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

582

Citations

RESEARCH PRODUCTION:

8

Articles

39

Papers

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 18
   Journals where Bas J.M. Werker has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 17 (2.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwe126
   Updated: 2024-12-03    RAS profile: 2023-03-11    
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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:

Hallin, Marc (20)

Drost, Feike C. (18)

Bollerslev, Tim (18)

Andersen, Torben (16)

Hafner, Christian (14)

Fernandes, Marcelo (13)

Francq, Christian (12)

Zakoian, Jean-Michel (11)

Rombouts, Jeroen (11)

Meddahi, Nour (11)

Mitchell, Olivia (11)

Cites to:

Hallin, Marc (44)

Drost, Feike C. (31)

Nijman, Theo (15)

Mitchell, Olivia (14)

Bollerslev, Tim (12)

Brown, Jeffrey (12)

Campbell, John (10)

Engle, Robert (10)

Jorion, Philippe (8)

Saikkonen, Pentti (8)

Jansson, Michael (8)

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 (2024 and 2023)

YearTitle of citing document
2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

Full description at Econpapers || Download paper

2023Foreign exchange hedging using regime-switching models: the case of pound sterling. (2023). Fatouh, Mahmoud ; Papapostolou, Nikos C ; Moutzouris, Ioannis C ; Lee, Taehyun. In: Bank of England working papers. RePEc:boe:boeewp:1042.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Deferring real options with solar renewable energy certificates. (2023). Byrne, Julie ; Assereto, Martina ; Zhang, Hanyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000977.

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2023A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355.

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2023Sparse and stable international portfolio optimization and currency risk management. (2023). Ulrych, Urban ; Burkhardt, Raphael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s026156062300150x.

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2023Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management. (2023). Wang, Guannan ; Meng, Juan ; Mo, Bin. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:5:p:2141-:d:1077108.

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2023On Asymmetric Correlations and Their Applications in Financial Markets. (2023). Liu, Conan ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:187-:d:1092699.

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2024Optimal Retirement Age: Death Hazard Rate Approach. (2024). Linden, Mikael. In: MPRA Paper. RePEc:pra:mprapa:120786.

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2023Traffic light theory for Covid-19 spatial mitigation policy design. (2023). Genesove, David ; Kotsenko, Nikita ; Felsenstein, Daniel ; Beenstock, Michael ; Dai, Xieer. In: Journal of Spatial Econometrics. RePEc:spr:jospat:v:4:y:2023:i:1:d:10.1007_s43071-022-00033-8.

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2023A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x.

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2023Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614.

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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]		article33
1994Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2004Semiparametric Duration Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article51
2001Semiparametric Duration Models.(2001) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2000Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper4
2006GARCH and irregularly spaced data In: Economics Letters.
[Full Text][Citation analysis]		article19
2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2004Dynamic factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
1996Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article128
1994Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 128		paper
2005Yet another look at mutual fund tournaments In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article33
2005Bivariate option pricing using dynamic copula models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article55
2003Currency hedging for international stock portfolios: The usefulness of mean-variance analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article31
2024Linear Factor Models and the Estimation of Expected Returns In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1994Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research.
[Citation analysis]		paper83
1994Adaptive estimation in time-series models.(1994) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 83		paper
2011A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72) In: Discussion Paper.
[Full Text][Citation analysis]		paper4
2004Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models In: Discussion Paper.
[Full Text][Citation analysis]		paper3
2004Stochatic Volatility Models with Transaction Time Risk In: Discussion Paper.
[Full Text][Citation analysis]		paper8
2010Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement In: Discussion Paper.
[Full Text][Citation analysis]		paper6
1999Currency Hedging for International Stock Portfolios : A General Approach In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2005The Impact of Overnight Periods on Option Pricing In: Discussion Paper.
[Full Text][Citation analysis]		paper13
2001On the Empirical Evidence of Mutual Fund Strategic Risk Taking In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2000Incorporating Estimation Risk in Portfolio Choice In: Discussion Paper.
[Full Text][Citation analysis]		paper2
1996Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach In: Discussion Paper.
[Full Text][Citation analysis]		paper7
1996On the Pricing of Options in Incomplete Markets In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2007Note on Integer-Valued Bilinear Time Series Models In: Discussion Paper.
[Full Text][Citation analysis]		paper9
2001Semiparametric Lower Bounds for Tail Index Estimation In: Discussion Paper.
[Full Text][Citation analysis]		paper1
1998Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets In: Discussion Paper.
[Full Text][Citation analysis]		paper27
2003Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality In: Discussion Paper.
[Full Text][Citation analysis]		paper4
2006An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper.
[Full Text][Citation analysis]		paper2
2003Multivariate Option Pricing Using Dynamic Copula Models In: Discussion Paper.
[Full Text][Citation analysis]		paper9
2005Labor Income and the Demand for Long-term Bonds In: Discussion Paper.
[Full Text][Citation analysis]		paper2
2004An Alternative Asymptotic Analysis of Residual-Based Statistics In: Discussion Paper.
[Full Text][Citation analysis]		paper3
2008Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2006Local Asymptotic Normality and Efficient Estimation for inar (P) Models In: Discussion Paper.
[Full Text][Citation analysis]		paper7
2003A Simple Asymptotic Analysis of Residual-Based Statistics In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2002The Dynamics of the Impact of Past Performance on Mutual Fund Flows In: Discussion Paper.
[Full Text][Citation analysis]		paper4
2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2003Economic Hedging Portfolios In: Discussion Paper.
[Full Text][Citation analysis]		paper2
2008Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) In: Discussion Paper.
[Full Text][Citation analysis]		paper4
2015Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2006Optimal Portfolio Choice with Annuitization In: Discussion Paper.
[Full Text][Citation analysis]		paper12
2010Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand In: Discussion Paper.
[Full Text][Citation analysis]		paper9
1997Exchange rate target zones : A new approach In: Discussion Paper.
[Full Text][Citation analysis]		paper2

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