Details about Bas J.M. Werker

Access statistics for papers by Bas J.M. Werker.

Last updated 2023-03-11. Update your information in the RePEc Author Service.

Short-id: pwe126

Working Papers

2024

1. Linear Factor Models and the Estimation of Expected Returns
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2015

2. Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models
   Discussion Paper, Tilburg University, Center for Economic Research

2012

3. Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
   Discussion Paper, Tilburg University, Center for Economic Research

2011

4. A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
   Discussion Paper, Tilburg University, Center for Economic Research View citations (3)

2010

5. Health Cost Risk and Optimal Retirement Provision: A Simple Rule for Annuity Demand
   Discussion Paper, Tilburg University, Center for Economic Research View citations (10)
6. Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
   Discussion Paper, Tilburg University, Center for Economic Research View citations (7)

2008

7. 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 View citations (4)
8. Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known
   Discussion Paper, Tilburg University, Center for Economic Research

2007

9. Note on Integer-Valued Bilinear Time Series Models
   Discussion Paper, Tilburg University, Center for Economic Research View citations (4)

2006

10. An Asymptotic Analysis of Nearly Unstable inar (1) Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
11. Local Asymptotic Normality and Efficient Estimation for inar (P) Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
12. Optimal Portfolio Choice with Annuitization
    Discussion Paper, Tilburg University, Center for Economic Research View citations (12)

2005

13. Labor Income and the Demand for Long-term Bonds
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
14. The Impact of Overnight Periods on Option Pricing
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

2004

15. An Alternative Asymptotic Analysis of Residual-Based Statistics
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
16. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
17. Stochatic Volatility Models with Transaction Time Risk
    Discussion Paper, Tilburg University, Center for Economic Research View citations (9)

2003

18. A Simple Asymptotic Analysis of Residual-Based Statistics
    Discussion Paper, Tilburg University, Center for Economic Research
19. Economic Hedging Portfolios
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
20. GARCH and Irregularly Spaced Data
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
    See also Journal Article GARCH and irregularly spaced data, Economics Letters, Elsevier (2006) View citations (15) (2006)
21. Multivariate Option Pricing Using Dynamic Copula Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (9)
22. Serial and Nonserial Sign-and-Rank Statistics: Asymptotic Representation and Asymptotic Normality
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)

2002

23. The Dynamics of the Impact of Past Performance on Mutual Fund Flows
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)

2001

24. On the Empirical Evidence of Mutual Fund Strategic Risk Taking
    Discussion Paper, Tilburg University, Center for Economic Research
25. Semiparametric Duration Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (7)
    See also Journal Article Semiparametric Duration Models, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (45) (2004)
26. Semiparametric Lower Bounds for Tail Index Estimation
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

2000

27. Efficient Estimation in Semiparametric Time Series: the ACD Model
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (4)
28. Incorporating Estimation Risk in Portfolio Choice
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

1999

29. Currency Hedging for International Stock Portfolios: A General Approach
    Discussion Paper, Tilburg University, Center for Economic Research

1998

30. 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 View citations (27)

1997

31. Exchange rate target zones: A new approach
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

1996

32. On the Pricing of Options in Incomplete Markets
    Discussion Paper, Tilburg University, Center for Economic Research
33. Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach
    Discussion Paper, Tilburg University, Center for Economic Research View citations (6)

1994

34. Adaptive Estimation in Time Series Models
    Working Papers, Tilburg - Center for Economic Research View citations (31)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) View citations (2)
35. Closing the GARCH gap: Continuous time GARCH modeling
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
    See also Journal Article Closing the GARCH gap: Continuous time GARCH modeling, Journal of Econometrics, Elsevier (1996) View citations (118) (1996)
36. Estimation and testing in models containing both jumps and conditional heteroskedasticity
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
    See also Journal Article Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (30) (1998)

1993

37. A Note on Robinson's Test of Independence
    Working Papers, Tilburg - Center for Economic Research View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (1)

Journal Articles

2006

1. GARCH and irregularly spaced data
   Economics Letters, 2006, 90, (2), 200-204 View citations (15)
   See also Working Paper GARCH and Irregularly Spaced Data, Discussion Paper (2003) View citations (4) (2003)

2005

2. Bivariate option pricing using dynamic copula models
   Insurance: Mathematics and Economics, 2005, 37, (1), 101-114 View citations (55)
3. Yet another look at mutual fund tournaments
   Journal of Empirical Finance, 2005, 12, (1), 127-137 View citations (30)

2004

4. Dynamic factor models
   Journal of Econometrics, 2004, 119, (2), 223-230 View citations (2)
5. Semiparametric Duration Models
   Journal of Business & Economic Statistics, 2004, 22, (1), 40-50 View citations (45)
   See also Working Paper Semiparametric Duration Models, Discussion Paper (2001) View citations (7) (2001)

2003

6. Currency hedging for international stock portfolios: The usefulness of mean-variance analysis
   Journal of Banking & Finance, 2003, 27, (2), 327-349 View citations (33)

1998

7. Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
   Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations (30)
   See also Working Paper Estimation and testing in models containing both jumps and conditional heteroskedasticity, Discussion Paper (1994) View citations (4) (1994)

1996

8. Closing the GARCH gap: Continuous time GARCH modeling
   Journal of Econometrics, 1996, 74, (1), 31-57 View citations (118)
   See also Working Paper Closing the GARCH gap: Continuous time GARCH modeling, Discussion Paper (1994) View citations (3) (1994)