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Bas J. M. Werker

Tilburg University - Center for Economic Research (CentER)

Econometrics and Finance Group

5000 LE Tilburg

Netherlands

  • Tilburg University - Center for Economic Research (CentER)

SCHOLARLY PAPERS

43

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79

Scholarly Papers (43)

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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
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 1,152 (12,461)
Citation 4

Abstract:

optimal life-cycle portfolio choice, annuity risk

2.

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

Downloads 1,053 ( 15,734)
Citation 27

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
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 1,053 (15,447)
Citation 27

Abstract:

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
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)

Abstract:

G11

3.

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
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 629 (32,578)
Citation 2

Abstract:

4.

Currency Hedging for International Stock Portfolios

ERIM Report Series Reference No. ERS-2000-21-F&A
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 - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 578 (35,628)
Citation 4

Abstract:

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

5.

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 of Banking and Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Tilburg University - Center for Economic Research (CentER)
Downloads 569 (28,764)
Citation 7

Abstract:

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

6.

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 565 (35,458)
Citation 3

Abstract:

7.

Multivariate Option Pricing Using Dynamic Copula Models

CentER Discussion Paper No. 2003-122
Number of pages: 21 Posted: 21 Jun 2004
Rob W. J. van den Goorbergh, Christian Genest and Bas J. M. Werker
Tilburg University - Department of Finance, Laval University - Department of Mathematics & Statistics and Tilburg University - Center for Economic Research (CentER)
Downloads 478 (44,322)
Citation 2

Abstract:

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

8.

The Annuity Puzzle Remains a Puzzle

Downloads 271 ( 91,720)
Citation 3

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 - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 152 (159,776)
Citation 3

Abstract:

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 - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 119 (194,937)
Citation 3

Abstract:

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

9.

Economic Hedging Portfolios

Tilburg University Working Paper
Number of pages: 31 Posted: 22 May 2003
Rob W. J. van den Goorbergh, Frans de Roon and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 225 (105,116)

Abstract:

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

10.

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
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University, Independent and Tilburg University - Center for Economic Research (CentER)
Downloads 221 (113,213)

Abstract:

Economic risk premia, macroeconomic announcements

11.

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

Downloads 173 (142,562)

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 and Tilburg University - Center for Economic Research (CentER)
Downloads 117 (197,430)

Abstract:

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 and Tilburg University - Center for Economic Research (CentER)
Downloads 56 (312,265)

Abstract:

Funded pension, risk regulation, regulatory quality

12.

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

Downloads 168 (146,336)

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 131 (180,809)

Abstract:

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 37 (373,990)

Abstract:

Portfolio choice, value-at-risk, pension funds

13.

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, Northwestern University-Kellogg School of Management and Tilburg University - Center for Economic Research (CentER)
Downloads 162 (110,251)

Abstract:

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

14.

Health Cost Risk: A Potential Solution to the Annuity Puzzle

Forthcoming The Economic Journal
Number of pages: 41 Posted: 19 Feb 2010 Last Revised: 01 Oct 2015
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 161 (151,821)
Citation 5

Abstract:

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

15.

The Impact of Overnight Periods on Option Pricing

EFA 2004 Maastricht Meetings Paper No. 3168
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 125 (175,889)
Citation 3

Abstract:

Derivative pricing, jump diffusion, stochastic volatility

16.

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 120 (170,886)
Citation 2

Abstract:

duration modeling, hitting time, trading intensity, market microstructure

17.

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

Downloads 108 (208,506)

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 108 (209,534)

Abstract:

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)
Downloads 0

Abstract:

conditional heteroskedasticity, linear and quadratic residual autocorrelation tests, model misspecification test, nonlinear time series, parameter constancy, residual symmetry tests

18.

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 98 (211,323)
Citation 3

Abstract:

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

19.

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 74 (254,056)
Citation 2

Abstract:

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

20.

Local Asymptotic Normality and Efficient Estimation for INAR(p) Models

Downloads 73 (268,130)
Citation 3

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 71 (275,228)
Citation 3

Abstract:

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

Local Asymptotic Normality and Efficient Estimation for INAR(p) Models

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, September 2008
Number of pages: 19 Posted: 15 Aug 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 2 (557,809)
Citation 3

Abstract:

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

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, 2008
Number of pages: 19 Posted: 18 Jan 2014
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 0
Citation 3

Abstract:

Count data, integer‐valued time series, information loss structure

21.

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

Downloads 66 (283,440)
Citation 1

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 35 (381,664)
Citation 1

Abstract:

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 31 (398,474)
Citation 1

Abstract:

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

22.

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 59 (283,440)
Citation 1

Abstract:

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

23.

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 51 (305,276)
Citation 2

Abstract:

Statistics, estimation, testing

24.

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 49 (313,333)
Citation 2

Abstract:

count data, integer-valued time series, bilinear model

25.

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 44 (330,672)
Citation 2

Abstract:

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

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 41 (270,247)

Abstract:

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

27.

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 40 (324,714)

Abstract:

28.

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

Downloads 38 (362,543)

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 21 (450,517)

Abstract:

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. 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 17 (473,724)

Abstract:

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

29.

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 32 (327,668)

Abstract:

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

30.

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 28 (388,789)

Abstract:

limit experiment, differentiability in quadratic mean, asymptotic linearity

31.

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 28 (384,769)

Abstract:

Dickey-Fuller test, Local Asymptotic Normality

32.

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 25 (415,666)
Citation 1

Abstract:

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

33.

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

Netspar Discussion Paper No. 05/2013-072
Number of pages: 33 Posted: 10 Feb 2014 Last Revised: 07 Apr 2017
Jaroslav Pazdera, J. M. Schumacher and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 22 (430,861)

Abstract:

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

34.

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 14 (410,930)

Abstract:

Cointegration model, cointegration rank, elliptical densities

35.

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
Jaroslav Pazdera, J. M. Schumacher and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 14 (401,654)

Abstract:

36.

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

De Nederlandsche Bank Working Paper No. 555
Number of pages: 65 Posted: 19 Apr 2017
Dirk Broeders, Kristy Jansen and Bas J. M. Werker
De Nederlandsche Bank, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 0 (281,153)

Abstract:

Illiquid assets, asset liability management, asset allocation, liquidity constraints, capital constraints, pension funds, regulation

37.

Longevity Risk: To Bear or to Insure?

Number of pages: 57 Posted: 03 Mar 2017
Ling-Ni Boon, Marie Briere and Bas J. M. Werker
Tilburg University, Amundi Asset Management and Tilburg University - Center for Economic Research (CentER)
Downloads 0 (336,495)

Abstract:

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

38.

Linear Factor Models and the Estimation of Expected Returns

Netspar Discussion Paper No. 03/2016-020
Posted: 20 Apr 2016
Cisil Sarisoy, Peter de Goeij and Bas J. M. Werker
Northwestern University-Kellogg School of Management, CentER, Tilburg Law and Economics Center (TILEC), Tilburg University and Tilburg University - Center for Economic Research (CentER)

Abstract:

Factor Pricing Models, Risk-Return Models, Omitted Factors, Misspecified Models

39.

Robust Pricing of Fixed Income Securities

Number of pages: 54 Posted: 11 Apr 2016 Last Revised: 30 Aug 2016
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 0 (171,889)

Abstract:

dynamic asset allocation, robustness, uncertainty, ambiguity, bond premium puzzle

40.

Semiparametrically Optimal Hybrid Rank Tests for Unit Roots

Number of pages: 44 Posted: 12 Mar 2016 Last Revised: 19 Apr 2017
Bo Zhou, Ramon Van den Akker and Bas J. M. Werker
Tilburg University - Department of Econometrics & Operations Research, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 0 (276,720)

Abstract:

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

41.

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)

Abstract:

Volatility, continuous time model, exact discretization

42.

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)

Abstract:

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

43.

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)

Abstract:

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