Bas J. M. Werker - Publications, H-index & Citations

Bas J. M. Werker

tilburg university

27H指数

232论文数

3.0K被引数

收录论文 24

发表时间

Revisiting the bond premium puzzle: a robustness approach 重新审视债券溢价之谜：稳健性方法

Quantitative Finance

IF1.4

2026-01-01

PREAI

Horvath, Ferenc; De Jong, Frank; Werker, Bas J. M.

The Shadow Costs of Illiquidity

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

IF2.8

2022-04-29

OAAI

Jansen, Kristy A. E.; Werker, Bas J. M.

Semiparametric testing with highly persistent predictors

JOURNAL OF ECONOMETRICS

IF4

2022-04-01

OAAI

Werker, Bas J. M.; Zhou, Bo

SEMIPARAMETRICALLY POINT-OPTIMAL HYBRID RANK TESTS FOR UNIT ROOTS

ANNALS OF STATISTICS

IF3.7

2019-10-01

OAAI

Zhou, Bo; van den Akker, Ramon; Werker, Bas J. M.

HEALTH COST RISK: A POTENTIAL SOLUTION TO THE ANNUITY PUZZLE

ECONOMIC JOURNAL

IF3.6

2017-02-01

OAAI

Peijnenburg, Kim; Nijman, Theo; Werker, Bas J. M.

Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank 与趋势协整的半参数误差校正模型: 协整秩的伪高斯与最优秩检验

JOURNAL OF ECONOMETRICS

IF4

2016-01-01

PREAI

Hallin, Marc; van den Akker, Ramon; Werker, Bas J. M.

Residual-based rank specification tests for AR-GARCH type models 基于残差的ar-garch型模型秩规范检验

JOURNAL OF ECONOMETRICS

IF4

2015-04-01

PREAI

Andreou, Elena; Werker, Bas J. M.

SEMIPARAMETRIC GAUSSIAN COPULA MODELS: GEOMETRY AND EFFICIENT RANK-BASED ESTIMATION

ANNALS OF STATISTICS

IF3.7

2014-10-01

OAAI

Segers, Johan; van den Akker, Ramon; Werker, Bas J. M.

The dynamic mixed hitting-time model for multiple transaction prices and times

JOURNAL OF ECONOMETRICS

IF4

2014-06-01

PREAI

Renault, Eric; van der Heijden, Thijs; Werker, Bas J. M.

Short-horizon regulation for long-term investors

JOURNAL OF BANKING & FINANCE

IF3.8

2012-12-01

OAAI

Shi, Zhen; Werker, Bas J. M.

AN ALTERNATIVE ASYMPTOTIC ANALYSIS OF RESIDUAL-BASED STATISTICS

REVIEW OF ECONOMICS AND STATISTICS

IF6.8

2012-02-01

OAAI

Andreou, Elena; Werker, Bas J. M.

A class of simple distribution-free rank-based unit root tests

JOURNAL OF ECONOMETRICS

IF4

2011-08-01

OAAI

Hallin, Marc; van den Akker, Ramon; Werker, Bas J. M.

Causality effects in return volatility measures with random times

JOURNAL OF ECONOMETRICS

IF4

2011-01-01

OAAI

Renault, Eric; Werker, Bas J. M.

Optimal Annuity Risk Management

REVIEW OF FINANCE

IF8.4

2010-04-29

OAAI

Koijen, Ralph S. J.; Nijman, Theo E.; Werker, Bas J. M.

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

REVIEW OF FINANCIAL STUDIES

IF5.4

2009-09-17

PREAI

Koijen, Ralph S. J.; Nijman, Theo E.; Werker, Bas J. M.

The impact of overnight periods on option pricing

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

IF2.8

2009-04-06

OAAI

Boes, Mark-Jan; Drost, Feike C.; Werker, Bas J. M.

Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2008-10-22

PREAI

Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.

Semiparametrically efficient inference based on signs and ranks for median-restricted models

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2008-02-06

OAAI

Hallin, Marc; Vermandele, Catherine; Werker, Bas J. M.

Untitled

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

IF3

2006-09-01

PREAI

Hallin, Marc; Werker, Bas J. M.

Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic normality

ANNALS OF STATISTICS

IF3.7

2006-02-01

OAAI

Hallin, M; Vermandele, C; Werker, B

研究方向