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Information about:
Feike C. Drost

Personal Details | Affiliation | Works
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 RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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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.
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    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)
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  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)
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  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.
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  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.
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  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)
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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 2009-11-18.

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