Bas J. M. Werker

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Person:169479

Available identifiers

zbMath Open werker.bas-j-mMaRDI QIDQ169479

List of research outcomes





PublicationDate of PublicationType
On Bounded Completeness and the $L_1$-Denseness of Likelihood Ratios2023-08-01Paper
THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES2020-02-03Paper
The annuity puzzle remains a puzzle2018-08-10Paper
The composite iteration algorithm for finding efficient and financially fair risk-sharing rules2017-09-14Paper
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES2017-05-16Paper
Cooperative investment in incomplete markets under financial fairness2016-12-14Paper
A class of simple distribution-free rank-based unit root tests2016-08-12Paper
Causality effects in return volatility measures with random times2016-08-10Paper
Asymptotic inference for jump diffusions with state-dependent intensity2016-06-29Paper
Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank2015-12-02Paper
On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result2015-06-24Paper
Residual-based rank specification tests for AR-GARCH type models2015-05-06Paper
Semiparametric Gaussian copula models: geometry and efficient rank-based estimation2014-12-12Paper
The dynamic mixed hitting-time model for multiple transaction prices and times2014-06-04Paper
GARCH and irregularly spaced data2013-01-07Paper
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models2012-10-16Paper
Optimal Annuity Risk Management*2011-11-15Paper
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models2010-11-15Paper
Local asymptotic normality and efficient estimation for INAR(p) models2010-04-22Paper
Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models2008-11-25Paper
Note on integer-valued bilinear time series models2008-06-11Paper
Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models2008-05-14Paper
Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity2006-06-21Paper
Semiparametric lower bounds for tail index estimation2006-01-10Paper
Bivariate option pricing using dynamic copula models2005-09-29Paper
https://portal.mardi4nfdi.de/entity/Q53173492005-09-16Paper
Semi-parametric efficiency, distribution-freeness and invariance2003-10-09Paper
Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes2001-07-30Paper
A convenient way to characterize equivalent martingale measures in incomplete markets2001-07-08Paper
Adaptive estimation in time-series models2000-08-02Paper
https://portal.mardi4nfdi.de/entity/Q42494591999-06-17Paper
https://portal.mardi4nfdi.de/entity/Q43565951997-10-01Paper
Closing the GARCH gap: Continuous time GARCH modeling1996-12-08Paper

Research outcomes over time

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