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Closing the GARCH gap: Continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J.M. - In: Journal of econometrics 74 (1996) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10006796324
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Semiparametric Duration Models
Drost, Feike C.; Werker, Bas J.M. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 40-50
Persistent link: https://www.econbiz.de/10008214954
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Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
Drost, Feike C.; Nijman, Theo E.; Werker, Bas J.M. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10008219288
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The Impact of Overnight Periods on Option Pricing
Boes, Mark-Jan; Drost, Feike C.; Werker, Bas J.M. - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 2, pp. 517
Persistent link: https://www.econbiz.de/10007759828
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Theory and Methods - Comment - Quantile Autoregression
Hallin, Marc; Werker, Bas J.M. - In: Journal of the American Statistical Association : JASA 101 (2006) 475, pp. 996-997
Persistent link: https://www.econbiz.de/10007292904
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SHORTER PAPERS - Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets
Roon, Frans A.De; Nijman, Theo E.; Werker, Bas J.M. - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 721-742
Persistent link: https://www.econbiz.de/10006565413
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Causality effects in return volatility measures with random times
Renault, Eric; Werker, Bas J.M. - In: Journal of econometrics 160 (2011) 1, pp. 272-280
Persistent link: https://www.econbiz.de/10008770538
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Short-horizon regulation for long-term investors
Shi, Zhen; Werker, Bas J.M. - In: Journal of banking & finance 36 (2012) 12, pp. 3227-3239
Persistent link: https://www.econbiz.de/10010026827
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Yet another look at mutual fund tournaments
Goriaev, Alexei; Nijman, Theo E.; Werker, Bas J.M. - In: Journal of empirical finance 12 (2005) 1, pp. 127-138
Persistent link: https://www.econbiz.de/10007225893
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A class of simple distribution-free rank-based unit root tests
Hallin, Marc; van den Akker, Ramon; Werker, Bas J.M. - In: Journal of econometrics 163 (2011) 2, pp. 200-215
Persistent link: https://www.econbiz.de/10009163368