Bas J.M. Werker
Names
first: 
Bas 
middle: 
J.M. 
last: 
Werker 
Contact
Affiliations

Universiteit van Tilburg
→ School of Economics and Management
→ https://www.tilburguniversity.edu/research/economicsandmanagement/graduateschool
 website
 location: Tilburg, Netherlands

Universiteit van Tilburg
→ School of Economics and Management
→ Finance Department
 website
 location: Tilburg, Netherlands

Universiteit van Tilburg
→ School of Economics and Management
 website
 location: Tilburg, Netherlands
Research profile
author of:

Closing the GARCH gap: Continuous time GARCH modeling
by Drost, Feike C. & Werker, Bas J. M.

Currency hedging for international stock portfolios: The usefulness of meanvariance analysis
by de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M.

Yet another look at mutual fund tournaments
by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M.

Semiparametric Duration Models.
by Drost, Feike C. & Werker, Bas J. M.

Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity.
by Drost, Feike C. & Nijman, Theo E. & Werker, Bas J. M.

Bivariate option pricing using dynamic copula models
by van den Goorbergh, Rob W. J. & Genest, Christian & Werker, Bas J. M.

Efficient Estimation in Semiparametric Time Series: the ACD Model
by Feike C. Drost & Bas J. M. Werker

Adaptive Estimation in Time Series Models.
by Drost, F. C. & Klaasens, C. A. J. & Werker, B. J. M.

A Note on Robinson's Test of Independence.
by Drost, F. C. & Werker, B. J. M.

Dynamic factor models
by Croux, Christophe & Renault, Eric & Werker, Bas

GARCH and irregularly spaced data
by Meddahi, Nour & Renault, Eric & Werker, Bas

A Class of Simple Distributionfree Rankbased Unit Root Tests (Revision of DP 201072)
by Hallin, M. & van den Akker, R. & Werker, B. J. M.

Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
by Hallin, M. & Vermandele, C. & Werker, B. J. M.

Stochatic Volatility Models with Transaction Time Risk
by Renault, E. & Werker, B. J. M.

Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
by Peijnenburg, J. M. J. & Nijman, T. E. & Werker, B. J. M.

Adaptive estimation in timeseries models
by Drost, F. C. & Klaassen, C. A. J. & Werker, B. J. M.

Closing the GARCH gap : Continuous time GARCH modeling
by Drost, F. C. & Werker, B. J. M.

Currency Hedging for International Stock Portfolios : A General Approach
by de Roon, F. A. & Nijman, T. E. & Werker, B. J. M.

The Impact of Overnight Periods on Option Pricing
by Boes, M. J. & Drost, F. C. & Werker, B. J. M.

On the Empirical Evidence of Mutual Fund Strategic Risk Taking
by Goriaev, A. P. & Nijman, T. E. & Werker, B. J. M.

Incorporating Estimation Risk in Portfolio Choice
by Ter Horst, J. R. & de Roon, F. A. & Werker, B. J. M.

Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach
by Nijman, T. E. & de Roon, F. A. & Werker, B. J. M.

On the Pricing of Options in Incomplete Markets
by Melenberg, B. & Werker, B. J. M.

Estimation and testing in models containing both jumps and conditional heteroskedasticity
by Drost, F. C. & Nijman, T. E. & Werker, B. J. M.

Note on IntegerValued Bilinear Time Series Models
by Drost, F. C. & van den Akker, R. & Werker, B. J. M.

Semiparametric Lower Bounds for Tail Index Estimation
by Beirlant, J. & Bouquiaux, C. & Werker, B. J. M.

A note on Robinson's test of independence
by Drost, F. C. & Werker, B. J. M.

Testing for meanvariance spanning with short sales constraints and transaction costs : The case of emerging markets
by de Roon, F. A. & Nijman, T. E. & Werker, B. J. M.

Serial and Nonserial SignandRank Statistics : Asymptotic Representation and Asymptotic Normality
by Hallin, M. & Vermandele, C. & Werker, B. J. M.

An Asymptotic Analysis of Nearly Unstable inar (1) Models
by Drost, F. C. & van den Akker, R. & Werker, B. J. M.

Semiparametric Duration Models
by Drost, F. C. & Werker, B. J. M.

Multivariate Option Pricing Using Dynamic Copula Models
by van den Goorbergh, R. W. J. & Genest, C. & Werker, B. J. M.

Labor Income and the Demand for Longterm Bonds
by Koijen, R. S. J. & Nijman, T. E. & Werker, B. J. M.

An Alternative Asymptotic Analysis of ResidualBased Statistics
by Andreou, E. & Werker, B. J. M.

Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known
by Segers, J. J. J. & van den Akker, R. & Werker, B. J. M.

Local Asymptotic Normality and Efficient Estimation for inar (P) Models
by Drost, F. C. & van den Akker, R. & Werker, B. J. M.

A Simple Asymptotic Analysis of ResidualBased Statistics
by Andreou, E. & Werker, B. J. M.

The Dynamics of the Impact of Past Performance on Mutual Fund Flows
by Goriaev, A. P. & Nijman, T. E. & Werker, B. J. M.

Rankbased Tests of the Cointegrating Rank in Semiparametric Error Correction Models
by Hallin, M. & van den Akker, R. & Werker, B. J. M.

Economic Hedging Portfolios
by van den Goorbergh, R. W. J. & de Roon, F. A. & Werker, B. J. M.

GARCH and Irregularly Spaced Data
by Meddahi, N. & Renault, E. & Werker, B. J. M.

Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric IntegerValued AR(p) Models (Revision of DP 200723)
by Drost, F. C. & van den Akker, R. & Werker, B. J. M.

Optimal Portfolio Choice with Annuitization
by Koijen, R. S. J. & Nijman, T. E. & Werker, B. J. M.

Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand
by Peijnenburg, J. M. J. & Nijman, T. E. & Werker, B. J. M.

Exchange rate target zones : A new approach
by de Jong, F. C. J. M. & Drost, F. C. & Werker, B. J. M.

Optimal PseudoGaussian and Rankbased Tests of the Cointegration Rank in Semiparametric Errorcorrection Models
by Hallin, M. & Werker, B. J. M. & van den Akker, R.