C, Microeconometrics, Financial Econometrics,
  • Empirical Research in Economics, Econometric Models in Economics (guest lectures)

Econometrics programmes

  • Orientation Econometrics (first year), Introductory Econometrics, Econometric Methods, Regression Analysis and Analysis of Variance, Micro-econometrics (limited dependent variable models, duration models), Dynamic Models 1, Panel Data, Orientation QFAS, Quantitative Finance, Advanced Quantitative Finance, Empirics of Financial Markets, Empirical Applications, Microeconometrics, Statistics and Probability Theory, One- and two-week study/work trips (Germany, Sweden, New York)
  • Supervision Bachelor's theses in Econometrics and OR
  • Supervision Master's theses in Econometrics and Quantitative Finance

Business Administration programmes:

  • Option Theory, Financial Innovations, Statistics
  • Supervision Master's theses in Economics

Orientation Secondary School students:

Presentations at information days, "Proefstuderen Kwantitatieve Financiering"

(Example lectures Quantitative Finance)

Teaching Awards

1995: Best teacher award, Econometrics programme

1996: Best teacher award, Econometrics programme


B. (Bertrand) Melenberg teaches the following subjects:

Teaching activities elsewhere

Netherlands Graduate School in Economics (NAKE)

  • Applied semi- and nonparametric econometrics
  • Testing the validity of asset pricing models with applications to stock picking and performance measurement

Tilburg Institute for Advanced Studies (TIAS)

  • Various lectures and computer practicals on Asset Pricing

Instituut voor Bedrijfskundige Opleidingen (VBA, clusters 3 and 4)

  • Asset Liability Management

New Economic School, Outreach Programme

  • Introductory course Econometrics for Teachers (Vilnius, July 2001)
  • Advanced course Empirical Finance for Teachers (Novgorod, July 2002)
  • Advanced course Empirical Finance for Teachers (Vladivostok, July 2003)
  • Advanced course Empirical Finance for Teachers (Rostov, May 2004)

Other activities

Refereeing

Annals of Operations Research, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Computational Statistics & Data Analysis, The Economic Journal, Journal of Econometrics, Journal of Empirical Finance, Journal of Environmental and Resource Economics, Oxford Bulletin of Economics and Statistics, Statistica Neerlandica, European Economic Review, Transportation Science.

Guest editor, Journal of Applied Econometrics, Volume 13, Issue 5, on Application of Semiparametric Methods for Micro-Data, jointly with Joel Horowitz, M.-J. Lee, and Arthur van Soest.

Contact details
Room K 606
PO Box 90153
5000 LE Tilburg 
Phone+31 13 466 2730
Secretary+31 13 466 2462
Fax +31 13 466 3280
Email b.melenberg@tilburguniversity.edu

Personal homepage

Hoogleraar of Econometrics and Finance
Tilburg School of Economics and Management
Econometrics and Operations Research

Working days
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Last amended: 17 December 2013

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