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Optimal portfolio choice with annuitization
Koijen, Ralph S. J. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003364130
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An asymptotic analysis of nearly unstable INAR (1) models
Drost, Feike C. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003331627
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Local asymptotic normality and efficient estimation for INAR (P) models
Drost, Feike C. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003331631
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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. 517-533
Persistent link: https://www.econbiz.de/10003484188
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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models
Drost, Feike C. (contributor);  … - 2008 - Rev. version of CentER Discussion Paper 2007-23
Persistent link: https://www.econbiz.de/10003752414
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When can life cycle investors benefit from time-varying bond risk premia?
Koijen, Ralph S. J.; Nijman, Theodore E.; Werker, Bas J. M. - In: The review of financial studies 23 (2010) 2, pp. 741-780
Persistent link: https://www.econbiz.de/10003941685
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Improving upon the marginal empirical distribuition functions when the copula is known
Segers, Johan (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003736683
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Martingale-based hedge error control
Bossaerts, Peter L.; Werker, Bas J. M. - In: Numerical methods in finance, (pp. 290-304). 2008
Persistent link: https://www.econbiz.de/10003723954
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Performance information dissemination in the mutual fund industry
Goriaev, Aleksej P.; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of financial markets 11 (2008) 2, pp. 144-159
Persistent link: https://www.econbiz.de/10003710541
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Note on integer-valued bilinear time series models
Drost, Feike C. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003656746