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Details about Feike C. Drost

E-mail:
Homepage:http://center.uvt.nl/staff/drost/
Workplace:CentER for Economic Research, 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

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 (5)

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 (2)
  2. Note on integer-valued bilinear time series 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 (2007) Downloads View citations (2)

    See also Journal Article in Statistics & Probability Letters (2008)

2007

  1. The impact of overnight periods on option pricing
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (6)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2005) Downloads View citations (1)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)

2006

  1. An Asymptotic Analysis of Nearly Unstable inar (1) Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  2. Local Asymptotic Normality and Efficient Estimation for inar (P) Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2008)

2004

  1. Semiparametric duration models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (28)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2001) Downloads View citations (4)

    See also Journal Article in Journal of Business & Economic Statistics (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
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) Downloads

    See also Journal Article in Journal of Econometrics (1999)

1997

  1. Adaptive estimation in time-series models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (38)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) Downloads View citations (1)
    Working Papers, Tilburg - Center for Economic Research (1994) View citations (26)
  2. Efficient estimation in semiparametric GARCH models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (30)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1996) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (1997)
  3. Exchange rate target zones: A new approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)

1996

  1. Closing the GARCH gap: Continuous time GARCH modeling
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (72)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (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)
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1993

  1. A Note on Robinson's Test of Independence
    Working Papers, Tilburg - Center for Economic Research View citations (2)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) Downloads
  2. Temporal aggregation of GARCH processes
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (248)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1992) Downloads View citations (6)
    Working Papers, Tilburg - Center for Economic Research (1990) View citations (91)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads View citations (30)
    Working Papers, Tilburg - Center for Economic Research (1992) View citations (13)

    See also Journal Article in Econometrica (1993)

1988

  1. How to define UMVU
    Research Memorandum, Tilburg University, School of Economics and Management Downloads

Journal Articles

2016

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

2015

  1. ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES
    Econometric Theory, 2015, 31, (03), 539-559 Downloads View citations (2)

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 (6)

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 (1)
    See also Working Paper (2006)
  2. Note on integer-valued bilinear time series models
    Statistics & Probability Letters, 2008, 78, (8), 992-996 Downloads View citations (1)
    See also Working Paper (2008)

2007

  1. The Impact of Overnight Periods on Option Pricing
    Journal of Financial and Quantitative Analysis, 2007, 42, (02), 517-533 Downloads View citations (6)
    See also Working Paper (2007)

2004

  1. Semiparametric Duration Models
    Journal of Business & Economic Statistics, 2004, 22, (1), 40-50 View citations (31)
    See also Working Paper (2004)

1999

  1. Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
    Journal of Econometrics, 1999, 93, (1), 93-111 Downloads View citations (10)
    See also Working Paper (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 (24)
    See also Working Paper (1994)

1997

  1. Efficient estimation in semiparametric GARCH models
    Journal of Econometrics, 1997, 81, (1), 193-221 Downloads View citations (37)
    See also Working Paper (1997)

1996

  1. Closing the GARCH gap: Continuous time GARCH modeling
    Journal of Econometrics, 1996, 74, (1), 31-57 Downloads View citations (84)
    See also Working Paper (1996)

1993

  1. Temporal Aggregation of GARCH Processes
    Econometrica, 1993, 61, (4), 909-27 Downloads View citations (241)
    See also Working Paper (1993)

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
 
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