B.J.M. WerkerFull Professor Econometrics and Finance Tilburg School of Economics and Management Econometrics and Operations Research ExpertiseBas 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 ToolTilburg 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'. Key words PublicationsPrincipal publications
Click here for the complete list of publications (Tilburg University Repository Publications only) Working papers
Preprints are in PDF-format. Download Acrobat Reader here. Forthcoming papers
EducationPhD in Financial Econometrics/Mathematical Statistics, 1995, Tilburg University MSc in Econometrics, 1991, Tilburg University (Cum laude) Mathematics, 1991, Eindhoven University of Technology Career2001 - 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 1996 Post-doc (TMR), Université des Sciences Sociales, Toulouse 1991 - 1995 Ph.D. Student, Tilburg University 1989 - 1991 Research Assistant Economics Institute, Tilburg University
PublicationsPrincipal publications
Click here for the complete list of publications (Tilburg University Repository Publications only) Research supervisionCOMPLETED PhD THESES 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 Thijs van der Heijden on Market microstructure with Feico Drost Kim Peijnenburg on Annuitization with Theo Nijman Jiehui Hu on Announcements with Peter de Goeij Gaia Becheri on Affine models with Feico Drost Jaroslav Pazdera on Risk sharing with Hans Schumacher ConferencesMICFINMA 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
TeachingB.J.M. Werker teaches the following subjects:
Other activitiesAssociate editor Refereeing February 2008 - January 2013 Chairman Department of Econometrics and Operations Research September 2008 -September 2010 Program Director Duisenberg School of Finance May 2004 -January 2008 Chairman Department of Finance September 2002 - present Board member Tilburg Center of Finance January 2002 - September 2005 Track coordinator PhD/MPhil Program Finance April 2000 - November 2003 Research coordinator Finance group CentER
Contact details
Room K 627 PO Box 90153 5000 LE Tilburg
Full Professor Econometrics and Finance Department of Finance Last amended: 25 April 2013
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