# Bas J.M. Werker

### Contents:

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## Personal Details

First Name: | Bas |

Middle Name: | J.M. |

Last Name: | Werker |

Suffix: | |

RePEc Short-ID: | pwe126 |

http://center.nl/staff/werker | |

(in no particular order)

Tilburg, Netherlands

http://center.uvt.nl/

31 13 4663050

31 13 4663066

P.O. Box 90153, 5000 LE Tilburg

RePEc:edi:cekubnl (more details at EDIRC)

http://center.uvt.nl/

31 13 4663050

31 13 4663066

P.O. Box 90153, 5000 LE Tilburg

RePEc:edi:cekubnl (more details at EDIRC)

Tilburg, Netherlands

http://www.tilburguniversity.nl/faculties/feb/organisation/dept/fin/

+31 13 466 3041

+31 13 466 2875

PO Box 90153, 5000 LE Tilburg

RePEc:edi:fdkubnl (more details at EDIRC)

http://www.tilburguniversity.nl/faculties/feb/organisation/dept/fin/

+31 13 466 3041

+31 13 466 2875

PO Box 90153, 5000 LE Tilburg

RePEc:edi:fdkubnl (more details at EDIRC)

Tilburg, Netherlands

http://www.tilburguniversity.edu/nl/over-tilburg-university/schools/economics-and-management/

013 - 466 2420

013 - 466 3072

Postbus 90153, 5000 LE TILBURG

RePEc:edi:fekubnl (more details at EDIRC)

http://www.tilburguniversity.edu/nl/over-tilburg-university/schools/economics-and-management/

013 - 466 2420

013 - 466 3072

Postbus 90153, 5000 LE TILBURG

RePEc:edi:fekubnl (more details at EDIRC)

- Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015.
"
**Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models**," Discussion Paper 2015-001, Tilburg University, Center for Economic Research. - Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012.
"
**Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models**," Discussion Paper 2012-089, Tilburg University, Center for Economic Research.- Marc Hallin & Ramon van den Akker & Bas Werker, 2012.
"
**Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models**," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.

- Marc Hallin & Ramon van den Akker & Bas Werker, 2012.
"
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011.
"
**A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)**," Discussion Paper 2011-002, Tilburg University, Center for Economic Research. - Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010.
"
**Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement**," Discussion Paper 2010-11, Tilburg University, Center for Economic Research. - Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010.
"
**Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand**," Discussion Paper 2010-14, Tilburg University, Center for Economic Research. - Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008.
"
**Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)**," Discussion Paper 2008-53, Tilburg University, Center for Economic Research. - Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008.
"
**Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known**," Discussion Paper 2008-40, Tilburg University, Center for Economic Research. - Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007.
"
**Note on Integer-Valued Bilinear Time Series Models**," Discussion Paper 2007-47, Tilburg University, Center for Economic Research.- Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008.
"
**Note on integer-valued bilinear time series models**," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June.

- Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008.
"
- Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006.
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**Optimal Portfolio Choice with Annuitization**," Discussion Paper 2006-78, Tilburg University, Center for Economic Research. - Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006.
"
**Local Asymptotic Normality and Efficient Estimation for inar (P) Models**," Discussion Paper 2006-45, Tilburg University, Center for Economic Research.- Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2008.
"
**Local asymptotic normality and efficient estimation for INAR(p) models**," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, 09.

- Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2008.
"
- Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006.
"
**An Asymptotic Analysis of Nearly Unstable inar (1) Models**," Discussion Paper 2006-44, Tilburg University, Center for Economic Research. - Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005.
"
**Labor Income and the Demand for Long-term Bonds**," Discussion Paper 2005-95, Tilburg University, Center for Economic Research. - Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005.
"
**The Impact of Overnight Periods on Option Pricing**," Discussion Paper 2005-1, Tilburg University, Center for Economic Research.- Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007.
"
**The Impact of Overnight Periods on Option Pricing**," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(02), pages 517-533, June.

- Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007.
"
- Andreou, E. & Werker, B.J.M., 2004.
"
**An Alternative Asymptotic Analysis of Residual-Based Statistics**," Discussion Paper 2004-56, Tilburg University, Center for Economic Research. - Renault, E. & Werker, B.J.M., 2004.
"
**Stochatic Volatility Models with Transaction Time Risk**," Discussion Paper 2004-24, Tilburg University, Center for Economic Research. - Hallin, M. & Vermandele, C. & Werker, B.J.M., 2004.
"
**Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models**," Discussion Paper 2004-11, Tilburg University, Center for Economic Research.- Marc Hallin & Catherine Vermandele & Bas J. M. Werker, 2008.
"
**Semiparametrically efficient inference based on signs and ranks for median-restricted models**," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(2), pages 389-412.

- Marc Hallin & Catherine Vermandele & Bas J. M. Werker, 2008.
"
- Meddahi, N. & Renault, E. & Werker, B.J.M., 2003.
"
**GARCH and Irregularly Spaced Data**," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.- Meddahi, Nour & Renault, Eric & Werker, Bas, 2006.
"
**GARCH and irregularly spaced data**," Economics Letters, Elsevier, vol. 90(2), pages 200-204, February.

- Meddahi, Nour & Renault, Eric & Werker, Bas, 2006.
"
- van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003.
"
**Economic Hedging Portfolios**," Discussion Paper 2003-102, Tilburg University, Center for Economic Research. - Andreou, E. & Werker, B.J.M., 2003.
"
**A Simple Asymptotic Analysis of Residual-Based Statistics**," Discussion Paper 2003-118, Tilburg University, Center for Economic Research. - van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M., 2003.
"
**Multivariate Option Pricing Using Dynamic Copula Models**," Discussion Paper 2003-122, Tilburg University, Center for Economic Research. - Hallin, M. & Vermandele, C. & Werker, B.J.M., 2003.
"
**Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality**," Discussion Paper 2003-23, Tilburg University, Center for Economic Research.- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2006.
"
**Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality**," Other publications TiSEM 343e49a2-4527-4c03-b247-9, Tilburg University, School of Economics and Management.

- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2006.
"
- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002.
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**The Dynamics of the Impact of Past Performance on Mutual Fund Flows**," Discussion Paper 2002-2, Tilburg University, Center for Economic Research. - Beirlant, J. & Bouquiaux, C. & Werker, B.J.M., 2001.
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**Semiparametric Lower Bounds for Tail Index Estimation**," Discussion Paper 2001-65, Tilburg University, Center for Economic Research. - Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2001.
"
**On the Empirical Evidence of Mutual Fund Strategic Risk Taking**," Discussion Paper 2001-9, Tilburg University, Center for Economic Research. - Drost, F.C. & Werker, B.J.M., 2001.
"
**Semiparametric Duration Models**," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.- 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.

- Drost, Feike C & Werker, Bas J M, 2004.
"
- Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000.
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**Incorporating Estimation Risk in Portfolio Choice**," Discussion Paper 2000-65, Tilburg University, Center for Economic Research. - Feike C. Drost & Bas J. M. Werker, 2000.
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**Efficient Estimation in Semiparametric Time Series: the ACD Model**," Econometric Society World Congress 2000 Contributed Papers 0836, Econometric Society. - de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1999.
"
**Currency Hedging for International Stock Portfolios : A General Approach**," Discussion Paper 1999-123, Tilburg University, Center for Economic Research. - de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1998.
"
**Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets**," Discussion Paper 1998-07, Tilburg University, Center for Economic Research. - de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M., 1997.
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**Exchange rate target zones : A new approach**," Discussion Paper 97.04, Tilburg University, Center for Economic Research. - Melenberg, B. & Werker, B.J.M., 1996.
"
**On the Pricing of Options in Incomplete Markets**," Discussion Paper 1996-19, Tilburg University, Center for Economic Research. - Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 1996.
"
**Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach**," Discussion Paper 1996-83, Tilburg University, Center for Economic Research.- F. A. d. ROON & T. E. NIJMAN & B. J. WERKER, 1996.
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**Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach**," SFB 373 Discussion Papers 1996,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

- F. A. d. ROON & T. E. NIJMAN & B. J. WERKER, 1996.
"
- Drost, F.C. & Werker, B.J.M., 1994.
"
**Closing the GARCH gap : Continuous time GARCH modeling**," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.- 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.

- Drost, Feike C. & Werker, Bas J. M., 1996.
"
- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994.
"
**Estimation and testing in models containing both jumps and conditional heteroskedasticity**," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.- 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.

- Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998.
"
- Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994.
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**Adaptive Estimation in Time Series Models**," Papers 9488, Tilburg - Center for Economic Research.- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994.
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**Adaptive estimation in time-series models**," Discussion Paper 1994-88, Tilburg University, Center for Economic Research.

- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994.
"
- Drost, F.C. & Werker, B.J.M., 1993.
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**A Note on Robinson's Test of Independence**," Papers 9315, Tilburg - Center for Economic Research.- Drost, F.C. & Werker, B.J.M., 1993.
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**A note on Robinson's test of independence**," Discussion Paper 1993-15, Tilburg University, Center for Economic Research.

- Drost, F.C. & Werker, B.J.M., 1993.
"

- Meddahi, Nour & Renault, Eric & Werker, Bas, 2006.
"
**GARCH and irregularly spaced data**," Economics Letters, Elsevier, vol. 90(2), pages 200-204, February.- Meddahi, N. & Renault, E. & Werker, B.J.M., 2003.
"
**GARCH and Irregularly Spaced Data**," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.

- Meddahi, N. & Renault, E. & Werker, B.J.M., 2003.
"
- 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. - 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.- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2005.
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**Yet another look at mutual fund tournaments**," Other publications TiSEM 18f339f2-5cf9-4e35-9440-9, Tilburg University, School of Economics and Management.

- Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2005.
"
- Croux, Christophe & Renault, Eric & Werker, Bas, 2004.
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**Dynamic factor models**," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April. - 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.- Drost, F.C. & Werker, B.J.M., 2001.
"
**Semiparametric Duration Models**," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.

- Drost, F.C. & Werker, B.J.M., 2001.
"
- 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. - 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.- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994.
"
**Estimation and testing in models containing both jumps and conditional heteroskedasticity**," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.

- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994.
"
- 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.- Drost, F.C. & Werker, B.J.M., 1994.
"
**Closing the GARCH gap : Continuous time GARCH modeling**," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.

- Drost, F.C. & Werker, B.J.M., 1994.
"

#### Most cited item

- Drost, F.C. & Werker, B.J.M., 1994.
"
**Closing the GARCH gap : Continuous time GARCH modeling**," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.

#### Most downloaded item (past 12 months)

- 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.

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