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Details about Feike C. Drost

E-mail:
Homepage:http://center.uvt.nl/staff/drost/
Workplace:CentER Graduate School for Economics and Business, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

Access statistics for papers by Feike C. Drost.

Last updated 2017-08-22. Update your information in the RePEc Author Service.

Short-id: pdr46


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Working Papers

2019

  1. Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing
    Papers, arXiv.org Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2019) Downloads

2013

  1. Asymptotically UMP Panel Unit Root Tests
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

2009

  1. The asymptotic structure of nearly unstable non negative integer-valued AR(1) models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (9)

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 Downloads View citations (4)
  2. Note on integer-valued bilinear time series models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (6)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2007) Downloads View citations (4)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2007) Downloads

    See also Journal Article Note on integer-valued bilinear time series models, Statistics & Probability Letters, Elsevier (2008) Downloads View citations (6) (2008)

2007

  1. The impact of overnight periods on option pricing
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (13)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2005) Downloads View citations (1)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2005) Downloads

    See also Journal Article The Impact of Overnight Periods on Option Pricing, Journal of Financial and Quantitative Analysis, Cambridge University Press (2007) Downloads View citations (13) (2007)

2006

  1. An Asymptotic Analysis of Nearly Unstable inar (1) Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)
  2. Local Asymptotic Normality and Efficient Estimation for inar (P) Models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (2)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2006) Downloads View citations (2)

    See also Journal Article Local asymptotic normality and efficient estimation for INAR(p) models, Journal of Time Series Analysis, Wiley Blackwell (2008) Downloads View citations (6) (2008)

2004

  1. Semiparametric duration models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (43)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2001) Downloads View citations (7)
    Discussion Paper, Tilburg University, Center for Economic Research (2001) Downloads View citations (7)

    See also Journal Article Semiparametric Duration Models, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (45) (2004)

2000

  1. Efficient Estimation in Semiparametric Time Series: the ACD Model
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (4)

1998

  1. Efficiency comparisons of maximum likelihood-based estimators in garch models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) Downloads

    See also Journal Article Efficiency comparisons of maximum-likelihood-based estimators in GARCH models, Journal of Econometrics, Elsevier (1999) Downloads View citations (25) (1999)

1997

  1. Adaptive estimation in time-series models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (82)
    Also in Working Papers, Tilburg - Center for Economic Research (1994) View citations (31)
    Discussion Paper, Tilburg University, Center for Economic Research (1994) Downloads View citations (2)
  2. Efficient estimation in semiparametric GARCH models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (68)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1996) Downloads View citations (11)

    See also Journal Article Efficient estimation in semiparametric GARCH models, Journal of Econometrics, Elsevier (1997) Downloads View citations (76) (1997)
  3. Exchange rate target zones: A new approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997) Downloads

1996

  1. Closing the GARCH gap: Continuous time GARCH modeling
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (113)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) Downloads View citations (3)

    See also Journal Article Closing the GARCH gap: Continuous time GARCH modeling, Journal of Econometrics, Elsevier (1996) Downloads View citations (118) (1996)

1994

  1. Estimation and testing in models containing both jumps and conditional heteroskedasticity
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) Downloads View citations (2)

    See also Journal Article Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (30) (1998)
  2. Temporal aggregation of GARCH processes
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1992) Downloads View citations (6)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990) Downloads View citations (8)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads View citations (48)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1993) Downloads View citations (324)
    Working Papers, Tilburg - Center for Economic Research (1992) View citations (13)
    Discussion Paper, Tilburg University, Center for Economic Research (1992) Downloads View citations (6)
    Working Papers, Tilburg - Center for Economic Research (1990) View citations (95)

    See also Journal Article Temporal Aggregation of GARCH Processes, Econometrica, Econometric Society (1993) Downloads View citations (325) (1993)

1993

  1. A Note on Robinson's Test of Independence
    Working Papers, Tilburg - Center for Economic Research View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) Downloads View citations (1)

1988

  1. How to define UMVU
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Research Memorandum, Tilburg University, School of Economics and Management (1988) Downloads

Journal Articles

2016

  1. Asymptotic Inference for Jump Diffusions with State-Dependent Intensity
    Scandinavian Journal of Statistics, 2016, 43, (2), 520-542 Downloads View citations (1)
  2. The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
    Statistics & Probability Letters, 2016, 108, (C), 1-8 Downloads View citations (1)

2015

  1. ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES
    Econometric Theory, 2015, 31, (3), 539-559 Downloads View citations (5)

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 Downloads View citations (20)

2008

  1. Local asymptotic normality and efficient estimation for INAR(p) models
    Journal of Time Series Analysis, 2008, 29, (5), 783-801 Downloads View citations (6)
    See also Working Paper Local Asymptotic Normality and Efficient Estimation for inar (P) Models, Other publications TiSEM (2006) Downloads View citations (2) (2006)
  2. Note on integer-valued bilinear time series models
    Statistics & Probability Letters, 2008, 78, (8), 992-996 Downloads View citations (6)
    See also Working Paper Note on integer-valued bilinear time series models, Other publications TiSEM (2008) Downloads View citations (6) (2008)

2007

  1. The Impact of Overnight Periods on Option Pricing
    Journal of Financial and Quantitative Analysis, 2007, 42, (2), 517-533 Downloads View citations (13)
    See also Working Paper The impact of overnight periods on option pricing, Other publications TiSEM (2007) Downloads View citations (13) (2007)

2004

  1. Semiparametric Duration Models
    Journal of Business & Economic Statistics, 2004, 22, (1), 40-50 View citations (45)
    See also Working Paper Semiparametric duration models, Other publications TiSEM (2004) Downloads View citations (43) (2004)

1999

  1. Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
    Journal of Econometrics, 1999, 93, (1), 93-111 Downloads View citations (25)
    See also Working Paper Efficiency comparisons of maximum likelihood-based estimators in garch models, Discussion Paper (1998) Downloads View citations (1) (1998)

1998

  1. Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1998, 16, (2), 237-43 View citations (30)
    See also Working Paper Estimation and testing in models containing both jumps and conditional heteroskedasticity, Discussion Paper (1994) Downloads View citations (4) (1994)

1997

  1. Efficient estimation in semiparametric GARCH models
    Journal of Econometrics, 1997, 81, (1), 193-221 Downloads View citations (76)
    See also Working Paper Efficient estimation in semiparametric GARCH models, Other publications TiSEM (1997) Downloads View citations (68) (1997)

1996

  1. Closing the GARCH gap: Continuous time GARCH modeling
    Journal of Econometrics, 1996, 74, (1), 31-57 Downloads View citations (118)
    See also Working Paper Closing the GARCH gap: Continuous time GARCH modeling, Other publications TiSEM (1996) Downloads View citations (113) (1996)

1993

  1. Temporal Aggregation of GARCH Processes
    Econometrica, 1993, 61, (4), 909-27 Downloads View citations (325)
    See also Working Paper Temporal aggregation of GARCH processes, Other publications TiSEM (1994) Downloads (1994)

1990

  1. THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS
    Statistics & Risk Modeling, 1990, 8, (2), 167-182 Downloads View citations (1)
 
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