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Information about:
Feike C. Drost

Personal Details | Affiliation | Works
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Personal Details

First Name: Feike C.
Middle Name:
Last Name: Drost
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RePEc Short-ID: pdr46

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Homepage: http://center.uvt.nl/staff/drost/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2008. "Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)," Discussion Paper 2008-53, Tilburg University, Center for Economic Research. [Downloadable!]

  2. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2007. "Note on Integer-Valued Bilinear Time Series Models," Discussion Paper 2007-47, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  3. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2007. "Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)," Discussion Paper 2007-23, Tilburg University, Center for Economic Research.

  4. Drost, Feike C. & Akker, Ramon van den & Werker, Bas J.M., 2006. "Local asymptotic normality and efficient estimation for inar (P) models," Discussion Paper 45, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  5. Drost, Feike C. & Akker, Ramon van den & Werker, Bas J.M., 2006. "An asymptotic analysis of nearly unstable inar (1) models," Discussion Paper 44, Tilburg University, Center for Economic Research. [Downloadable!]

  6. Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J.M., 2005. "The impact of overnight periods on option pricing," Discussion Paper 1, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  7. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric duration models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  8. Feike C. Drost & Bas J. M. Werker, 2000. "Efficient Estimation in Semiparametric Time Series: the ACD Model," Econometric Society World Congress 2000 Contributed Papers 0836, Econometric Society. [Downloadable!]

  9. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient estimation in semiparametric GARCH models," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  10. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and Testing in Models Containing Both Jumps and Conditional Heteroskedasticity," Discussion Paper 105, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  11. Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.

  12. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.

  13. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
    Other versions:
    Published as:

Articles

  1. Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR("p") models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485. [Downloadable!] (restricted)

  2. Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008. "Note on integer-valued bilinear time series models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June. [Downloadable!] (restricted)
    Other versions:

  3. Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(5), pages 783-801, 09. [Downloadable!] (restricted)
    Other versions:

  4. Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007. "The Impact of Overnight Periods on Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(02), pages 517-533, June. [Downloadable!]
    Other versions:

  5. Drost, Feike C & Werker, Bas J M, 2004. "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
    Other versions:

  6. Gonzalez-Rivera, Gloria & Drost, Feike C., 1999. "Efficiency comparisons of maximum-likelihood-based estimators in GARCH models," Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November. [Downloadable!] (restricted)

  7. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-43, April.
    Other versions:

  8. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November. [Downloadable!] (restricted)
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  9. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September. [Downloadable!] (restricted)

  10. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July. [Downloadable!] (restricted)
    Other versions:

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (5) 2001-04-11 2006-05-27 2006-05-27 2007-04-09 2007-09-02 Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2006-05-27 2006-05-27 2007-09-02 2008-06-21 Author is listed
  3. NEP-FIN: Finance (1) 2005-03-06
  4. NEP-FMK: Financial Markets (1) 2005-03-06
  5. NEP-RMG: Risk Management (1) 2005-03-06
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This page was last updated on 2009-10-30.

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