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Werker, Bas J. M.
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Journal of econometrics
Discussion paper / Center for Economic Research, Tilburg University
67
Discussion Paper / Tilburg University, Center for Economic Research
31
Insurance / Mathematics & economics
9
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1
Dynamic factor models
Croux, Christophe
;
Renault, Eric
;
Werker, Bas
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 223-230
Persistent link: https://www.econbiz.de/10006757708
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2
Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.
;
Werker, Bas J. M.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10001755360
Saved in:
3
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
4
The dynamic mixed hitting-time model for multiple transaction prices and times
Renault, Eric
;
Heijden, Thijs van der
;
Werker, Bas J. M.
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 233-250
Persistent link: https://www.econbiz.de/10010433364
Saved in:
5
A class of simple distribution-free-rank-based unit root tests
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
- In:
Journal of econometrics
163
(
2011
)
2
,
pp. 200-214
Persistent link: https://www.econbiz.de/10009270609
Saved in:
6
Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
Saved in:
7
Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena
;
Werker, Bas J. M.
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
Saved in:
8
Semiparametric testing with highly persistent predictors
Werker, Bas J. M.
;
Zhou, Bo
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 347-370
Persistent link: https://www.econbiz.de/10013442061
Saved in:
9
Testing affine term structure models in case of transaction costs
Driessen, Joost
;
Melenberg, Bertrand
;
Nijman, Theo
- In:
Journal of econometrics
126
(
2005
)
1
,
pp. 201
Persistent link: https://www.econbiz.de/10006749124
Saved in:
10
Estimation of a censored regression panel data model using conditional moment restrictions efficiently
Charlier, Erwin
;
Melenberg, Bertrand
;
Soest, Arthur van
- In:
Journal of econometrics
95
(
2000
)
1
,
pp. 25-56
Persistent link: https://www.econbiz.de/10001432515
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