Experts & Expertise

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prof. dr. B.J.M. Werker

Full ProfessorEconometrics 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.

Keywords

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).
Click here for the complete list of publications (Tilburg University Repository Publications only)
Last amended: 18 July 2014