EconPapers    
Economics at your fingertips  
 

Details about Bas J.M. Werker

E-mail:
Homepage:http://center.nl/staff/werker
Workplace:https://www.tilburguniversity.edu/research/economics-and-management/graduate-school, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)
Finance Department, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)
School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

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

Update your information in the RePEc Author Service.

Short-id: pwe126


Jump to Journal Articles

Working Papers

2015

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

2012

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

2011

  1. A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)

2010

  1. Health Cost Risk and Optimal Retirement Provision: A Simple Rule for Annuity Demand
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (6)
  2. Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

2008

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

2007

  1. Note on Integer-Valued Bilinear Time Series Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)

2006

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

2005

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

2004

  1. An Alternative Asymptotic Analysis of Residual-Based Statistics
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)
  2. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
  3. Stochatic Volatility Models with Transaction Time Risk
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (7)

2003

  1. A Simple Asymptotic Analysis of Residual-Based Statistics
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  2. Economic Hedging Portfolios
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  3. GARCH and Irregularly Spaced Data
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Economics Letters (2006)
  4. Multivariate Option Pricing Using Dynamic Copula Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (7)
  5. Serial and Nonserial Sign-and-Rank Statistics: Asymptotic Representation and Asymptotic Normality
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)

2002

  1. The Dynamics of the Impact of Past Performance on Mutual Fund Flows
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)

2001

  1. On the Empirical Evidence of Mutual Fund Strategic Risk Taking
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  2. Semiparametric Duration Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2004)
  3. Semiparametric Lower Bounds for Tail Index Estimation
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)

2000

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

1999

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

1998

  1. 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 Downloads View citations (26)

1997

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

1996

  1. On the Pricing of Options in Incomplete Markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  2. Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)

1994

  1. Adaptive Estimation in Time Series Models
    Working Papers, Tilburg - Center for Economic Research View citations (26)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) Downloads View citations (1)
  2. Closing the GARCH gap: Continuous time GARCH modeling
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (1996)
  3. Estimation and testing in models containing both jumps and conditional heteroskedasticity
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1993

  1. 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) Downloads View citations (1)

Journal Articles

2006

  1. GARCH and irregularly spaced data
    Economics Letters, 2006, 90, (2), 200-204 Downloads View citations (10)
    See also Working Paper (2003)

2005

  1. Bivariate option pricing using dynamic copula models
    Insurance: Mathematics and Economics, 2005, 37, (1), 101-114 Downloads View citations (43)
  2. Yet another look at mutual fund tournaments
    Journal of Empirical Finance, 2005, 12, (1), 127-137 Downloads View citations (24)

2004

  1. Dynamic factor models
    Journal of Econometrics, 2004, 119, (2), 223-230 Downloads View citations (2)
  2. Semiparametric Duration Models
    Journal of Business & Economic Statistics, 2004, 22, (1), 40-50 View citations (34)
    See also Working Paper (2001)

2003

  1. Currency hedging for international stock portfolios: The usefulness of mean-variance analysis
    Journal of Banking & Finance, 2003, 27, (2), 327-349 Downloads View citations (22)

1998

  1. Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations (25)
    See also Working Paper (1994)

1996

  1. Closing the GARCH gap: Continuous time GARCH modeling
    Journal of Econometrics, 1996, 74, (1), 31-57 Downloads View citations (87)
    See also Working Paper (1994)
 
Page updated 2019-12-16