prof. dr. Bas Werker

Bio

Bas Werker is 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, the Journal of Finance and the Review of Financial Studies. He's currently associate editor for the Journal of Econometrics and the Journal of Financial Econometrics. In the past he has been affiliated to Université de Sciences Sociales in Toulouse and the Université Libre de Bruxelles. 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 Econometrics and Netspar researcher coordinator. Bas Werker's societal research interests are in pension system design and data science applications.

Expertise

CV Bas Werker

Courses

• Quantitative Finance Basics
• Asset Pricing 1 (CentER)
• Advanced Time Series Analysis (CentER)
• Improving Society Lab for EOR
• Quantitative Finance
• Other Electives QFAS
• Career Development BSc EOR

Recent publications

1. When does subagging work?

   Revelas, C., Boldea, O., & Werker, B. J. M. (2024). When does subagging work? (pp. 1-29). (ArXiv Pre-print).

2. The shadow costs of illiquidity

   Jansen, K., & Werker, B. J. M. (2022). The shadow costs of illiquidity. Journal of Financial and Quantitative Analysis, 57(7), 2693-2723.

3. Pareto optimal pension risk allocations

   Muns, S., & Werker, B. J. M. (2022). Pareto optimal pension risk allocations. Economist-Netherlands, 170(1), 133-172.

4. Semiparametric testing with highly persistent predictors

   Werker, B. J. M., & Zhou, B. (2022). Semiparametric testing with highly persistent predictors. Journal of Econometrics, 227(2), 347-370. ,

5. Toedeling van Rendementen met Spreiding

   Balter, A., & Werker, B. J. M. (2021). Toedeling van Rendementen met Spreiding. (Netspar Design Paper; Vol. 2021). NETSPAR. https://www.netspar.nl/publicatie/toedeling-van-rendementen-met-spreiding/