Bivariate option pricing using dynamic copula models
van den Goorbergh, Rob W.J., Genest, Christian, Werker, Bas J.M.
Published in Insurance, mathematics & economics (01.08.2005)
Published in Insurance, mathematics & economics (01.08.2005)
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Journal Article
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models
Drost, Feike C, Akker, Ramon van den, Werker, Bas J.M
Published in Journal of the Royal Statistical Society. Series B, Statistical methodology (01.04.2009)
Published in Journal of the Royal Statistical Society. Series B, Statistical methodology (01.04.2009)
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Journal Article
A class of simple distribution-free rank-based unit root tests
Hallin, Marc, van den Akker, Ramon, Werker, Bas J.M.
Published in Journal of econometrics (01.08.2011)
Published in Journal of econometrics (01.08.2011)
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Journal Article
The Impact of Overnight Periods on Option Pricing
Boes, Mark-Jan, Drost, Feike C., Werker, Bas J. M.
Published in Journal of financial and quantitative analysis (01.06.2007)
Published in Journal of financial and quantitative analysis (01.06.2007)
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Journal Article
Note on integer-valued bilinear time series models
Drost, Feike C., van den Akker, Ramon, Werker, Bas J.M.
Published in Statistics & probability letters (01.06.2008)
Published in Statistics & probability letters (01.06.2008)
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Journal Article
Performance information dissemination in the mutual fund industry
Goriaev, Alexei, Nijman, Theo E., Werker, Bas J.M.
Published in Journal of financial markets (Amsterdam, Netherlands) (01.05.2008)
Published in Journal of financial markets (Amsterdam, Netherlands) (01.05.2008)
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Journal Article
Currency hedging for international stock portfolios: The usefulness of mean–variance analysis
de Roon, Frans A., Nijman, Theo E., Werker, Bas J.M.
Published in Journal of banking & finance (01.02.2003)
Published in Journal of banking & finance (01.02.2003)
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Journal Article
HEALTH COST RISK: A POTENTIAL SOLUTION TO THE ANNUITY PUZZLE
Peijnenburg, Kim, Nijman, Theo, Werker, Bas J.M.
Published in The Economic journal (London) (01.08.2017)
Published in The Economic journal (London) (01.08.2017)
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Journal Article
The annuity puzzle remains a puzzle
Peijnenburg, Kim, Nijman, Theo, Werker, Bas J.M.
Published in Journal of economic dynamics & control (01.09.2016)
Published in Journal of economic dynamics & control (01.09.2016)
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Journal Article
The Shadow Costs of Illiquidity
Jansen, Kristy A. E., Werker, Bas J. M.
Published in Journal of financial and quantitative analysis (01.11.2022)
Published in Journal of financial and quantitative analysis (01.11.2022)
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Journal Article
Arbitrage Pricing Theory for Idiosyncratic Variance Factors
Renault, Eric, Van Der Heijden, Thijs, Werker, Bas J M
Published in Journal of financial econometrics (15.11.2023)
Published in Journal of financial econometrics (15.11.2023)
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Journal Article
THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES
Balter, Anne G., Werker, Bas J. M.
Published in ASTIN Bulletin : The Journal of the IAA (01.01.2020)
Published in ASTIN Bulletin : The Journal of the IAA (01.01.2020)
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Journal Article