Details about Feike C. Drost

Access statistics for papers by Feike C. Drost.

Last updated 2009-06-30. Update your information in the RePEc Author Service.

Short-id: pdr46

Working Papers

2008

1. Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)
   Discussion Paper, Tilburg University, Center for Economic Research

2007

2. Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)
   Discussion Paper, Tilburg University, Center for Economic Research
3. Note on Integer-Valued Bilinear Time Series Models
   Discussion Paper, Tilburg University, Center for Economic Research
   See also Journal Article in Statistics & Probability Letters (2008)

2006

4. An asymptotic analysis of nearly unstable inar (1) models
   Discussion Paper, Tilburg University, Center for Economic Research
5. Local asymptotic normality and efficient estimation for inar (P) models
   Discussion Paper, Tilburg University, Center for Economic Research View citations
   See also Journal Article in Journal of Time Series Analysis (2008)

2005

6. The impact of overnight periods on option pricing
   Discussion Paper, Tilburg University, Center for Economic Research
   See also Journal Article in Journal of Financial and Quantitative Analysis (2007)

2001

7. Semiparametric duration models
   Discussion Paper, Tilburg University, Center for Economic Research View citations
   See also Journal Article in Journal of Business & Economic Statistics (2004)

2000

8. Efficient Estimation in Semiparametric Time Series: the ACD Model
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations

1996

9. Efficient estimation in semiparametric GARCH models
   Discussion Paper, Tilburg University, Center for Economic Research
   See also Journal Article in Journal of Econometrics (1997)

1994

10. Adaptive Estimation in Time Series Models
    Working Papers, Tilburg - Center for Economic Research View citations
11. Estimation and Testing in Models Containing Both Jumps and Conditional Heteroskedasticity
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1993

12. A Note on Robinson's Test of Independence
    Working Papers, Tilburg - Center for Economic Research View citations

1992

13. Temporal Aggregation of Garch Processes
    Working Papers, Tilburg - Center for Economic Research View citations
    Also in Working Papers, Tilburg - Center for Economic Research (1990) View citations
    See also Journal Article in Econometrica (1993)

Journal Articles

2009

1. Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR("p") models
   Journal Of The Royal Statistical Society Series B, 2009, 71, (2), 467-485

2008

2. Local asymptotic normality and efficient estimation for INAR(p) models
   Journal of Time Series Analysis, 2008, 29, (5), 783-801
   See also Working Paper (2006)
3. Note on integer-valued bilinear time series models
   Statistics & Probability Letters, 2008, 78, (8), 992-996
   See also Working Paper (2007)

2007

4. The Impact of Overnight Periods on Option Pricing
   Journal of Financial and Quantitative Analysis, 2007, 42, (02), 517-533
   See also Working Paper (2005)

2004

5. Semiparametric Duration Models
   Journal of Business & Economic Statistics, 2004, 22, (1), 40-50 View citations
   See also Working Paper (2001)

1999

6. Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
   Journal of Econometrics, 1999, 93, (1), 93-111 View citations

1998

7. Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
   Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations
   See also Working Paper (1994)

1997

8. Efficient estimation in semiparametric GARCH models
   Journal of Econometrics, 1997, 81, (1), 193-221 View citations
   See also Working Paper (1996)

1996

9. Closing the GARCH gap: Continuous time GARCH modeling
   Journal of Econometrics, 1996, 74, (1), 31-57 View citations

1993

10. Temporal Aggregation of GARCH Processes
    Econometrica, 1993, 61, (4), 909-27 View citations
    See also Working Paper (1992)