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B.J.M. Werker


Full Professor Econometrics and Finance

Tilburg School of Economics and Management
Econometrics and Operations Research

 

Expertise

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'.


Key words

Publications

Principal publications
  • Please click here to view my forthcoming papers.
  • Renault, E, Van der Heijden, T. & Werker, B.J.M. (2014), The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times, Journal of Econometrics.
  • Andreou, E. & Werker, B.J.M. (2010). An Alternative Asymptotic Analysis of Residual-Based Statistics, Economics and Statistics 94, 88-99.
  • Akker, R., Hallin, M., & Werker, B.J.M. (2011). A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests, Journal of Econometrics 163, 200-214.
  • Koijen, R.S.J., Nijman, Th.E., & Werker, B.J.M. (2010). When Can Life-cycle Investors Benefit from Time-varying Bond Risk Premia? Review of Financial Studies, Issue 23 (2).

Other publications PDF

 

Education

PhD in Financial Econometrics/Mathematical Statistics, 1995, Tilburg University

MSc in Econometrics, 1991, Tilburg University (Cum laude)

Mathematics, 1991, Eindhoven University of Technology

Career

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

1996

Post-doc (TMR), Université des Sciences Sociales, Toulouse

1991 - 1995

Ph.D. Student, Tilburg University

1989 - 1991

Research Assistant Economics Institute, Tilburg University

Publications

Principal publications
  • Please click here to view my forthcoming papers.
  • Renault, E, Van der Heijden, T. & Werker, B.J.M. (2014), The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times, Journal of Econometrics.
  • Andreou, E. & Werker, B.J.M. (2010). An Alternative Asymptotic Analysis of Residual-Based Statistics, Economics and Statistics 94, 88-99.
  • Akker, R., Hallin, M., & Werker, B.J.M. (2011). A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests, Journal of Econometrics 163, 200-214.
  • Koijen, R.S.J., Nijman, Th.E., & Werker, B.J.M. (2010). When Can Life-cycle Investors Benefit from Time-varying Bond Risk Premia? Review of Financial Studies, Issue 23 (2).

Other publications PDF

Research supervision

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

Conferences

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

 

Teaching


B.J.M. Werker teaches the following subjects:

Other activities

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.

Contact details
Room K 624
PO Box 90153
5000 LE Tilburg 
Phone+31 13 466 2532
Secretary+31 13 466 2430
Fax +31 13 466 3280
Email b.j.m.werker@tilburguniversity.edu

Full Professor Econometrics and Finance
Tilburg School of Economics and Management
Econometrics and Operations Research

Additional information

Department of Finance

Last amended: 27 March 2014

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