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Author

  • Bas Werker
Article

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

Hallin, M., van den Akker, R. & Werker, B. J. M., 2011, In : Journal of Econometrics. 163, 2, p. 200-214

Research output: Contribution to journalArticleScientificpeer-review

10 Citations (Scopus)

An alternative asymptotic analysis of residual-based statistics

Andreou, E. & Werker, B. J. M., 2012, In : The Review of Economics and Statistics. 94, 1, p. 88-99

Research output: Contribution to journalArticleScientificpeer-review

6 Citations (Scopus)

Asymptotic inference for jump diffusions with state-dependent intensity

Becheri, G., Drost, F. & Werker, B., 1 Jun 2016, In : Scandinavian Journal of Statistics. 43, 2, p. 520-542

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

Baten van slimme toedeling rendementen hoger dan van intergenerationele risicodeling

Muns, S. & Werker, B., 25 Sep 2019, In : Economisch Statistische Berichten. 4777, p. 427-429

Research output: Contribution to journalArticleProfessional

Causality effects in return volatility measures with random times

Renault, E. & Werker, B. J. M., 2011, In : Journal of Econometrics. 160, 1, p. 272-279

Research output: Contribution to journalArticleScientificpeer-review

17 Citations (Scopus)

Cooperative investment in incomplete markets under financial fairness

Pazdera, J., Schumacher, H. & Werker, B., Nov 2016, In : Insurance: Mathematics & Economics. 71, p. 394-406

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

DNB speelt hoog spel met introductie van rekenrente die niet bepaald risicovrij is

Werker, B. J. M., van Wijnbergen, S. J. G., de Jong, F. C. J. M. & Kocken, T., 14 Jul 2012, In : Het Financieele Dagblad.

Research output: Contribution to journalArticlePopular

Efficient estimation of integrated volatility and related processes

Renault, E., Sarisoy, C. & Werker, B., Apr 2017, In : Econometric Theory. 33, 2, p. 439-478

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)

Health cost risk: A potential solution to the annuity puzzle

Peijnenburg, J. M. J., Nijman, T. & Werker, B., Aug 2017, In : The Economic Journal. 127, 603, p. 1598-1625

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
7 Citations (Scopus)
203 Downloads (Pure)

Is macroeconomic announcement news priced?

de Goeij, P., Hu, J. & Werker, B., 2016, In : Bankers, Markets and Investors. 143, p. 4-17

Research output: Contribution to journalArticleScientificpeer-review

Nieuw toezicht op hervormde pensioenen

Bovenberg, A. L., Nijman, T. E. & Werker, B. J. M., 2011, In : Economisch Statistische Berichten. 96, 4625S, p. 730-733

Research output: Contribution to journalArticleProfessional

Optimal annuity risk management

Koijen, R. S. J., Nijman, T. E. & Werker, B. J. M., 2011, In : Review of Finance. 15, 4, p. 799-833

Research output: Contribution to journalArticleScientificpeer-review

23 Citations (Scopus)

Pensioendebat gebaat bij eenheid in verscheidenheid

Bovenberg, L., Lever, M., Nijman, T. & Werker, B., 21 Dec 2016, In : Pensioen Pro.

Research output: Contribution to journalArticleProfessional

Residual-based rank specification tests for AR-GARCH type models

Andreou, E. & Werker, B. J. M., Apr 2015, In : Journal of Econometrics. 185, 2, p. 305-331

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)

Semiparametrically point-optimal hybrid rank tests for unit roots

Zhou, B., van den Akker, R. & Werker, B. J. M., Oct 2019, In : The Annals of Statistics. 47, 5, p. 2601-2638

Research output: Contribution to journalArticleScientificpeer-review

Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Hallin, M., van den Akker, R. & Werker, B., 1 Jan 2016, In : Journal of Econometrics. 190, 1, p. 46-61 15 p.

Research output: Contribution to journalArticleScientificpeer-review

3 Citations (Scopus)

Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation

Segers, J., van den Akker, R. & Werker, B. J. M., 2014, In : The Annals of Statistics. 42, 5, p. 1911-1940

Research output: Contribution to journalArticleScientificpeer-review

12 Citations (Scopus)

Short-horizon regulation for long-term investors

Shi, Z. & Werker, B. J. M., 2012, In : Journal of Banking and Finance. 36, 12, p. 3227-3238

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)

The annuity puzzle remains a puzzle

Peijnenburg, K., Nijman, T. & Werker, B. J. M., Sep 2016, In : Journal of Economic Dynamics and Control. 70, p. 18-35

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
12 Citations (Scopus)
30 Downloads (Pure)

The composite iteration algorithm for finding efficient and financially fair risk-sharing rules

Pazdera, J., Schumacher, H. & Werker, B., Oct 2017, In : Journal of Mathematical Economics. 72, p. 122-133

Research output: Contribution to journalArticleScientificpeer-review

3 Citations (Scopus)

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

Renault, E., van der Heijden, T. G. E. & Werker, B. J. M., Jun 2014, In : Journal of Econometrics. 180, 2, p. 233-250

Research output: Contribution to journalArticleScientificpeer-review

6 Citations (Scopus)

The effect of the assumed interest rate and smoothing in variable annuities

Balter, A. G. & Werker, B. J. M., Jan 2020, In : ASTIN Bulletin. 50, 1, p. 131-154

Research output: Contribution to journalArticleScientificpeer-review

Open Access

Waarheid over de rentevoet

Bovenberg, A. L., Nijman, T. E. & Werker, B. J. M., 15 Jul 2011, In : Het Financieele Dagblad.

Research output: Contribution to journalArticlePopular

Chapter

On quadratic expansions of log-likelihoods and a general asymptotic linearity result

Hallin, M., van den Akker, R. & Werker, B. J. M., 8 Apr 2015, Mathematical Statistics and Limit Theorems : Festschrift in Honour of Paul Deheuvels. Hallin, M., Mason, D. M., Pfeifer, D. & Steinebach, J. (eds.). Cham: Springer, p. 147-165 19 p. (Springer Proceedings in Mathematics & Statistics).

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

Discussion paper

A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)

Hallin, M., van den Akker, R. & Werker, B. J. M., 2011, TILBURG: Faculteit der Economische Wetenschappen, 36 p. (CentER Discussion Paper; vol. 2011-002).

Research output: Working paperDiscussion paperOther research output

File
232 Downloads (Pure)

De Meerwaarde van Risicodeling met Toekomstige Generaties Nader Bezien

Boeijen, D., Bonenkamp, J., Bovenberg, L., Frehen, L., de Haan, J., Joseph, A., Lever, M., Loois, M., Michielsen, T., Nijman, T., Ponds, E. & Werker, B., Nov 2016, Tilburg: NETSPAR, (Netspar Industry Paper; vol. Occasional 07/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
36 Downloads (Pure)

Heldere en Harde Pensioenrechten Onder een PPR

Heemskerk, M., Maatman, R. M. & Werker, B., Jan 2016, Tilburg: NETSPAR, 62 p. (Netspar Industry Paper; vol. Design 46).

Research output: Working paperDiscussion paperOther research output

Open Access
File
90 Downloads (Pure)

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 8 p. (Netspar Industry Paper; vol. Occasional 13/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
19 Downloads (Pure)

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen Vanuit Aanspraken

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 6 p. (Netspar Industry Paper; vol. Occasional 06/2016).

Research output: Working paperDiscussion paperOther research output

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen vanuit Vermogens per Horizon

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 15 p. (Netspar Industry Paper; vol. Occasional 11/2016).

Research output: Working paperDiscussion paperOther research output

Open Access

Intra-group Risk Sharing Under Financial Fairness

Pazdera, J., Schumacher, H. & Werker, B., May 2013, Tilburg: NETSPAR, 38 p. (NETSPAR Discussion Paper; vol. 05/2013-072).

Research output: Working paperDiscussion paperOther research output

Open Access

Linear Factor Models and the Estimation of Expected Returns

Sarisoy, C., de Goeij, P. & Werker, B., Mar 2016, Tilburg: NETSPAR, 48 p. (Netspar Academic Paper; vol. DP 03/2016-020).

Research output: Working paperDiscussion paperOther research output

Open Access
File
84 Downloads (Pure)

Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models

Hallin, M., Werker, B. J. M. & van den Akker, R., 8 Jan 2015, Tilburg: CentER, Center for Economic Research, 72 p. (CentER Discussion Paper; vol. 2015-001).

Research output: Working paperDiscussion paperOther research output

File
642 Downloads (Pure)

Projectierentes in Verbeterde Premieregelingen

Bovenberg, L., Nijman, T. & Werker, B., May 2016, Tilburg: NETSPAR, 22 p. (Netspar Industry Paper; vol. Occasional 12/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
19 Downloads (Pure)

Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

Hallin, M., van den Akker, R. & Werker, B. J. M., 2012, Tilburg: Econometrics, 77 p. (CentER Discussion Paper; vol. 2012-089).

Research output: Working paperDiscussion paperOther research output

File
281 Downloads (Pure)

Robustness for Asset-Liability Management of Pension Funds

Horváth, F., de Jong, F. & Werker, B., 2016, Tilburg: NETSPAR, 46 p. (Netspar Industry Paper; vol. Survey 47).

Research output: Working paperDiscussion paperOther research output

Open Access
File
165 Downloads (Pure)

The Annuity Puzzle Remains a Puzzle

Peijnenburg, J. M. J., Werker, B. & Nijman, T., Jul 2013, Tilburg: NETSPAR, 34 p. (NETSPAR Discussion Paper; vol. 01/2010-003).

Research output: Working paperDiscussion paperOther research output

Welke Vaste Dalingen en Welk Beleggingsbeleid Passen bij Gewenste Uitkeringsprofielen in Verbeterde Premieregelingen?

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 11 p. (Netspar Industry Paper; vol. Occasional 14/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
27 Downloads (Pure)
Report

De Bepaling van de Marktwaarde van Bestaande Aanspraken in een Uitkeringsovereenkomst

Nijman, T., Bovenberg, L., Werker, B., Lever, M., Kocken, T., van Hoogdalem, S., Bouwman, K., Bonenkamp, J., Balter, A. & Boeijen, D., 2019, Tilburg: NETSPAR. 34 p. (Netspar Occasional Paper; vol. 2019, no. 03)

Research output: Book/ReportReportProfessional

Open Access
File
43 Downloads (Pure)

De Laatste Loodjes voor de Discontocurve

Bovenberg, A. L., Kocken, T., Nijman, T. E., Oldenkamp, B., Potters, J. J. M., van Wijnbergen, S. J. G. & Werker, B. J. M., 2012, Tilburg: NETSPAR. 5 p. (Netspar Occasional Paper)

Research output: Book/ReportReportProfessional

Een toekomstperspectief voor premieovereenkomsten

Bakels, S., Bosboom, B-J., Dietvorst, G. J. B., Joseph, A., Kamminga, K., Meniar, M., Nijman, T. E., Steenkamp, T. & Werker, B. J. M., 19 May 2014, Tilburg: NETSPAR. 34 p. (NETSPAR Occasional Papers)

Research output: Book/ReportReportProfessional

Generatie-Effecten van Onjuiste Parameterinschattingen

de Jong, F., Potters, J., Werker, B. & Zeeman, R., 2015, Tilburg: NETSPAR. 34 p. (NETSPAR Opinion Paper; vol. 61)

Research output: Book/ReportReportProfessional

Open Access
File
16 Downloads (Pure)

Overgangseffecten bij Afschaffing Doorsneesystematiek: Een Gezamenlijk Rapport van CPB en Netspar

Lever, M., van Ewijk, C., Werker, B. & van Wijnbergen, S., 2017, Tilburg: NETSPAR. 14 p. (Netspar Occasional Paper ; vol. 03/2017)

Research output: Book/ReportReportProfessional

Open Access
File
24 Downloads (Pure)

The Effect of the Assumed Interest Rate and Smoothing on Variable Annuities 2

Balter, A. & Werker, B., 2017, Tilburg: NETSPAR. (NETSPAR Design Paper; vol. 81)

Research output: Book/ReportReportProfessional

Open Access

Voorwaardelijke Pensioenaanspraken: Over Waarderen, Beschermen, Communiceren en Beleggen

Bovenberg, A. L., Nijman, T. E. & Werker, B. J. M., 2012, Tilburg: NETSPAR. 15 p. (Netspar Occasional Paper)

Research output: Book/ReportReportProfessional

Welke Vaste Dalingen en Welk Beleggingsbeleid Passen bij Gewenste Uitkeringsprofielen in Verbeterde Premieregelingen?

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2017, Tilburg: NETSPAR. 43 p. (Netspar Design Paper; vol. 86)

Research output: Book/ReportReportProfessional

Working paper

The Option Value in Timing Derivative Trades

Drost, F., van der Heijden, T. G. E. & Werker, B., May 2015, Tilburg: SSRN, 52 p.

Research output: Working paperOther research output

Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

Gertsman, G., Frehen, R. & Werker, B., Nov 2019, (In preparation) SSRN, 49 p. (SSRN Journal).

Research output: Working paperOther research output

File
25 Downloads (Pure)