EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES von Renault, Eric, Sarisoy, Cisil, Werker, Bas J.M.

Volltext

Bivariate option pricing using dynamic copula models von van den Goorbergh, Rob W.J., Genest, Christian, Werker, Bas J.M.

Volltext

Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models von Drost, Feike C, Akker, Ramon van den, Werker, Bas J.M

Volltext

Short-horizon regulation for long-term investors von Shi, Zhen, Werker, Bas J.M.

Volltext

Causality effects in return volatility measures with random times von Renault, Eric, Werker, Bas J.M.

Volltext

Closing the GARCH gap: Continuous time GARCH modeling von Drost, Feike C., Werker, Bas J.M.

Volltext

The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models von DROST, FEIKE C., VAN DEN AKKER, RAMON, WERKER, BAS J.M.

Volltext

A class of simple distribution-free rank-based unit root tests von Hallin, Marc, van den Akker, Ramon, Werker, Bas J.M.

Volltext

Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets von De Roon, Frans A., Nijman, Theo E., Werker, Bas J. M.

Volltext

HEALTH COST RISK: A POTENTIAL SOLUTION TO THE ANNUITY PUZZLE von Peijnenburg, Kim, Nijman, Theo, Werker, Bas J.M.

Volltext

Semiparametric testing with highly persistent predictors von Werker, Bas J.M., Zhou, Bo

Volltext

Semi-Parametric Efficiency, Distribution-Freeness and Invariance von Hallin, Marc, Bas J. M. Werker

Volltext

The annuity puzzle remains a puzzle von Peijnenburg, Kim, Nijman, Theo, Werker, Bas J.M.

Volltext

The Impact of Overnight Periods on Option Pricing von Boes, Mark-Jan, Drost, Feike C., Werker, Bas J. M.

Volltext

Note on integer-valued bilinear time series models von Drost, Feike C., van den Akker, Ramon, Werker, Bas J.M.

Volltext

Semiparametrically efficient inference based on signs and ranks for median-restricted models von Hallin, Marc, Vermandele, Catherine, Werker, Bas J. M.

Volltext

The Shadow Costs of Illiquidity von Jansen, Kristy A. E., Werker, Bas J. M.

Volltext

Yet another look at mutual fund tournaments von Goriaev, Alexei, Nijman, Theo E., Werker, Bas J.M.

Volltext

SEMIPARAMETRICALLY POINT-OPTIMAL HYBRID RANK TESTS FOR UNIT ROOTS von Zhou, Bo, van den Akker, Ramon, Werker, Bas J. M.

Volltext

Arbitrage Pricing Theory for Idiosyncratic Variance Factors von Renault, Eric, Van Der Heijden, Thijs, Werker, Bas J M

Volltext