Details about Feike C. Drost

Access statistics for papers by Feike C. Drost.

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

Short-id: pdr46

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
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2019)

2013

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

2009

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

2008

4. 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 View citations (4)
5. Note on integer-valued bilinear time series models
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (6)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2007) View citations (4)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2007)
   See also Journal Article Note on integer-valued bilinear time series models, Statistics & Probability Letters, Elsevier (2008) View citations (6) (2008)

2007

6. The impact of overnight periods on option pricing
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (13)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2005)
   Discussion Paper, Tilburg University, Center for Economic Research (2005) View citations (1)
   See also Journal Article The Impact of Overnight Periods on Option Pricing, Journal of Financial and Quantitative Analysis, Cambridge University Press (2007) View citations (13) (2007)

2006

7. An Asymptotic Analysis of Nearly Unstable inar (1) Models
   Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
8. Local Asymptotic Normality and Efficient Estimation for inar (P) Models
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2006) 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) View citations (7) (2008)

2004

9. Semiparametric duration models
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (43)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2001) View citations (7)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2001) View citations (7)
   See also Journal Article Semiparametric Duration Models, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (45) (2004)

2000

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

1998

11. Efficiency comparisons of maximum likelihood-based estimators in garch models
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) View citations (1)
    See also Journal Article Efficiency comparisons of maximum-likelihood-based estimators in GARCH models, Journal of Econometrics, Elsevier (1999) View citations (25) (1999)

1997

12. Adaptive estimation in time-series models
    Other publications TiSEM, Tilburg University, School of Economics and Management 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) View citations (2)
13. Efficient estimation in semiparametric GARCH models
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (68)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1996) View citations (11)
    See also Journal Article Efficient estimation in semiparametric GARCH models, Journal of Econometrics, Elsevier (1997) View citations (76) (1997)
14. Exchange rate target zones: A new approach
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1997) View citations (2)

1996

15. Closing the GARCH gap: Continuous time GARCH modeling
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (113)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) View citations (3)
    See also Journal Article Closing the GARCH gap: Continuous time GARCH modeling, Journal of Econometrics, Elsevier (1996) View citations (118) (1996)

1994

16. Estimation and testing in models containing both jumps and conditional heteroskedasticity
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) 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)
17. Temporal aggregation of GARCH processes
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1992) View citations (6)
    Working Papers, Tilburg - Center for Economic Research (1992) View citations (13)
    Working Papers, Tilburg - Center for Economic Research (1990) View citations (95)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1993) View citations (325)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1992) View citations (6)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (8)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (48)
    See also Journal Article Temporal Aggregation of GARCH Processes, Econometrica, Econometric Society (1993) View citations (326) (1993)

1993

18. 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) View citations (1)

1988

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

Journal Articles

2016

1. Asymptotic Inference for Jump Diffusions with State-Dependent Intensity
   Scandinavian Journal of Statistics, 2016, 43, (2), 520-542 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 View citations (1)

2015

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

2009

4. 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 View citations (20)

2008

5. Local asymptotic normality and efficient estimation for INAR(p) models
   Journal of Time Series Analysis, 2008, 29, (5), 783-801 View citations (7)
   See also Working Paper Local Asymptotic Normality and Efficient Estimation for inar (P) Models, Other publications TiSEM (2006) View citations (2) (2006)
6. Note on integer-valued bilinear time series models
   Statistics & Probability Letters, 2008, 78, (8), 992-996 View citations (6)
   See also Working Paper Note on integer-valued bilinear time series models, Other publications TiSEM (2008) View citations (6) (2008)

2007

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

2004

8. 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) View citations (43) (2004)

1999

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

1998

10. 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) View citations (4) (1994)

1997

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

1996

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

1993

13. Temporal Aggregation of GARCH Processes
    Econometrica, 1993, 61, (4), 909-27 View citations (326)
    See also Working Paper Temporal aggregation of GARCH processes, Other publications TiSEM (1994) (1994)

1990

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