← All authors Bas J. M. Werker Tilburg University (from arXiv:2505.13897, 2025) · ORCID · OpenAlex
51 papers in scope · 50 published · 3 on the econ.EM arXiv · 2,115 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Bo Zhou Keisuke Hirano Christis Katsouris Karun Adusumilli Ramon Van den Akker Yang Zu Jack R. Porter H. Peter Boswijk Isaiah Andrews Jun Yu Jiafeng Chen Torben G. Andersen Abhi Vemulapati Viktor Todorov Iliyan Georgiev J. B. Kemper Davud Rostam-Afschar Anders Rahbek Bo Zhou Yan Xu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 51)
Revisiting the bond premium puzzle: a robustness approach
published 2026 · Quantitative Finance
with Ferenc Horváth, Frank de Jong
working paper 2025 · arXiv
Linear Factor Models and the Estimation of Expected Returns
published 2024 · Finance and Economics Discussion Series · 4 citations · first circulated 2016
with Cisil Sarisoy, Peter de Goeij
On Bounded Completeness and The $$L_1$$-Denseness of Likelihood Ratios
published 2023 · Sankhya A
The Shadow Costs of Illiquidity
published 2022 · Journal of Financial and Quantitative Analysis · 6 citations
with Kristy A.E. Jansen
Arbitrage Pricing Theory for Idiosyncratic Variance Factors
published 2022 · Journal of Financial Econometrics · 14 citations · first circulated 2017
with Éric Renault, Thijs van der Heijden
Pareto Optimal Pension Risk Allocations
published 2022 · De Economist · 1 citations
with Sander Muns
published 2021 · Journal of Econometrics · 4 citations · first circulated 2018
THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES
published 2019 · Astin Bulletin · 6 citations
with Anne Balter
published 2019 · The Annals of Statistics · 10 citations · first circulated 2016
The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
published 2017 · Journal of Mathematical Economics · 17 citations
with Jaroslav Pazdera, Johannes Schumacher
Cooperative investment in incomplete markets under financial fairness
published 2016 · Insurance Mathematics and Economics · 11 citations
with Jaroslav Pazdera, Johannes Schumacher
The annuity puzzle remains a puzzle
published 2016 · Journal of Economic Dynamics and Control · 81 citations · first circulated 2011
with Kim Peijnenburg, Theo Nijman
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
published 2016 · Econometric Theory · 32 citations · first circulated 2013
with Éric Renault, Cisil Sarisoy
Health Cost Risk: A Potential Solution To the Annuity Puzzle
published 2015 · The Economic Journal · 70 citations · first circulated 2011
with Kim Peijnenburg, Theo Nijman
Asymptotic Inference for Jump Diffusions with State‐Dependent Intensity
published 2015 · Scandinavian Journal of Statistics · 2 citations
Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
published 2015 · Journal of Econometrics · 12 citations · first circulated 2013
Residual-based rank specification tests for AR–GARCH type models
published 2014 · Journal of Econometrics · 15 citations · first circulated 2013
with Elena Andreou
Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation
published 2014 · The Annals of Statistics · 22 citations · first circulated 2013
The dynamic mixed hitting-time model for multiple transaction prices and times
published 2014 · Journal of Econometrics · 14 citations · first circulated 2012
with Éric Renault, Thijs van der Heijden
Short-horizon regulation for long-term investors
published 2012 · Journal of Banking & Finance · 34 citations
with Zhen Shi
A class of simple distribution-free rank-based unit root tests
published 2011 · Journal of Econometrics · 22 citations · first circulated 2010
An Alternative Asymptotic Analysis of Residual-Based Statistics
published 2010 · The Review of Economics and Statistics · 20 citations · first circulated 2003
with Elena Andreou, Eleni Andreou
Optimal Annuity Risk Management
published 2010 · European Finance Review · 86 citations · first circulated 2009
with Ralph S. J. Koijen, Theo Nijman
Causality effects in return volatility measures with random times
published 2010 · Journal of Econometrics · 62 citations
with Éric Renault
When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
published 2009 · Review of Financial Studies · 144 citations · first circulated 2007
with Ralph S. J. Koijen, Theo Nijman
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
published 2009 · Bernoulli · 22 citations
Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR( p ) Models
published 2008 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 76 citations · first circulated 2007
Local asymptotic normality and efficient estimation for INAR( p ) models
published 2008 · Journal of Time Series Analysis · 35 citations · first circulated 2006
Semiparametrically efficient inference based on signs and ranks for median-restricted models Series B Statistical methodology
published 2008 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 8 citations · first circulated 2004
Performance information dissemination in the mutual fund industry
published 2007 · Journal of Financial Markets · 27 citations
with Alexei Goriaev, Theo Nijman
Note on integer-valued bilinear time series models
published 2007 · Statistics & Probability Letters · 6 citations · first circulated 2003
The Impact of Overnight Periods on Option Pricing
published 2007 · Journal of Financial and Quantitative Analysis · 29 citations · first circulated 2004
Comment
published 2006 · Journal of the American Statistical Association
Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic normality
published 2006 · The Annals of Statistics · 15 citations
GARCH and irregularly spaced data
published 2005 · Economics Letters · 41 citations · first circulated 2003
Bivariate option pricing using dynamic copula models
published 2005 · Insurance Mathematics and Economics · 129 citations · first circulated 2003
with R.W.J. van den Goorbergh, Christian Genest, Rob van den Goorbergh
Semiparametric lower bounds for tail index estimation
published 2004 · Journal of Statistical Planning and Inference · 39 citations · first circulated 2001
with Jan Beirlant, Christel Bouquiaux
Yet another look at mutual fund tournaments
published 2004 · Journal of Empirical Finance · 75 citations
with Alexei Goriaev, Theo Nijman
Semiparametric Duration Models
published 2004 · Journal of Business and Economic Statistics · 88 citations
Dynamic factor models
published 2003 · Journal of Econometrics · 12 citations
with Christophe Croux, Éric Renault
Semi-parametric efficiency, distribution-freeness and invariance
published 2003 · Bernoulli · 110 citations
Currency hedging for international stock portfolios: The usefulness of mean–variance analysis
published 2003 · Journal of Banking & Finance · 63 citations
with F.A. de Roon, Theo Nijman
A Jump‐diffusion Model for Exchange Rates in a Target Zone
published 2001 · Statistica Neerlandica · 54 citations
Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets
published 2001 · The Journal of Finance · 308 citations · first circulated 1998
Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
published 2000 · Journal of Statistical Planning and Inference · 6 citations
Currency Hedging for International Stock Portfolios
published 2000 · ERIM Report Series Research in Management
with Frans de Roon, Theo Nijman
no link
A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets
published 1999 · Statistical Inference for Stochastic Processes · 3 citations
with Bertrand Melenberg
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
published 1998 · Journal of Business and Economic Statistics · 48 citations
Adaptive estimation in time-series models
published 1997 · The Annals of Statistics · 5 citations
Closing the GARCH gap: Continuous time GARCH modeling
published 1996 · Journal of Econometrics · 227 citations · first circulated 1994
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