Bas J.M. Werker : Citation Profile


Are you Bas J.M. Werker?

Universiteit van Tilburg
Universiteit van Tilburg
Universiteit van Tilburg

11

H index

11

i10 index

509

Citations

RESEARCH PRODUCTION:

8

Articles

38

Papers

RESEARCH ACTIVITY:

   22 years (1993 - 2015). See details.
   Cites by year: 23
   Journals where Bas J.M. Werker has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 16 (3.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe126
   Updated: 2020-10-24    RAS profile:    
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Relations with other researchers


Works with:

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 (18)

Drost, Feike C. (17)

Andersen, Torben (16)

Fernandes, Marcelo (13)

Hallin, Marc (13)

Hafner, Christian (13)

Mitchell, Olivia (11)

Rombouts, Jeroen (11)

Meddahi, Nour (11)

van den Akker, Ramon (10)

Ghysels, Eric (9)

Cites to:

Hallin, Marc (39)

Drost, Feike C. (29)

Nijman, Theo (15)

Mitchell, Olivia (10)

Engle, Robert (9)

Campbell, John (9)

Saikkonen, Pentti (8)

Jansson, Michael (8)

Andrews, Donald (7)

Bollerslev, Tim (7)

Johansen, Soren (7)

Main data


Where Bas J.M. Werker has published?


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

Recent works citing Bas J.M. Werker (2020 and 2019)


YearTitle of citing document
2019Option Pricing with Orthogonal Polynomial Expansions. (2019). Filipovic, Damir ; Ackerer, Damien. In: Papers. RePEc:arx:papers:1711.09193.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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2020A nested copula duration model for competing risks with multiple spells. (2020). Wilke, Ralf ; Mammen, Enno ; Simon, . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:150:y:2020:i:c:s0167947320300773.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197.

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2020Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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2019Life Cycle Saving and Dissaving Revisited across Three-Tiered Income Groups: Starting Hypotheses, Refinement through Literature Review, and Ideas for Empirical Testing. (2019). Bravo, Jorge ; Ayuso, mercedes ; Miguelbravo, Jorge ; Alaminos, Estefania ; Holzmann, Robert. In: IZA Discussion Papers. RePEc:iza:izadps:dp12655.

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2019The aggregate impacts of tournament incentives in experimental asset markets. (2019). Owen, Sian ; Henker, Julia ; Paul, Debapriya Jojo. In: Experimental Economics. RePEc:kap:expeco:v:22:y:2019:i:2:d:10.1007_s10683-018-9562-7.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2020Okuns Law: Copula-based Evidence from G7 Countries. (2020). Stavrakoudis, Athanassios ; Benos, Nikos. In: MPRA Paper. RePEc:pra:mprapa:103318.

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2019Testing the existence of moments for GARCH processes. (2019). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:98892.

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2020On the pricing of overnight market risk. (2020). Perras, Patrizia ; Wagner, Niklas. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:3:d:10.1007_s00181-019-01714-4.

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2019Unit Root Tests for Dependent Micropanels. (2019). Choi, In. In: The Japanese Economic Review. RePEc:spr:jecrev:v:70:y:2019:i:2:d:10.1111_jere.12170.

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2020Goodness-of-fit tests in conditional duration models. (2020). Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0930-8.

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2019Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman. In: Journal of Forecasting. RePEc:wly:jforec:v:38:y:2019:i:4:p:293-310.

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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]
article29
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: 29
paper
2004Semiparametric Duration Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article45
2001Semiparametric Duration Models.(2001) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2000Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers.
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paper4
2006GARCH and irregularly spaced data In: Economics Letters.
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article13
2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2004Dynamic factor models In: Journal of Econometrics.
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article2
1996Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics.
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article113
1994Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
paper
2005Yet another look at mutual fund tournaments In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article29
2005Bivariate option pricing using dynamic copula models In: Insurance: Mathematics and Economics.
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article51
2003Currency hedging for international stock portfolios: The usefulness of mean-variance analysis In: Journal of Banking & Finance.
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article23
1993A Note on Robinsons Test of Independence. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper3
1993A note on Robinsons test of independence.(1993) In: Discussion Paper.
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This paper has another version. Agregated cites: 3
paper
1994Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper69
1994Adaptive estimation in time-series models.(1994) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2011A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72) In: Discussion Paper.
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paper3
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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paper9
2010Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement In: Discussion Paper.
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paper5
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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paper11
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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paper2
1996Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach In: Discussion Paper.
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paper5
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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paper8
2001Semiparametric Lower Bounds for Tail Index Estimation In: Discussion Paper.
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paper1
1998Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets In: Discussion Paper.
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paper28
2003Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality In: Discussion Paper.
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paper3
2006An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper.
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paper2
2003Multivariate Option Pricing Using Dynamic Copula Models In: Discussion Paper.
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paper9
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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paper5
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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paper2
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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paper4
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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paper12
2010Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand In: Discussion Paper.
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paper7
1997Exchange rate target zones : A new approach In: Discussion Paper.
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paper2

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