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Feike C. Drost

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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:
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)
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  1. Becheri, I.G. & Drost, F.C. & van den Akker, R., 2013. "Asymptotically UMP Panel Unit Root Tests," Discussion Paper 2013-017, Tilburg University, Center for Economic Research.
  2. Drost, F.C. & van den Akker, R. & 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.
  3. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007. "Note on Integer-Valued Bilinear Time Series Models," Discussion Paper 2007-47, Tilburg University, Center for Economic Research.
  4. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.
  5. Drost, F.C. & van den Akker, R. & 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.
  6. 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.
  7. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.
  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.
  9. Gonzalez-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.
  10. de Jong, F.C.J.M. & 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.
  11. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
  12. 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.
  13. 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.
  14. Drost, F.C. & Werker, B.J.M., 1994. "Closing the GARCH gap : Continuous time GARCH modeling," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.
  15. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.
  16. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
  17. Drost, F.C., 1988. "How to define UMVU," Research Memorandum FEW 362, Tilburg University, School of Economics and Management.
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  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. 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.
  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, Wiley Blackwell, vol. 29(5), pages 783-801, 09.
  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.
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

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