Bas J. M. Werker

Available identifiers

zbMath Open werker.bas-j-mMaRDI QIDQ169479

List of research outcomes

Publication	Date of Publication	Type
On Bounded Completeness and the $L_1$-Denseness of Likelihood Ratios	2023-08-01	Paper
THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES	2020-02-03	Paper
The annuity puzzle remains a puzzle	2018-08-10	Paper
The composite iteration algorithm for finding efficient and financially fair risk-sharing rules	2017-09-14	Paper
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES	2017-05-16	Paper
Cooperative investment in incomplete markets under financial fairness	2016-12-14	Paper
A class of simple distribution-free rank-based unit root tests	2016-08-12	Paper
Causality effects in return volatility measures with random times	2016-08-10	Paper
Asymptotic inference for jump diffusions with state-dependent intensity	2016-06-29	Paper
Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank	2015-12-02	Paper
On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result	2015-06-24	Paper
Residual-based rank specification tests for AR-GARCH type models	2015-05-06	Paper
Semiparametric Gaussian copula models: geometry and efficient rank-based estimation	2014-12-12	Paper
The dynamic mixed hitting-time model for multiple transaction prices and times	2014-06-04	Paper
GARCH and irregularly spaced data	2013-01-07	Paper
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models	2012-10-16	Paper
Optimal Annuity Risk Management*	2011-11-15	Paper
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models	2010-11-15	Paper
Local asymptotic normality and efficient estimation for INAR(p) models	2010-04-22	Paper
Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models	2008-11-25	Paper
Note on integer-valued bilinear time series models	2008-06-11	Paper
Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models	2008-05-14	Paper
Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity	2006-06-21	Paper
Semiparametric lower bounds for tail index estimation	2006-01-10	Paper
Bivariate option pricing using dynamic copula models	2005-09-29	Paper
https://portal.mardi4nfdi.de/entity/Q5317349	2005-09-16	Paper
Semi-parametric efficiency, distribution-freeness and invariance	2003-10-09	Paper
Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes	2001-07-30	Paper
A convenient way to characterize equivalent martingale measures in incomplete markets	2001-07-08	Paper
Adaptive estimation in time-series models	2000-08-02	Paper
https://portal.mardi4nfdi.de/entity/Q4249459	1999-06-17	Paper
https://portal.mardi4nfdi.de/entity/Q4356595	1997-10-01	Paper
Closing the GARCH gap: Continuous time GARCH modeling	1996-12-08	Paper

Research outcomes over time

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