11
H index
11
i10 index
592
Citations
Bas J.M. Werker : Citation Profile
Universiteit van Tilburg | RESEARCH PRODUCTION: 8 Articles 39 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1993 - 2024). 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:
| Cites to:
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Main data
Where Bas J.M. Werker has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Business & Economic Statistics | 2 |
| Journal of Econometrics | 2 |
Recent works citing Bas J.M. Werker (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper |
| 2024 | Efficient estimation of parameters in marginals in semiparametric multivariate models. (2024). Prokhorov, Artem ; Panchenko, Valentyn ; Medovikov, Ivan. In: Papers. RePEc:arx:papers:2401.17334. Full description at Econpapers || Download paper |
| 2024 | Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement. (2024). Zaugg, Nicola F ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2407.02901. Full description at Econpapers || Download paper |
| 2024 | A Conversation With Marc Hallin. (2024). Genest, Christian. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:2:p:137-159. Full description at Econpapers || Download paper |
| 2024 | Semiparametrically optimal cointegration test. (2024). Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001611. Full description at Econpapers || Download paper |
| 2024 | Unearthing the hedge and safe-haven potential of green investment funds for energy commodities. (2024). Ozkan, Oktay ; Meo, Muhammad Saeed ; Younus, Mehak. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s014098832400522x. Full description at Econpapers || Download paper |
| 2025 | Give me a break: What does the equity premium compensate for?. (2025). Perras, Patrizia ; Wagner, Niklas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443124001690. Full description at Econpapers || Download paper |
| 2025 | Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236. Full description at Econpapers || Download paper |
| 2024 | Optimal Retirement Age: Death Hazard Rate Approach. (2024). Linden, Mikael. In: MPRA Paper. RePEc:pra:mprapa:120786. Full description at Econpapers || Download paper |
| 2024 | Finite moments testing in a general class of nonlinear time series models. (2024). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:121193. Full description at Econpapers || Download paper |
| 2024 | A Bayesian learning model of hedge fund performance. (2024). Mamatzakis, Emmanuel ; Tsionas, Mike G ; Patel, Pankaj C. In: Annals of Operations Research. RePEc:spr:annopr:v:333:y:2024:i:1:d:10.1007_s10479-023-05667-x. Full description at Econpapers || Download paper |
| 2024 | On strongly dependent zero-inflated INAR(1) processes. (2024). Beran, Jan ; Droullier, Frieder. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:4:d:10.1007_s00362-023-01496-z. Full description at Econpapers || Download paper |
Works by Bas J.M. Werker:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1998 | Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 33 |
| 1994 | Estimation 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 | |
| 2004 | Semiparametric Duration Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 52 |
| 2001 | Semiparametric Duration Models.(2001) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2000 | Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 4 |
| 2006 | GARCH and irregularly spaced data In: Economics Letters. [Full Text][Citation analysis] | article | 19 |
| 2003 | GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2004 | Dynamic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 1996 | Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 127 |
| 1994 | Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 127 | paper | |
| 2005 | Yet another look at mutual fund tournaments In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 34 |
| 2005 | Bivariate option pricing using dynamic copula models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 55 |
| 2003 | Currency hedging for international stock portfolios: The usefulness of mean-variance analysis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 34 |
| 2024 | Linear Factor Models and the Estimation of Expected Returns In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| 1993 | A Note on Robinsons Test of Independence. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 3 |
| 1993 | A note on Robinsons test of independence.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1994 | Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 84 |
| 1994 | Adaptive estimation in time-series models.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
| 2011 | A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72) In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
| 2004 | Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
| 2004 | Stochatic Volatility Models with Transaction Time Risk In: Discussion Paper. [Full Text][Citation analysis] | paper | 8 |
| 2010 | Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement In: Discussion Paper. [Full Text][Citation analysis] | paper | 6 |
| 1999 | Currency Hedging for International Stock Portfolios : A General Approach In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2005 | The Impact of Overnight Periods on Option Pricing In: Discussion Paper. [Full Text][Citation analysis] | paper | 15 |
| 2001 | On the Empirical Evidence of Mutual Fund Strategic Risk Taking In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Incorporating Estimation Risk in Portfolio Choice In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 1996 | Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach In: Discussion Paper. [Full Text][Citation analysis] | paper | 7 |
| 1996 | On the Pricing of Options in Incomplete Markets In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Note on Integer-Valued Bilinear Time Series Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 9 |
| 2001 | Semiparametric Lower Bounds for Tail Index Estimation In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
| 1998 | Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets In: Discussion Paper. [Full Text][Citation analysis] | paper | 27 |
| 2003 | Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
| 2006 | An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Multivariate Option Pricing Using Dynamic Copula Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 9 |
| 2005 | Labor Income and the Demand for Long-term Bonds In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 2004 | An Alternative Asymptotic Analysis of Residual-Based Statistics In: Discussion Paper. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Local Asymptotic Normality and Efficient Estimation for inar (P) Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 8 |
| 2003 | A Simple Asymptotic Analysis of Residual-Based Statistics In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2002 | The Dynamics of the Impact of Past Performance on Mutual Fund Flows In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
| 2012 | Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Economic Hedging Portfolios In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Efficient 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] | paper | 4 |
| 2015 | Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Optimal Portfolio Choice with Annuitization In: Discussion Paper. [Full Text][Citation analysis] | paper | 12 |
| 2010 | Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand In: Discussion Paper. [Full Text][Citation analysis] | paper | 9 |
| 1997 | Exchange rate target zones : A new approach In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team