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

50

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Scholarly Papers (50)

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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
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 1,370 (18,603)
Citation 9

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optimal life-cycle portfolio choice, annuity risk

2.

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

Downloads 1,079 ( 26,478)

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 1,079 (26,065)
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
NTNU Business School, Invesco and Tilburg University - Center for Economic Research (CentER)
Downloads 748 (44,127)
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 669 (51,244)
Citation 9

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5.

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 627 (55,777)

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

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 625 (56,013)
Citation 2

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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 540 (67,274)
Citation 11

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

8.

The Annuity Puzzle Remains a Puzzle

Downloads 344 (114,239)
Citation 18

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 201 (196,080)
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 143 (263,195)
Citation 17

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

9.

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, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 291 (136,792)
Citation 4

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

10.

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, 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 SystemBoard of Governors of the Federal Reserve System and Tilburg University - Center for Economic Research (CentER)
Downloads 278 (143,441)
Citation 3

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

11.

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 266 (149,940)
Citation 1

Abstract:

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Economic risk premia, macroeconomic announcements

12.

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 253 (157,793)
Citation 5

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

13.

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 236 (168,695)
Citation 4

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

14.

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 234 (170,053)
Citation 4

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

15.

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 228 (174,412)
Citation 4

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

16.

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

Downloads 217 (182,742)

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 137 (272,309)

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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 80 (393,662)

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Funded pension, risk regulation, regulatory quality

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 207 (190,988)

Abstract:

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

18.

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
Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 196 (200,744)

Abstract:

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

19.

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

Downloads 189 (207,405)

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 146 (258,673)

Abstract:

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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 43 (534,992)

Abstract:

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Portfolio choice, value-at-risk, pension funds

20.

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 186 (210,376)
Citation 7

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

21.

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 171 (226,170)
Citation 4

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duration modeling, hitting time, trading intensity, market microstructure

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 167 (230,801)

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Derivative pricing, jump diffusion, stochastic volatility

23.

Linear Factor Models and the Estimation of Expected Returns

Netspar Discussion Paper No. 03/2016-020
Number of pages: 58 Posted: 20 Apr 2016 Last Revised: 24 May 2021
Cisil Sarisoy, Cisil Sarisoy, Peter de Goeij and Bas J. M. Werker
Board of Governors of the Federal Reserve SystemBoard of Governors of the Federal Reserve System, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 133 (277,475)
Citation 1

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

24.

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

Downloads 131 (280,569)
Citation 3

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 131 (281,686)

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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

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

25.

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 113 (312,453)
Citation 8

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

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 112 (314,361)

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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
Durham University Business School, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 110 (318,338)
Citation 2

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

28.

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 93 (355,545)

Abstract:

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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

29.

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

Downloads 91 (360,438)
Citation 2

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 89 (368,683)

Abstract:

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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 (836,761)
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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)
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Count data, integer‐valued time series, information loss structure

30.

Present Bias, Asset Allocation and the Yield Curve

Number of pages: 50 Posted: 23 Nov 2020 Last Revised: 22 Dec 2020
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 88 (367,979)

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hyperbolic discounting, portfolio choice, term structure, duration present, behavioral finance

31.

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

Downloads 84 (378,540)
Citation 3

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 46 (520,350)
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 38 (560,973)
Citation 1

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

32.

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 76 (401,231)
Citation 5

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Statistics, estimation, testing

33.

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 73 (410,290)
Citation 1

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

34.

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 67 (429,548)
Citation 1

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count data, integer-valued time series, bilinear model

35.

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 66 (432,995)

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hedging uncertainty, ambiguity aversion, inflation risk

36.

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 61 (450,392)

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37.

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 59 (457,773)
Citation 4

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

38.

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 56 (469,074)

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

39.

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 46 (510,532)
Citation 1

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Cointegration model, cointegration rank, elliptical densities

40.

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

Downloads 46 (510,532)
Citation 2

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 26 (635,380)
Citation 1

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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. 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 20 (680,931)
Citation 1

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

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 44 (519,618)
Citation 5

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limit experiment, differentiability in quadratic mean, asymptotic linearity

42.

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 Durham University Business School
Downloads 42 (529,062)

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

43.

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 41 (533,822)

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Dickey-Fuller test, Local Asymptotic Normality

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
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 40 (538,736)
Citation 1

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

45.

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 35 (564,413)
Citation 2

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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 30 (592,296)
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
Durham University Business School, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 19 (666,406)

Abstract:

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48.

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:

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Volatility, continuous time model, exact discretization

49.

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:

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

50.

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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