Full Professor Econometrics and Finance
Tilburg School of Economics and Management
Econometrics and Operations Research
Bas Werker is a professor of Finance and Econometrics at Tilburg University. His research interests cover various fields in asset pricing and asymptotic statistics. He has published work in journals as the Annals of Statistics, the Journal of Econometrics, and the Journal of Finance and the Review of Financial Studies. In the past he has been affiliated to Université de Sciences Sociales in Toulouse and, from 1997-2000 the Université Libre de Bruxelles (ECARES). He has taught courses in econometrics, investment analysis, and statistics at both the undergraduate and graduate level in various schools around the world. Moreover he supervises several Ph.D. students. He is a Fellow of the Society for Financial Econometrrics, senior researcher at the CentER for Applied Research, Netspar research fellow, and chairman of the Department of Econometrics & Operations Research. Bas Werker is also author of the Tilburg Finance Tool. Bas Werker is also affiliated to the Duisenberg School of Finance.
Tilburg Finance Tool
Tilburg Finance Tool is an application to analyze financial markets. It is suited for educational purposes only. The current version is 1.1, which allows for financial markets analysis, portfolio analysis, and pension fund simulation.
In order to run Tilburg Finance Tool Java version 6.0 or above must be installed. Usually, this is already installed on your computer. If not, you can get the latest Java runtime for free from SUN here. For extensive simulations (30 year horizon, 10000 replications) a dual core processor with at least 3Gb memory is recommended.
When Java is installed, you can open the Tilburg Finance Tool installer by saving (that is, right-click on a windows machine and choose 'Save link as ...') the installer on your desktop and opening/launching it with Java Web Start (javaws.exe). The easiest way is to right-click and choose 'launch'.
Preprints are in PDF-format. Download Acrobat Reader here.
PhD in Financial Econometrics/Mathematical Statistics, 1995, Tilburg University
MSc in Econometrics, 1991, Tilburg University (Cum laude)
Mathematics, 1991, Eindhoven University of Technology
2001 - present
Professor of Econometrics and Finance, Tilburg University
2000 - 2001
Associate Professor of Econometrics and Finance, Tilburg University
1997 - 2000
Chargé de Cours Mathematical Statistics and Finance, Université Libre de Bruxelles
1996 - 1999
Assistent Professor of Econometrics, Tilburg University
Post-doc (TMR), Université des Sciences Sociales, Toulouse
1991 - 1995
Ph.D. Student, Tilburg University
1989 - 1991
Research Assistant Economics Institute, Tilburg University
COMPLETED PhD THESES
Jiehui Hu (Tilburg University), 17 December 2013, Macroeconomic Announcements and Financial Markets, with Peter de Goeij
Irene Gaia Becheri (Tilburg University), 21 December 2012, Limiting experiments for panel data and jump-diffusion models, with Feike C. Drost and Ramon van den Akker
Thijs van der Heijden(Tilburg University), 31 May 2011, Duration Models, Heterogeneous Beliefs, andOptimal Timing, with Feike C. Drost
Kim Peijnenburg(Tilburg University), 27 May 2011, Consumption, Savinds, and Investments over the Life Cycle, with Theo Nijman
Zhen Shi(Tilburg University), 18 December 20009, Three Essays in Pension Finance
Crina Pungulescu (Tilburg University), 10 Maart 2009, Essays on Financial Market Integration, with Frans de Roon
Viorel Roscovan (Tilburg University), 9 December 2008, Essays on Banking and Asset Pricing, with Steven Ongena
Ralph Koijen (Tilburg University), 16 April 2008, Essays on Asset Pricing, with Theo Nijman
Ramon van den Akker (Tilburg University), 7 November 2007, Integer-Valued Time Series, with Feike Drost
Mark-Jan Boes (Tilburg University) 13 January2006, Index Options: Pricing, Implied Densities, and Returns, with Feico Drost
Christel Bouquiaux (Université Libre de Bruxelles), 5 September 2005, Semiparametric Estimation for Extreme Values, with Jan Beirlant
Rob van den Goorbergh (Tilburg University), 19 May 2004, Essays on Optimal Hedging and Investment Strategies, and on Derivative Pricing, with Frans de Roon
Alexei Goriaev (Tilburg University), 22 November 2002, On the behavior of Mutual Fund Investors and Managers, with Theo Nijman
Mohamed Selmouni (Université Libre de Bruxelles), 22 October 2002, Estimation adaptative dans les modèles ARCH semi-parametrique avec une tendence linéaire, with Marc Hallin
Catherine Vermandele (Université Libre de Bruxelles), 9 September 2000, Semiparametrically Efficient Sign-and-Rank Methods for Median Regression and AR Models, with Marc Hallin
Current PhD PROJECTS
Ling Ni Boon over Pension systems and risk Management met Marie Brière en Carolle Gresse
Cisil Sarisoy over Factor models and Realized Volatility met Peter de Goeij
Jaroslav Pazdera on Risk sharing with Hans Schumacher
Bo Zhou on Non-LAN experiments with Ramon van den Akker
MICFINMA workshop on microstructure, Tilburg, the Netherlands, April 2004, with Feico Drost and David Veredas
20-ième Rencontre Franco-Belge des Statisticiens, November 1999, Brussels, Belgium, with Christophe Croux
Fourth workshop on Finance and Econometrics, Tilburg, the Netherlands, December 1995, with Frank de Jong and Theo Nijman
Chairman D66 Province of Brabant, December 2013 -Present.
Associate Editor Econometrics, July 2013 - Present.
Member of the Committee Survival Tables, Acturarial Society (AG), The Netherlands, October 2012 - Present.
Research Coordinator Netspar, April 2011 - Present.
Chairman D66 Tilburg, Summer 2010 - Present
Council Member, Society for Financial Econometrics, 2009 - Present.
Associate Editor Journal of Financial Econometrics, 2006 - Present.
Room K 624
PO Box 90153
5000 LE Tilburg
Full Professor Econometrics and Finance
Department of Finance
Last amended: 10 March 2014