Advanced Search
MyIDEAS: Login to follow this author

Feike C. Drost

Contents:

This is information that was supplied by Feike C. Drost in registering through RePEc. If you are Feike C. Drost , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Feike C.
Middle Name:
Last Name: Drost
Suffix:

RePEc Short-ID: pdr46

Email:
Homepage: http://center.uvt.nl/staff/drost/
Postal Address:
Phone:

Affiliation

CentER for Economic Research
Universiteit van Tilburg
Location: Tilburg, Netherlands
Homepage: http://center.uvt.nl/
Email:
Phone: 31 13 4663050
Fax: 31 13 4663066
Postal: P.O. Box 90153, 5000 LE Tilburg
Handle: RePEc:edi:cekubnl (more details at EDIRC)

Works

as in new window

Working papers

  1. Becheri, I.G. & Drost, F.C. & Akker, R. van den, 2013. "Asymptotically UMP Panel Unit Root Tests," Discussion Paper 2013-017, Tilburg University, Center for Economic Research.
  2. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3106433, Tilburg University.
  3. 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.
  4. 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.
  5. 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.
  6. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.
  7. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2006. "Local Asymptotic Normality and Efficient Estimation for inar (P) Models," Discussion Paper 2006-45, Tilburg University, Center for Economic Research.
  8. Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005. "The Impact of Overnight Periods on Option Pricing," Discussion Paper 2005-1, Tilburg University, Center for Economic Research.
  9. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.
  10. 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.
  11. González-Rivera, G. & Drost, F.C., 1998. "Efficiency Comparisons of Maximum Likelihood-Based Estimators in GARCH Models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
  12. Jong, F.C.J.M. de & Drost, F.C. & Werker, B.J.M., 1997. "Exchange rate target zones: A new approach," Discussion Paper 97.04, Tilburg University, Center for Economic Research.
  13. Jong, F.C.J.M. de & Drost, F.C. & Werker, B.J.M., 1997. "A Jump-Diffusion Model for Exchange-Rates in a Target Zone," Open Access publications from Tilburg University urn:nbn:nl:ui:12-74188, Tilburg University.
  14. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
  15. Werker, B.J.M. & Drost, F.C., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Open Access publications from Tilburg University urn:nbn:nl:ui:12-72561, Tilburg University.
  16. 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.
  17. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.
  18. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.
  19. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
  20. Drost, F.C., 1988. "How to define UMVU," Research Memorandum 362, Tilburg University, Faculty of Economics and Business Administration.

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.
  2. 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, Wiley Blackwell, vol. 29(5), pages 783-801, 09.
  3. 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.
  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.
  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.
  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.
  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.
  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.
  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.
  10. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July.
  11. Drost F. C. & Kallenberg W. C. M. & Oosterhoff J., 1990. "The Power Of Edf Tests Of Fit Under Non-Robust Estimation Of Nuisance Parameters," Statistics & Risk Modeling, De Gruyter, vol. 8(2), pages 167-182, February.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (6) 2001-04-11 2006-05-27 2006-05-27 2007-04-09 2007-09-02 2013-03-30. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2006-05-27 2006-05-27 2007-09-02 2008-06-21 2013-03-30. 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

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Feike C. Drost should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.