| . |
Werker, Bas J. M.'s
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
6,201 |
Total
Citations
72 |
|
|
|
|
|
1.
|
|
|
Koijen, Ralph S. J.
University of Chicago - Booth School of Business Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
01 Mar 07
|
|
Last Revised:
|
|
03 Sep 09
|
|
1,054
(8,512)
|
4
|
|
| |
|
| |
optimal life-cycle portfolio choice, annuity risk
|
|
|
2.
|
|
When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Koijen, Ralph S. J.
University of Chicago - Booth School of Business Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
01 Mar 07
|
|
Last Revised:
|
|
29 Jul 10
|
|
1,029
(8,850)
|
24
|
|
|
|
|
Koijen, Ralph S. J.
University of Chicago - Booth School of Business Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
0
|
|
|
| |
|
| |
G11
|
|
|
|
|
|
|
Koijen, Ralph S. J.
University of Chicago - Booth School of Business Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
01 Mar 07
|
|
Last Revised:
|
|
04 Feb 09
|
|
1,029
|
24
|
|
| |
|
| |
bond risk premia, life-cycle consumption, portfolio choice
|
|
|
|
|
|
3.
|
|
|
Koijen, Ralph S. J.
University of Chicago - Booth School of Business Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
610
(19,499)
|
2
|
|
| |
|
| |
|
|
|
4.
|
|
|
de Roon, Frans
Tilburg University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
552
(22,277)
|
3
|
|
| |
|
| |
currency risk, hedging, forwards, international asset pricing, portfolio choice
|
|
|
5.
|
|
|
ter Horst, Jenke
Tilburg University - Center for Economic Research (CentER) de Roon, Frans
Tilburg University - Department of Finance Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
547
(22,552)
|
3
|
|
| |
|
| |
|
|
|
6.
|
|
|
Ongena, Steven
Tilburg University - CentER, European Banking Center (EBC) Roscovan, Viorel
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
15 Feb 07
|
|
Last Revised:
|
|
19 Mar 09
|
|
459
(28,492)
|
6
|
|
| |
|
| |
Asymmetric Information, Credit Markets, Loans, Bonds, Credit Spreads
|
|
|
7.
|
|
|
van den Goorbergh, Rob W. J.
Tilburg University - Department of Finance Genest, Christian
Laval University - Department of Mathematics & Statistics Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
439
(30,196)
|
2
|
|
| |
|
| |
Time-varying dependence, best-of-two-markets options, non-normality
|
|
|
8.
|
|
|
van den Goorbergh, Rob W. J.
Tilburg University - Department of Finance de Roon, Frans
Tilburg University - Department of Finance Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
216
(69,110)
|
|
|
| |
|
| |
Economic hedging portfolios, risk aversion-weighted hedging, state-dependent utility, risk premiums
|
|
|
9.
|
|
The Price of Macroeconomic Announcement News
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
de Goeij, Peter
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University Hu, Jiehui
Tilburg University - Department of Finance Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
17 Feb 09
|
|
Last Revised:
|
|
08 Jan 12
|
|
190
(78,521)
|
|
|
|
|
|
de Goeij, Peter
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University Hu, Jiehui
Tilburg University - Department of Finance Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
25 Mar 10
|
|
Last Revised:
|
|
08 Jan 12
|
|
49
|
|
|
| |
|
| |
E44, G12, G14
|
|
|
|
|
|
|
de Goeij, Peter
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University Hu, Jiehui
Tilburg University - Department of Finance Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
141
|
|
|
| |
|
| |
Economic risk premia, macroeconomic announcements, factor pricing
|
|
|
|
|
|
10.
|
|
The Annuity Puzzle Remains a Puzzle
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Peijnenburg, Kim
Bocconi University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
19 Feb 09
|
|
Last Revised:
|
|
14 Jan 12
|
|
171
(86,839)
|
5
|
|
|
|
|
Peijnenburg, Kim
Bocconi University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
30 Mar 10
|
|
Last Revised:
|
|
14 Jan 12
|
|
46
|
4
|
|
| |
|
| |
Asset allocation, retirement, life-cycle portfolio choice, annuity, savings
|
|
|
|
|
|
|
Peijnenburg, Kim
Bocconi University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
19 Feb 09
|
|
Last Revised:
|
|
28 Apr 11
|
|
125
|
5
|
|
| |
|
| |
Asset allocation, retirement, life-cycle portfolio choice, annuity, savings
|
|
|
|
|
|
11.
|
|
Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Shi, Zhen
University of Melbourne Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
25 Mar 10
|
|
Last Revised:
|
|
14 Jan 12
|
|
131
(109,847)
|
|
|
|
|
|
Shi, Zhen
University of Melbourne Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
101
|
|
|
| |
|
| |
value at risk, portfolio choice, pension funds
|
|
|
|
|
|
|
Shi, Zhen
University of Melbourne Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
25 Mar 10
|
|
Last Revised:
|
|
14 Jan 12
|
|
30
|
|
|
| |
|
| |
Portfolio choice, value-at-risk, pension funds
|
|
|
|
|
|
12.
|
|
|
Boes, Mark-Jan
VU University Amsterdam Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
114
(122,762)
|
4
|
|
| |
|
| |
Derivative pricing, jump diffusion, stochastic volatility
|
|
|
13.
|
|
Health Cost Risk: A Potential Solution to the Annuity Puzzle
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Peijnenburg, Kim
Bocconi University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
19 Feb 10
|
|
Last Revised:
|
|
03 May 11
|
|
105
(130,496)
|
2
|
|
|
|
|
Peijnenburg, Kim
Bocconi University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
37
|
2
|
|
| |
|
| |
Optimal life cycle portfolio choice, health cost risk, annuity, retirement, health, consumption, expenses, savings
|
|
|
|
|
|
|
Peijnenburg, Kim
Bocconi University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
19 Feb 10
|
|
Last Revised:
|
|
03 May 11
|
|
68
|
2
|
|
| |
|
| |
Optimal life cycle portfolio choice, health cost risk, annuity, retirement
|
|
|
|
|
|
14.
|
|
|
Renault, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
91
(143,933)
|
3
|
|
| |
|
| |
Causality, continuous time models, transaction prices, transaction times, ultra-high frequency data
|
|
|
15.
|
|
|
Andreou, Elena
University of Cyprus - Department of Economics Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
70
(169,179)
|
1
|
|
| |
|
| |
Asymptotic size, discretized estimators, goodness-of-fit tests, local asymptotic normality, rank statistics, structural break tests, temporal dependence tests, two-stage inference
|
|
|
16.
|
|
Local Asymptotic Normality and Efficient Estimation for INAR(p) Models
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
01 Jun 06
|
|
Last Revised:
|
|
02 Sep 08
|
|
66
(174,642)
|
3
|
|
|
|
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
2
|
3
|
|
| |
|
| |
|
|
|
|
|
|
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
64
|
3
|
|
| |
|
| |
count data, integer-valued time series, information loss structure
|
|
|
|
|
|
17.
|
|
Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
22 May 07
|
|
Last Revised:
|
|
22 Mar 13
|
|
54
(193,337)
|
2
|
|
|
|
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
24
|
2
|
|
| |
|
| |
count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency
|
|
|
|
|
|
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
30
|
2
|
|
| |
|
| |
count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency
|
|
|
|
|
|
18.
|
|
|
Segers, Johan
Catholic University of Louvain (UCL) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
50
(200,218)
|
1
|
|
| |
|
| |
independence copula, nonparametric maximum likelihood estimator, score function, semiparametric efficiency, tangent space
|
|
|
19.
|
|
|
Andreou, Elena
University of Cyprus - Department of Economics Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
47
(205,760)
|
1
|
|
| |
|
| |
Statistics, estimation, testing
|
|
|
20.
|
|
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
39
(221,660)
|
2
|
|
| |
|
| |
integer-valued times series, Poisson limit experiment, local-to-unity asymptotics
|
|
|
21.
|
|
|
Drost, Feike C.
Tilburg University - Center for Economic Research (CentER) van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
37
(226,020)
|
2
|
|
| |
|
| |
count data, integer-valued time series, bilinear model
|
|
|
22.
|
|
|
Renault, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics van der Heijden, Thijs
University of Melbourne - Department of Finance Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
35
(230,569)
|
1
|
|
| |
|
| |
duration modeling, hitting time, trading intensity, market microstructure
|
|
|
23.
|
|
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
27
(251,621)
|
|
|
| |
|
| |
Dickey-Fuller test, Local Asymptotic Normality
|
|
|
24.
|
|
A Class of Simple Distribution-Free Rank-Based Unit Root Tests
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
Posted:
|
|
30 Jul 10
|
|
Last Revised:
|
|
23 Jan 11
|
|
26
(254,730)
|
|
|
|
|
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
15
|
|
|
| |
|
| |
Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test
|
|
|
|
|
|
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
11
|
|
|
| |
|
| |
Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test
|
|
|
|
|
|
25.
|
|
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles Vermandele, Catherine
Université Libre de Bruxelles (ULB) Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
24
(261,178)
|
1
|
|
| |
|
| |
Invariance structure, local asymptotic normality, median regression, quantile restrictions
|
|
|
26.
|
|
|
Pazdera, Jaroslav
CentER, Tilburg University Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
19 Apr 13
|
|
Last Revised:
|
|
16 May 13
|
|
11
(306,752)
|
|
|
| |
|
| |
fixed-price equilibrium, internal trading, risk sharing, Pareto efficient allocations
|
|
|
27.
|
|
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles van den Akker, Ramon
Tilburg University - CentER and department of Econometrics & OR Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
| Posted: |
|
20 Nov 12
|
|
Last Revised:
|
|
22 Mar 13
|
|
7
(319,309)
|
|
|
| |
|
| |
Cointegration model, Cointegration rank, Error correction model, Elliptical densities, Lagrange multiplier test, LABF, LAMN, LAN, Multivariate ranks, non-Gaussian Quasi-Likelihood Procedures
|
|
|
28.
|
|
|
Meddahi, Nour
University of Montreal - Department of Economics Renault, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
|
|
|
| |
|
| |
Volatility, continuous time model, exact discretization
|
|
|
29.
|
|
|
Hallin, Marc
ECARES, Universite Libre de Bruxelles Vermandele, Catherine
Université Libre de Bruxelles (ULB) Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
|
|
|
|
|
| |
|
| |
Ranks, signs, Hajek representation, median regression, median restrictions, maximal invariant
|
|
|
30.
|
|
|
Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER) Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
|
|
|
|
|
| |
|
| |
|
|
