| Testing for mean‐variance spanning with short sales constraints and transaction costs: The case of emerging markets FA De Roon, TE Nijman, BJM Werker The Journal of Finance 56 (2), 721-742, 2001 | 393 | 2001 |
| Closing the GARCH gap: Continuous time GARCH modeling FC Drost, BJM Werker Journal of Econometrics 74 (1), 31-57, 1996 | 355 | 1996 |
| Bivariate option pricing using dynamic copula models RWJ Van den Goorbergh, C Genest, BJM Werker Insurance: Mathematics and Economics 37 (1), 101-114, 2005 | 217 | 2005 |
| When can life cycle investors benefit from time-varying bond risk premia? RSJ Koijen, TE Nijman, BJM Werker The review of financial studies 23 (2), 741-780, 2010 | 202 | 2010 |
| Adaptive estimation in time-series models FC Drost, CAJ Klaassen, BJM Werker The Annals of Statistics 25 (2), 786-817, 1997 | 198 | 1997 |
| Yet another look at mutual fund tournaments A Goriaev, TE Nijman, BJM Werker Journal of Empirical Finance 12 (1), 127-137, 2005 | 123 | 2005 |
| Semi-parametric efficiency, distribution-freeness and invariance M Hallin, BJM Werker Bernoulli 9 (1), 137-165, 2003 | 118 | 2003 |
| Optimal annuity risk management RSJ Koijen, TE Nijman, BJM Werker Review of Finance 15 (4), 799-833, 2011 | 115 | 2011 |
| Semiparametric duration models FC Drost, BJM Werker Journal of Business & Economic Statistics 22 (1), 40-50, 2004 | 109 | 2004 |
| Health cost risk: A potential solution to the annuity puzzle K Peijnenburg, T Nijman, BJM Werker The Economic Journal 127 (603), 1598-1625, 2017 | 105 | 2017 |
| The annuity puzzle remains a puzzle K Peijnenburg, T Nijman, BJM Werker Journal of Economic Dynamics and Control 70, 18-35, 2016 | 104 | 2016 |
| Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models C Genest, BJM Werker Distributions with given marginals and statistical modelling, 103-112, 2002 | 102 | 2002 |
| Estimation and testing in models containing both jumps and conditional heteroscedasticity FC Drost, TE Nijman, BJM Werker Journal of Business & Economic Statistics 16 (2), 237-243, 1998 | 89 | 1998 |
| Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models FC Drost, R Van den Akker, BJM Werker Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2009 | 86 | 2009 |
| Currency hedging for international stock portfolios: The usefulness of mean–variance analysis FA De Roon, TE Nijman, BJM Werker Journal of Banking & Finance 27 (2), 327-349, 2003 | 83 | 2003 |
| Optimal testing for semi-parametric AR models-from Gaussian Lagrange multipliers to autoregression rank scores and adaptive tests B WERKER, M Hallin Asymptotic Nonparametrics and Time Series, 295-350, 1999 | 64 | 1999 |
| Semiparametric lower bounds for tail index estimation J Beirlant, C Bouquiaux, BJM Werker Journal of Statistical Planning and inference 136 (3), 705-729, 2006 | 63 | 2006 |
| A jump‐diffusion model for exchange rates in a target zone F De Jong, FC Drost, BJM Werker Statistica Neerlandica 55 (3), 270-300, 2001 | 63 | 2001 |
| Causality effects in return volatility measures with random times E Renault, BJM Werker Journal of Econometrics 160 (1), 272-279, 2011 | 60 | 2011 |
| GARCH and irregularly spaced data N Meddahi, E Renault, B Werker Economics Letters 90 (2), 200-204, 2006 | 50 | 2006 |
