Bas J. M. Werker

Tilburg University - Center for Economic Research (CentER)

Econometrics and Finance Group

5000 LE Tilburg

Netherlands

SCHOLARLY PAPERS

52

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145

CROSSREF CITATIONS

62

Scholarly Papers (52)

1.

Optimal Annuity Risk Management

CentER Working Paper Series No. 2006-78, EFA 2007 Ljubljana Meetings Paper
Number of pages: 53 Posted: 01 Mar 2007 Last Revised: 03 Sep 2009
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 1,471 (24,266)
Citation 12

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optimal life-cycle portfolio choice, annuity risk

When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 49 Posted: 01 Mar 2007 Last Revised: 04 Feb 2009
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 1,090 (36,926)
Citation 19

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bond risk premia, life-cycle consumption, portfolio choice

When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?

Review of Financial Studies, Vol. 23, Issue 2, pp. 741-780, 2009
Posted: 01 Feb 2010
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)

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G11

3.

Banks and Bonds: The Impact of Bank Loan Announcements on Bond and Equity Prices

EFA 2007 Ljubljana Meetings Paper
Number of pages: 37 Posted: 15 Feb 2007 Last Revised: 19 Mar 2009
Steven Ongena, Viorel Roscovan and Bas J. M. Werker
University of Zurich - Department Finance, Invesco and Tilburg University - Center for Economic Research (CentER)
Downloads 801 (57,505)
Citation 16

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Asymmetric Information, Credit Markets, Loans, Bonds, Credit Spreads

4.

Appendix Describing the Numerical Method Used in 'When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?'

Number of pages: 14 Posted: 21 Nov 2006
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 677 (71,776)
Citation 10

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5.

Incorporating Estimation Risk in Portfolio Choice

CentER Working Paper No. 65
Number of pages: 35 Posted: 28 Dec 2000
Jenke ter Horst, Frans de Roon and Bas J. M. Werker
TIAS School for Business and Society, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 654 (74,986)
Citation 2

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6.

Currency Hedging for International Stock Portfolios

Number of pages: 39 Posted: 20 Jan 2003
Frans de Roon, Theo Nijman and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 648 (75,888)

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currency risk, hedging, forwards, international asset pricing, portfolio choice

7.

Multivariate Option Pricing Using Dynamic Copula Models

CentER Discussion Paper No. 2003-122
Number of pages: 21 Posted: 21 Jun 2004
Tilburg University - Department of Finance, Laval University - Department of Mathematics & Statistics and Tilburg University - Center for Economic Research (CentER)
Downloads 570 (89,155)
Citation 11

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Time-varying dependence, best-of-two-markets options, non-normality

8.
Downloads 399 (136,737)
Citation 24

The Annuity Puzzle Remains a Puzzle

Number of pages: 32 Posted: 19 Feb 2009 Last Revised: 09 Mar 2016
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 228 (244,355)
Citation 2

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Asset allocation, retirement, life-cycle portfolio choice, annuity, savings

The Annuity Puzzle Remains a Puzzle

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 33 Posted: 30 Mar 2010 Last Revised: 27 Jul 2016
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 171 (318,393)
Citation 25

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Asset allocation, retirement, life-cycle portfolio choice, annuity, savings

9.

The Shadow Costs of Illiquidity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 25 Aug 2020 Last Revised: 25 Jan 2021
Kristy A.E. Jansen and Bas J. M. Werker
Marshall School of Business - University of Southern California and Tilburg University - Center for Economic Research (CentER)
Downloads 361 (152,982)

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illiquid assets, infrequent trades, portfolio choice, shadow costs, transaction costs

10.

Pension Fund's Illiquid Assets Allocation Under Liquidity and Capital Requirements

Journal of Pension Economics & Finance, Volume 20, Issue 1, January 2021, pp. 102 - 124.
Number of pages: 44 Posted: 19 Apr 2017 Last Revised: 11 Jan 2021
Dirk Broeders, Kristy A.E. Jansen and Bas J. M. Werker
De Nederlandsche Bank, Marshall School of Business - University of Southern California and Tilburg University - Center for Economic Research (CentER)
Downloads 339 (163,776)
Citation 6

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asset allocation, asset liability management, capital requirements, illiquid assets, liquidity requirements, pension funds

11.

Arbitrage Pricing Theory for Idiosyncratic Variance Factors

Number of pages: 61 Posted: 09 Nov 2017 Last Revised: 23 Sep 2019
Eric Renault, Thijs van der Heijden and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 306 (182,574)
Citation 4

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Common Volatility Factors, Option Prices, Nonlinear Pricing Kernels, Arbitrage Pricing Theory

12.

Efficient Estimation of Integrated Volatility and Related Processes

Number of pages: 38 Posted: 14 Jul 2013 Last Revised: 21 Jan 2015
Eric Renault, Cisil Sarisoy and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Board of Governors of the Federal Reserve System and Tilburg University - Center for Economic Research (CentER)
Downloads 298 (187,806)
Citation 3

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High-frequency data, Integrated power variance, Local Asymptotic Normality, Nonparametric efficiency bounds, Realized volatility, Volatility estimation

13.

Is Macroeconomic Announcement News Priced?

Number of pages: 31 Posted: 17 Feb 2009 Last Revised: 29 Nov 2013
Peter de Goeij, Jiehui Hu and Bas J. M. Werker
Tilburg University, Independent and Tilburg University - Center for Economic Research (CentER)
Downloads 286 (195,993)
Citation 3

Abstract:

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Economic risk premia, macroeconomic announcements

Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based

Number of pages: 12 Posted: 26 Feb 2014
Ling-Ni Boon, Marie Briere, Carole Gresse and Bas J. M. Werker
Tilburg University, Amundi Asset Management, Université Paris Dauphine-PSL and Tilburg University - Center for Economic Research (CentER)
Downloads 171 (318,393)

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funded pension, risk regulation, regulatory quality

Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based

Netspar Discussion Paper No. 02/2014-005
Number of pages: 13 Posted: 26 Mar 2014
Ling-Ni Boon, Marie Briere, Carole Gresse and Bas J. M. Werker
Tilburg University, Amundi Asset Management, Université Paris Dauphine-PSL and Tilburg University - Center for Economic Research (CentER)
Downloads 111 (450,883)

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Funded pension, risk regulation, regulatory quality

15.

Revisiting the Bond Premium Puzzle: A Robustness Approach

Number of pages: 60 Posted: 11 Apr 2016 Last Revised: 06 Jul 2021
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityU), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 280 (200,297)
Citation 3

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robustness, ambiguity, bond premium puzzle, stochastic subjective discount rate, dynamic asset allocation

16.

Economic Hedging Portfolios

Tilburg University Working Paper
Number of pages: 31 Posted: 22 May 2003
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 276 (203,304)
Citation 5

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Economic hedging portfolios, risk aversion-weighted hedging, state-dependent utility, risk premiums

17.

Dynamic Asset Liability Management Under Model Uncertainty

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 35 Posted: 19 Jan 2018 Last Revised: 23 Jan 2018
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityU), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 271 (207,059)

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asset liability management, liability-driven investment, robustness, uncertainty, ambiguity

18.

Systematic Longevity Risk: To Bear or to Insure?

Number of pages: 48 Posted: 03 Mar 2017 Last Revised: 29 Jul 2018
Ling-Ni Boon, Marie Briere and Bas J. M. Werker
Tilburg University, Amundi Asset Management and Tilburg University - Center for Economic Research (CentER)
Downloads 259 (216,583)
Citation 6

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longevity risk, group self-annuitization (GSA), insurance, variable annuity

19.

Linear Factor Models and the Estimation of Expected Returns

Netspar Discussion Paper No. 03/2016-020
Number of pages: 53 Posted: 20 Apr 2016 Last Revised: 06 Feb 2024
Cisil Sarisoy, Peter de Goeij and Bas J. M. Werker
Board of Governors of the Federal Reserve System, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 257 (218,284)
Citation 1

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Cross Section of Expected Returns, Risk Premium, Small Betas.

Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 43 Posted: 03 Mar 2011
Zhen Shi and Bas J. M. Werker
University of Melbourne and Tilburg University - Center for Economic Research (CentER)
Downloads 169 (321,623)

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value at risk, portfolio choice, pension funds

Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation

Netspar Discussion Paper No. 12/2009-054
Number of pages: 44 Posted: 25 Mar 2010 Last Revised: 14 Jan 2012
Zhen Shi and Bas J. M. Werker
University of Melbourne and Tilburg University - Center for Economic Research (CentER)
Downloads 62 (649,216)

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Portfolio choice, value-at-risk, pension funds

21.

Health Cost Risk: A Potential Solution to the Annuity Puzzle

Forthcoming The Economic Journal
Number of pages: 41 Posted: 19 Feb 2010 Last Revised: 21 Feb 2019
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 213 (261,543)
Citation 7

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Life-cycle portfolio choice, retirement, post-retirement investment

22.

The Impact of Overnight Periods on Option Pricing

Number of pages: 27 Posted: 22 Jul 2004
Mark-Jan Boes, Feike C. Drost and Bas J. M. Werker
VU University Amsterdam, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 201 (275,841)

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Derivative pricing, jump diffusion, stochastic volatility

23.

The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times

Journal of Econometrics, Forthcoming
Number of pages: 43 Posted: 13 Sep 2012 Last Revised: 05 Mar 2014
Eric Renault, Thijs van der Heijden and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 199 (278,340)
Citation 5

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duration modeling, hitting time, trading intensity, market microstructure

24.

Present Bias, Asset Allocation, and Bond Behavior

Number of pages: 45 Posted: 23 Nov 2020 Last Revised: 13 May 2022
Jorgo T.G. Goossens and Bas J. M. Werker
Tilburg University - Department of Econometrics & Operations Research and Tilburg University - Center for Economic Research (CentER)
Downloads 173 (315,403)

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hyperbolic discounting, portfolio choice, term structure of interest rates, duration present, behavioral finance

Residual-Based Rank Specification Tests for AR-GARCH Type Models

Number of pages: 52 Posted: 20 Jul 2013
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 167 (325,002)

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Conditional heteroskedasticity, Linear and quadratic residual auto- correlation tests, Model misspecification test, Nonlinear time series, Parameter constancy, Residual symmetry tests

Residual-Based Rank Specification Tests for AR-GARCH Type Models

CEPR Discussion Paper No. DP9583
Number of pages: 54 Posted: 08 Aug 2013
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
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conditional heteroskedasticity, linear and quadratic residual autocorrelation tests, model misspecification test, nonlinear time series, parameter constancy, residual symmetry tests

26.

The Option Value in Timing Derivative Trades

Number of pages: 52 Posted: 08 Mar 2015 Last Revised: 02 May 2015
Feike C. Drost, Thijs van der Heijden and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 158 (340,873)

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derivatives trading, execution timing, optimal stopping, dynamic programming, straddles, dynamic order strategies

27.

Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots

Number of pages: 39 Posted: 12 Mar 2016 Last Revised: 08 Sep 2019
Bo Zhou, Ramon Van den Akker and Bas J. M. Werker
Virginia Tech Econ Department, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 137 (382,207)
Citation 4

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unit root test, semiparametric power envelope, limit experiment, LABF, maximal invariant, rank statistic

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

CentER Discussion Paper Series No. 2007-23
Number of pages: 38 Posted: 22 May 2007
Feike C. Drost, Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 67 (622,666)
Citation 3

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count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models

CentER Discussion Paper Series No. 2008-53 (revision of Paper No. 2007-23)
Number of pages: 39 Posted: 09 Jun 2008
Feike C. Drost, Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 64 (638,456)
Citation 1

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count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency

29.

Stochastic Volatility Models with Transaction Time Risk

CentER Discussion Paper No. 2004-24
Number of pages: 28 Posted: 24 Jun 2004
Eric Renault and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 131 (395,953)
Citation 8

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Causality, continuous time models, transaction prices, transaction times, ultra-high frequency data

30.

A Simple Asymptotic Analysis of Residual-Based Statistics

CentER Discussion Paper No. 2003-118
Number of pages: 29 Posted: 16 Jul 2004
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 120 (423,105)

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Asymptotic size, discretized estimators, goodness-of-fit tests, local asymptotic normality, rank statistics, structural break tests, temporal dependence tests, two-stage inference

31.

Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

Number of pages: 53 Posted: 19 Dec 2019 Last Revised: 10 Nov 2021
Gleb Gertsman, Rik Frehen and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 113 (442,582)

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hedging uncertainty, ambiguity aversion, inflation risk

32.

Local Asymptotic Normality and Efficient Estimation for Inar(P) Models

CentER Discussion Paper No. 2006-45
Number of pages: 29 Posted: 01 Jun 2006
Feike C. Drost, Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 110 (451,552)

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count data, integer-valued time series, information loss structure

33.

An Alternative Asymptotic Analysis of Residual-Based Statistics

CentER Discussion Paper No. 2004-56
Number of pages: 39 Posted: 03 Sep 2004
Elena Andreou and Bas J. M. Werker
University of Cyprus - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 103 (473,484)
Citation 4

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Statistics, estimation, testing

34.

Improving Upon the Marginal Empirical Distribution Function When the Copula is Known

CentER Discussion Paper Series No. 2008-40
Number of pages: 25 Posted: 21 Apr 2008
Johan Segers, Ramon Van den Akker and Bas J. M. Werker
Catholic University of Louvain (UCL), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 99 (486,357)
Citation 1

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independence copula, nonparametric maximum likelihood estimator, score function, semiparametric efficiency, tangent space

A Class of Simple Distribution-Free Rank-Based Unit Root Tests

CentER Discussion Paper Series No. 2010-72 (revision of 2009-02)
Number of pages: 26 Posted: 30 Jul 2010
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 50 (727,656)
Citation 1

Abstract:

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Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test

A Class of Simple Distribution-Free Rank-Based Unit Root Tests

CentER Discussion Paper Series No. 2011-002 (Revision of 2009-02, 2010-72)
Number of pages: 36 Posted: 23 Jan 2011
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 42 (776,953)
Citation 1

Abstract:

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Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test

36.

Note on Integer-Valued Bilinear Time Series Models

CentER Discussion Paper Series No. 2007-47
Number of pages: 7 Posted: 01 Aug 2007
Feike C. Drost, Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 90 (517,154)
Citation 1

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count data, integer-valued time series, bilinear model

37.

Semiparametric Gaussian Copula Models: Geometry and Efficient Rank-Based Estimation

Number of pages: 47 Posted: 12 Aug 2013
Johan Segers, Ramon Van den Akker and Bas J. M. Werker
Catholic University of Louvain (UCL), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 85 (535,685)

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adaptivity, correlation matrix, influence function, quadratic form, ranks, score function, tangent space

38.

Asymptotic Inference for Jump Diffusions with State-Dependent Intensity

Number of pages: 37 Posted: 11 Jul 2013 Last Revised: 13 Feb 2015
I. Gaia Becheri, Feike C. Drost and Bas J. M. Werker
Delft University of Technology, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 84 (539,593)

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39.

Cooperative Investment in Incomplete Markets Under Financial Fairness

Netspar Discussion Paper No. 05/2014-016
Number of pages: 32 Posted: 01 Jul 2014 Last Revised: 27 Sep 2016
Tilburg University - Center for Economic Research (CentER), University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 81 (551,552)
Citation 2

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40.

An Asymptotic Analysis of Nearly Unstable INAR (1) Models

CentER Discussion Paper No. 2006-44
Number of pages: 34 Posted: 01 Jun 2006
Feike C. Drost, Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 79 (559,703)
Citation 4

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integer-valued times series, Poisson limit experiment, local-to-unity asymptotics

41.

On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result

Number of pages: 18 Posted: 07 Sep 2013 Last Revised: 14 Feb 2014
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 77 (567,883)
Citation 6

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limit experiment, differentiability in quadratic mean, asymptotic linearity

42.

Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegration Rank in Semiparametric Error-Correction Models

CentER Discussion Paper Series No. 2015-001
Number of pages: 72 Posted: 09 Jan 2015 Last Revised: 14 Jan 2015
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 69 (603,647)
Citation 1

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Cointegration model, cointegration rank, elliptical densities

43.

Semiparametric Testing With Highly Persistent Predictors

Number of pages: 58 Posted: 02 Aug 2018 Last Revised: 13 Jan 2021
Bas J. M. Werker and Bo Zhou
Tilburg University - Center for Economic Research (CentER) and Virginia Tech Econ Department
Downloads 66 (617,725)

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predictive regression, limit experiment, LABF, maximal invariant, rank statistics

44.

The Composite Iteration Algorithm for Finding Efficient and Financially Fair Risk-Sharing Rules

Journal of Mathematical Economics 72 (2017), 122-133
Number of pages: 33 Posted: 10 Feb 2014 Last Revised: 18 May 2018
Tilburg University - Center for Economic Research (CentER), University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 63 (632,749)
Citation 1

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risk sharing, fair division, Perron-Frobenius theory, eigenvector computation, collectives

45.

A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests

CentER Discussion Paper Series No. 2009-02
Number of pages: 23 Posted: 13 Jan 2009
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 60 (648,299)

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Dickey-Fuller test, Local Asymptotic Normality

46.

Semi-Parametrically Efficient Inference-Based on Signs and Ranks for Median-Restricted Models

CentER Discussion Paper No. 2004-11
Number of pages: 40 Posted: 21 Jun 2004
Marc Hallin, Catherine Vermandele and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) and Tilburg University - Center for Economic Research (CentER)
Downloads 50 (705,257)
Citation 2

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Invariance structure, local asymptotic normality, median regression, quantile restrictions

47.

Supplemental Appendix to 'Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots'

Number of pages: 21 Posted: 12 Jul 2018 Last Revised: 27 Nov 2018
Bo Zhou, Ramon Van den Akker and Bas J. M. Werker
Virginia Tech Econ Department, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 47 (724,251)

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48.

Hybrid Rank-Based Panel Unit Root Tests

Number of pages: 28 Posted: 22 Nov 2023
Ramon Van den Akker, Bas J. M. Werker and Bo Zhou
Tilburg University - CentER and department of Econometrics & OR, Tilburg University - Center for Economic Research (CentER) and Virginia Tech Econ Department
Downloads 22 (921,809)

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49.

Linear Factor Models and the Estimation of Expected Returns

FEDS Working Paper No. 2024-14
Number of pages: 54 Posted: 17 Apr 2024
Cisil Sarisoy, Peter de Goeij and Bas J. M. Werker
Board of Governors of the Federal Reserve System, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 6

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Cross section of expected returns, Risk premium, Small β’s

50.

GARCH and Irregularly Spaced Data

CentER Working Paper No. 2003-27
Posted: 26 May 2004
Nour Meddahi, Eric Renault and Bas J. M. Werker
University of Montreal - Department of Economics, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Tilburg University - Center for Economic Research (CentER)

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Volatility, continuous time model, exact discretization

51.

Serial and Nonserial Sign-and-Rank Statistics: Asymptotic Representation and Asymptotic Normality

CentER Working Paper No. 2003-23
Posted: 26 May 2004
Marc Hallin, Catherine Vermandele and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) and Tilburg University - Center for Economic Research (CentER)

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Ranks, signs, Hajek representation, median regression, median restrictions, maximal invariant

52.

On the Pricing of Options in Incomplete Markets

Posted: 20 Mar 1997
Bas J. M. Werker and Bertrand Melenberg
Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)

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