Bas J.M. Werker

13 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-9007-0755

Tilburg University Department of Econometrics and Operations Research

Publications

• The Shadow Costs of Illiquidity — Journal of Financial and Quantitative Analysis 2022
• Semiparametrically point-optimal hybrid rank tests for unit roots — The Annals of Statistics 2019
• Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation — The Annals of Statistics 2014
• Optimal Annuity Risk Management — Review of Finance 2011
• When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? — The Review of Financial Studies 2010
• 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) 2009
• Semiparametrically efficient inference based on signs and ranks for median-restricted models — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2008
• The Impact of Overnight Periods on Option Pricing — Journal of Financial and Quantitative Analysis 2007
• Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic normality — The Annals of Statistics 2006
• Comment — Journal of the American Statistical Association 2006
• Comment — Journal of the American Statistical Association 2006
• Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets — The Journal of Finance 2001
• Adaptive estimation in time-series models — The Annals of Statistics 1997