Bas J.M. Werker
Names
| first: |
Bas |
| middle: |
J.M. |
| last: |
Werker |
Identifer
Contact
Affiliations
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Universiteit van Tilburg
/ School of Economics and Management
/ CentER Graduate School for Economics and Business
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Universiteit van Tilburg
/ School of Economics and Management
/ Finance Department
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Universiteit van Tilburg
/ School of Economics and Management
Research profile
author of:
- Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
Journal of Business & Economic Statistics, American Statistical Association (1998)
by Drost, Feike C & Nijman, Theo E & Werker, Bas J M
(ReDIF-article, bes:jnlbes:v:16:y:1998:i:2:p:237-43) - Semiparametric Duration Models
Journal of Business & Economic Statistics, American Statistical Association (2004)
by Drost, Feike C & Werker, Bas J M
(ReDIF-article, bes:jnlbes:v:22:y:2004:i:1:p:40-50) - Efficient Estimation in Semiparametric Time Series: the ACD Model
Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
by Feike C. Drost & Bas J. M. Werker
(ReDIF-paper, ecm:wc2000:0836) - GARCH and irregularly spaced data
Economics Letters, Elsevier (2006)
by Meddahi, Nour & Renault, Eric & Werker, Bas
(ReDIF-article, eee:ecolet:v:90:y:2006:i:2:p:200-204) - Dynamic factor models
Journal of Econometrics, Elsevier (2004)
by Croux, Christophe & Renault, Eric & Werker, Bas
(ReDIF-article, eee:econom:v:119:y:2004:i:2:p:223-230) - Closing the GARCH gap: Continuous time GARCH modeling
Journal of Econometrics, Elsevier (1996)
by Drost, Feike C. & Werker, Bas J. M.
(ReDIF-article, eee:econom:v:74:y:1996:i:1:p:31-57) - Yet another look at mutual fund tournaments
Journal of Empirical Finance, Elsevier (2005)
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.
(ReDIF-article, eee:empfin:v:12:y:2005:i:1:p:127-137) - Bivariate option pricing using dynamic copula models
Insurance: Mathematics and Economics, Elsevier (2005)
by van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M.
(ReDIF-article, eee:insuma:v:37:y:2005:i:1:p:101-114) - Currency hedging for international stock portfolios: The usefulness of mean-variance analysis
Journal of Banking & Finance, Elsevier (2003)
by de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M.
(ReDIF-article, eee:jbfina:v:27:y:2003:i:2:p:327-349) - Linear Factor Models and the Estimation of Expected Returns
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2024)
by Cisil Sarisoy & Bas J.M. Werker
(ReDIF-paper, fip:fedgfe:2024-14) - A Note on Robinson's Test of Independence
Papers, Tilburg - Center for Economic Research (1993)
by Drost, F.C. & Werker, B.J.M.
(ReDIF-paper, fth:tilbur:9315) - Adaptive Estimation in Time Series Models
Papers, Tilburg - Center for Economic Research (1994)
by Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M.
(ReDIF-paper, fth:tilbur:9488) - A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
Discussion Paper, Tilburg University, Center for Economic Research (2011)
by Hallin, M. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:004c9726-ec6a-4884-8238-d31defda1153) - Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
Discussion Paper, Tilburg University, Center for Economic Research (2004)
by Hallin, M. & Vermandele, C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:05757b2b-ad74-4583-b012-b417132f7675) - Stochatic Volatility Models with Transaction Time Risk
Discussion Paper, Tilburg University, Center for Economic Research (2004)
by Renault, E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:06337eb0-e3eb-4d91-baeb-d05af7410b36) - Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
Discussion Paper, Tilburg University, Center for Economic Research (2010)
by Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:0b8e2130-a64a-48c1-97d6-8abc5d3246f9) - Adaptive estimation in time-series models
Discussion Paper, Tilburg University, Center for Economic Research (1994)
by Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:0ea45b6f-f54e-4933-b454-2a5f5eb1ad1e) - Closing the GARCH gap : Continuous time GARCH modeling
Discussion Paper, Tilburg University, Center for Economic Research (1994)
by Drost, F.C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:15acbe8a-915c-4cc6-bd4c-d030cf056810) - Currency Hedging for International Stock Portfolios : A General Approach
Discussion Paper, Tilburg University, Center for Economic Research (1999)
by de Roon, F.A. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:22b6fdb8-5ebb-4c5c-85cd-5deda62cf258) - The Impact of Overnight Periods on Option Pricing
Discussion Paper, Tilburg University, Center for Economic Research (2005)
by Boes, M.J. & Drost, F.C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:2c3a7553-f718-4caa-90f2-b8237270de05) - On the Empirical Evidence of Mutual Fund Strategic Risk Taking
Discussion Paper, Tilburg University, Center for Economic Research (2001)
by Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:2ee60de2-d2c5-49a1-aa78-7787d7516d5f) - Incorporating Estimation Risk in Portfolio Choice
Discussion Paper, Tilburg University, Center for Economic Research (2000)
by Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:30107fbe-2dc9-43d5-a086-efa7f412be10) - Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach
Discussion Paper, Tilburg University, Center for Economic Research (1996)
by Nijman, T.E. & de Roon, F.A. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:30cf5d43-2275-4b9b-9a91-6d8bd61df196) - On the Pricing of Options in Incomplete Markets
Discussion Paper, Tilburg University, Center for Economic Research (1996)
by Melenberg, B. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:3531d5d5-d0a6-4d54-9d8a-91dbd137e417) - Estimation and testing in models containing both jumps and conditional heteroskedasticity
Discussion Paper, Tilburg University, Center for Economic Research (1994)
by Drost, F.C. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:4a81702c-3af7-4b6c-99b6-5b00ce83cabc) - Note on Integer-Valued Bilinear Time Series Models
Discussion Paper, Tilburg University, Center for Economic Research (2007)
by Drost, F.C. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:4eb72bc4-4b8b-45a9-b97c-7c32a52fabe9) - Semiparametric Lower Bounds for Tail Index Estimation
Discussion Paper, Tilburg University, Center for Economic Research (2001)
by Beirlant, J. & Bouquiaux, C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:5995733c-c25b-4adc-9824-43182fee8c99) - A note on Robinson's test of independence
Discussion Paper, Tilburg University, Center for Economic Research (1993)
by Drost, F.C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:5ae60c12-968b-4b1a-bee2-bc035407c1ce) - Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets
Discussion Paper, Tilburg University, Center for Economic Research (1998)
by de Roon, F.A. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:60caeb48-a8bf-480a-a37e-c7ebf4f7c9cd) - Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality
Discussion Paper, Tilburg University, Center for Economic Research (2003)
by Hallin, M. & Vermandele, C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:620d09ba-f476-426d-b236-3145adaecc08) - An Asymptotic Analysis of Nearly Unstable inar (1) Models
Discussion Paper, Tilburg University, Center for Economic Research (2006)
by Drost, F.C. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:6e89d2b0-1d07-4f01-9b2f-57afcdee4528) - Semiparametric Duration Models
Discussion Paper, Tilburg University, Center for Economic Research (2001)
by Drost, F.C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:845b71c6-9525-4006-a0df-40c521c063b0) - Multivariate Option Pricing Using Dynamic Copula Models
Discussion Paper, Tilburg University, Center for Economic Research (2003)
by van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:86ec50af-0fb6-4782-b2dd-d24c1f28ae25) - Labor Income and the Demand for Long-term Bonds
Discussion Paper, Tilburg University, Center for Economic Research (2005)
by Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:8c3c0c08-028b-49b5-b6b8-4997e0cd0df4) - An Alternative Asymptotic Analysis of Residual-Based Statistics
Discussion Paper, Tilburg University, Center for Economic Research (2004)
by Andreou, E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:93fe16c1-9f21-4dab-9b73-4dc521ad87d8) - Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known
Discussion Paper, Tilburg University, Center for Economic Research (2008)
by Segers, J.J.J. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:950a8cda-8f8c-43a9-a5c2-88ca22b891da) - Local Asymptotic Normality and Efficient Estimation for inar (P) Models
Discussion Paper, Tilburg University, Center for Economic Research (2006)
by Drost, F.C. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:95ec06ea-005b-4c08-a2e6-f5901d66e640) - A Simple Asymptotic Analysis of Residual-Based Statistics
Discussion Paper, Tilburg University, Center for Economic Research (2003)
by Andreou, E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:9fe68e51-a026-4660-b6e7-83a33cc139d1) - The Dynamics of the Impact of Past Performance on Mutual Fund Flows
Discussion Paper, Tilburg University, Center for Economic Research (2002)
by Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:a3f30143-faf0-45a8-86ac-9632c7c1e225) - Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
Discussion Paper, Tilburg University, Center for Economic Research (2012)
by Hallin, M. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:bc68a2f2-3ca3-443c-b3ac-f8ef56841037) - Economic Hedging Portfolios
Discussion Paper, Tilburg University, Center for Economic Research (2003)
by van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:c9461c14-c6d6-425f-8395-9ba93a21e3a5) - GARCH and Irregularly Spaced Data
Discussion Paper, Tilburg University, Center for Economic Research (2003)
by Meddahi, N. & Renault, E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:cde7c8bd-37ac-4692-836c-c73b60a900a0) - Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)
Discussion Paper, Tilburg University, Center for Economic Research (2008)
by Drost, F.C. & van den Akker, R. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:cef533d0-6b49-4ce9-8cd2-7a20a43d2dfb) - Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models
Discussion Paper, Tilburg University, Center for Economic Research (2015)
by Hallin, M. & Werker, B.J.M. & van den Akker, R.
(ReDIF-paper, tiu:tiucen:d1b040c9-db57-4e55-846f-44e7cc614771) - Optimal Portfolio Choice with Annuitization
Discussion Paper, Tilburg University, Center for Economic Research (2006)
by Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:e0ee89d5-4a5f-4c70-a7ee-d2c329db1a83) - Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand
Discussion Paper, Tilburg University, Center for Economic Research (2010)
by Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:f178a33d-4386-4036-861f-6cd388c4621f) - Exchange rate target zones : A new approach
Discussion Paper, Tilburg University, Center for Economic Research (1997)
by de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M.
(ReDIF-paper, tiu:tiucen:f3844464-a071-4890-8894-8875e512f4eb)