Bas J.M. Werker : Citation Profile


Are you Bas J.M. Werker?

Universiteit van Tilburg
Universiteit van Tilburg
Universiteit van Tilburg

10

H index

10

i10 index

350

Citations

RESEARCH PRODUCTION:

8

Articles

38

Papers

RESEARCH ACTIVITY:

   22 years (1993 - 2015). See details.
   Cites by year: 15
   Journals where Bas J.M. Werker has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 7 (1.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe126
   Updated: 2017-04-22    RAS profile:    
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Relations with other researchers


Works with:

Hallin, Marc (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bas J.M. Werker.

Is cited by:

Bollerslev, Tim (15)

Andersen, Torben (13)

Meddahi, Nour (11)

Rombouts, Jeroen (11)

Hafner, Christian (9)

Hautsch, Nikolaus (8)

Ghysels, Eric (8)

Stentoft, Lars (8)

Fernandes, Marcelo (8)

Khalaf, Lynda (7)

Renault, Eric (7)

Cites to:

Hallin, Marc (39)

Nijman, Theo (13)

Drost, Feike C. (13)

Mitchell, Olivia (10)

Campbell, John (10)

Engle, Robert (9)

Jansson, Michael (8)

Saikkonen, Pentti (8)

Andrews, Donald (7)

Johansen, Soren (7)

LINTON, OLIVER (7)

Main data


Where Bas J.M. Werker has published?


Journals with more than one article published# docs
Journal of Econometrics2
Journal of Business & Economic Statistics2

Recent works citing Bas J.M. Werker (2017 and 2016)


YearTitle of citing document
2016Granger Independent Martingale Processes. (2016). Romagnoli, Silvia . In: Papers. RePEc:arx:papers:1607.01519.

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2016Path-dependent option pricing with explicit solutions, stochastic approximation and Heston examples. (2016). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2016Modelling and Forecasting with Financial Duration Data Using Non-linear Model. (2016). Kok-Haur, NG ; Ah-Hin, Pooi ; Huei-Ching, Soo . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:2:p:79-92.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2016A Gini-based unit root test. (2016). Shelef, Amit. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:763-772.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, P S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84.

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2017Frontier and emerging government bond markets. (2017). Piljak, Vanja ; Swinkels, Laurens . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gnay, Samet . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:11-:d:70218.

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2016Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gnay, Samet . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:11:d:70218.

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2017Strategic Choice of Risk: Evidence from Mutual Fund Families. (2017). Lai, Christine W ; Chan, Chia-Ying ; Lee, Liang-Chung . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:51:y:2017:i:1:d:10.1007_s10693-016-0242-5.

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2016Bayesian estimation and inference for log-ACD models. (2016). Gerlach, Richard ; Peiris, Shelton . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:1:d:10.1007_s00180-015-0576-8.

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2017Robust Dickey–Fuller tests based on ranks for time series with additive outliers. (2017). Boistard, H ; Bourguignon, M ; Levy-Leduc, C ; Reisen, V A. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:1:d:10.1007_s00184-016-0594-8.

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Works by Bas J.M. Werker:


YearTitleTypeCited
1998Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
[Citation analysis]
article26
1994Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 26
paper
2004Semiparametric Duration Models. In: Journal of Business & Economic Statistics.
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article33
2001Semiparametric Duration Models.(2001) In: Discussion Paper.
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This paper has another version. Agregated cites: 33
paper
2000Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers.
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paper5
2006GARCH and irregularly spaced data In: Economics Letters.
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article10
2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
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This paper has another version. Agregated cites: 10
paper
2004Dynamic factor models In: Journal of Econometrics.
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article0
1996Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics.
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article87
1994Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 87
paper
2005Yet another look at mutual fund tournaments In: Journal of Empirical Finance.
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article23
2005Bivariate option pricing using dynamic copula models In: Insurance: Mathematics and Economics.
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article40
2003Currency hedging for international stock portfolios: The usefulness of mean-variance analysis In: Journal of Banking & Finance.
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article18
1993A Note on Robinsons Test of Independence. In: Tilburg - Center for Economic Research.
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paper2
1993A note on Robinsons test of independence.(1993) In: Discussion Paper.
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This paper has another version. Agregated cites: 2
paper
1994Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research.
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paper26
1994Adaptive estimation in time-series models.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 26
paper
2011A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72) In: Discussion Paper.
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paper2
2004Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models In: Discussion Paper.
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paper2
2004Stochatic Volatility Models with Transaction Time Risk In: Discussion Paper.
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paper8
2010Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement In: Discussion Paper.
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paper0
1999Currency Hedging for International Stock Portfolios : A General Approach In: Discussion Paper.
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paper0
2005The Impact of Overnight Periods on Option Pricing In: Discussion Paper.
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paper6
2001On the Empirical Evidence of Mutual Fund Strategic Risk Taking In: Discussion Paper.
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paper0
2000Incorporating Estimation Risk in Portfolio Choice In: Discussion Paper.
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paper1
1996Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach In: Discussion Paper.
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paper4
1996On the Pricing of Options in Incomplete Markets In: Discussion Paper.
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paper0
2007Note on Integer-Valued Bilinear Time Series Models In: Discussion Paper.
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paper3
2001Semiparametric Lower Bounds for Tail Index Estimation In: Discussion Paper.
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paper0
1998Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets In: Discussion Paper.
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paper19
2003Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality In: Discussion Paper.
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paper2
2006An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper.
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paper0
2003Multivariate Option Pricing Using Dynamic Copula Models In: Discussion Paper.
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paper7
2005Labor Income and the Demand for Long-term Bonds In: Discussion Paper.
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paper2
2004An Alternative Asymptotic Analysis of Residual-Based Statistics In: Discussion Paper.
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paper3
2008Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known In: Discussion Paper.
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paper0
2006Local Asymptotic Normality and Efficient Estimation for inar (P) Models In: Discussion Paper.
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paper1
2003A Simple Asymptotic Analysis of Residual-Based Statistics In: Discussion Paper.
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paper0
2002The Dynamics of the Impact of Past Performance on Mutual Fund Flows In: Discussion Paper.
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paper3
2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models In: Discussion Paper.
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paper0
2003Economic Hedging Portfolios In: Discussion Paper.
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paper1
2008Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) In: Discussion Paper.
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paper0
2015Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models In: Discussion Paper.
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paper0
2006Optimal Portfolio Choice with Annuitization In: Discussion Paper.
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paper11
2010Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand In: Discussion Paper.
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paper3
1997Exchange rate target zones : A new approach In: Discussion Paper.
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paper2

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