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prof. dr. B.J.M. Werker

Full Professor Econometrics and Finance

Tilburg School of Economics and Management
Econometrics and Operations Research

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 the program on your desktop and opening/launching it. This will run the program.

The source can be found here.

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 researcher coordinator. Bas Werker is also author of the Tilburg Finance Tool.

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Principal publications

  • Please click here to view my forthcoming papers. Seger, J.J.J., Akker, R. Werker, B.J.M. (2014), Semiparametric Gaussian Copula Models: Geometry and Efficient Rank-Based Estimation, The Annals of Statistics 42,5, 1911 -1940.
  • 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 a list of publications in PDF format PDF

Click here for the list of publications in the Research Portal

Last amended: 31 October 2014