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Information about:
Bas J.M. Werker

Personal Details | Affiliation | Works
This is information that was supplied by Bas Werker in registering through RePEc. If you are Bas J.M. Werker , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Bas
Middle Name: J.M.
Last Name: Werker
Suffix:

RePEc Short-ID: pwe126

Email:
Homepage: http://center.nl/staff/werker
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Drost, Feike C. & Akker, Ramon van den & Werker, Bas J.M., 2006. "Local asymptotic normality and efficient estimation for inar (P) models," Discussion Paper 45, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  2. Drost, Feike C. & Akker, Ramon van den & Werker, Bas J.M., 2006. "An asymptotic analysis of nearly unstable inar (1) models," Discussion Paper 44, Tilburg University, Center for Economic Research. [Downloadable!]

  3. Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J.M., 2005. "The impact of overnight periods on option pricing," Discussion Paper 1, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  4. Koijen, Ralph S.J. & Nijman, Theo E. & Werker, Bas J.M., 2005. "Labor income and the demand for long-term bonds," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]

  5. Andeaou, E. & Werker, B.J.M., 2004. "An alternative asymptotic analysis of residual-based statistics," Discussion Paper 56, Tilburg University, Center for Economic Research. [Downloadable!]

  6. Renault, E. & Werker, B.J.M., 2004. "Stochastic volatility models with transaction time risk," Discussion Paper 24, Tilburg University, Center for Economic Research. [Downloadable!]

  7. Werker, B.J.M. & Vermandele, C. & Hallin, M., 2004. "Semiparametrically efficient inference based on signs and ranks for median restricted models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  8. Werker, B.J.M. & Goorbergh, R.W.J. van den & Roon, de F.A., 2003. "Economic hedging portfolios," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]

  9. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]

  10. Werker, B.J.M. & Andreou, E., 2003. "A simple asymptotic analysis of residual-based statistics," Discussion Paper 118, Tilburg University, Center for Economic Research. [Downloadable!]

  11. Werker, B. & Vermandele, C. & Hallin, M., 2003. "Serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality," Discussion Paper 23, Tilburg University, Center for Economic Research. [Downloadable!]

  12. Werker, B. & Meddahi, N. & Renault, E., 2003. "Garch and irregularly spaced data," Discussion Paper 27, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  13. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002. "The dynamics of the impact of past performance on mutual fund flows," Discussion Paper 2, Tilburg University, Center for Economic Research. [Downloadable!]

  14. Beirlant, J. & Bouquiaux, C. & Werker, B.J.M., 2001. "Semiparametric lower bounds for tail index estimation," Discussion Paper 65, Tilburg University, Center for Economic Research. [Downloadable!]

  15. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric duration models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  16. Goriaev, A.P. & Nijman, T.E. & Werker, B., 2001. "On the empirical evidence of mutual fund strategic risk taking," Discussion Paper 9, Tilburg University, Center for Economic Research. [Downloadable!]

  17. Feike C. Drost & Bas J. M. Werker, 2000. "Efficient Estimation in Semiparametric Time Series: the ACD Model," Econometric Society World Congress 2000 Contributed Papers 0836, Econometric Society. [Downloadable!]

  18. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 2000. "Currency Hedging for International Stock Portfolios," Research Paper ERS-2000-21-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]

  19. Horst, J.R. ter & Roon, F.A. de & Werker, B.J.M., 2000. "Incorporating estimation risk in portfolio choice," Discussion Paper 65, Tilburg University, Center for Economic Research. [Downloadable!]

  20. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1999. "Currency hedging for international stock portfolios : a general approach," Discussion Paper 123, Tilburg University, Center for Economic Research. [Downloadable!]

  21. Melenberg, B. & Werker, B., 1996. "On the pricing of options in incomplete markets," Discussion Paper 19, Tilburg University, Center for Economic Research. [Downloadable!]

  22. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1996. "Testing for spanning with futures contracts and nontraded assets : a general approach," Discussion Paper 83, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:

  23. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and Testing in Models Containing Both Jumps and Conditional Heteroskedasticity," Discussion Paper 105, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  24. Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.

  25. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.

Articles

  1. Meddahi, Nour & Renault, Eric & Werker, Bas, 2006. "GARCH and irregularly spaced data," Economics Letters, Elsevier, vol. 90(2), pages 200-204, February. [Downloadable!] (restricted)
    Other versions:

  2. Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M., 2005. "Yet another look at mutual fund tournaments," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 127-137, January. [Downloadable!] (restricted)

  3. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August. [Downloadable!] (restricted)

  4. Drost, Feike C & Werker, Bas J M, 2004. "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
    Other versions:

  5. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April. [Downloadable!] (restricted)

  6. de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M., 2003. "Currency hedging for international stock portfolios: The usefulness of mean-variance analysis," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 327-349, February. [Downloadable!] (restricted)

  7. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-43, April.
    Other versions:

  8. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September. [Downloadable!] (restricted)

NEP Fields

17 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-01-05
  2. NEP-CMP: Computational Economics (1) 2005-09-29
  3. NEP-ECM: Econometrics (8) 2001-04-11 2001-10-16 2003-04-13 2004-01-05 2004-02-08 2004-04-04 2006-05-27 2006-05-27 Author is listed
  4. NEP-ETS: Econometric Time Series (6) 2003-04-13 2004-01-05 2004-04-04 2004-07-11 2006-05-27 2006-05-27 Author is listed
  5. NEP-FIN: Finance (6) 2000-02-28 2001-02-27 2004-01-05 2004-04-04 2005-03-06 2005-09-29 Author is listed
  6. NEP-FMK: Financial Markets (3) 2001-02-27 2004-04-04 2005-03-06
  7. NEP-GEO: Economic Geography (1) 2003-04-13
  8. NEP-IFN: International Finance (2) 2000-02-28 2001-02-27
  9. NEP-MAC: Macroeconomics (1) 2005-09-29
  10. NEP-RMG: Risk Management (5) 2003-04-02 2003-04-13 2003-12-07 2004-01-05 2005-03-06 Author is listed
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This page was last updated on 2009-10-23.

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