Feike C. Drost

Tilburg University - Center for Economic Research (CentER)

Dr.

Econometrics and Finance Group

P.O. Box 90153

5000 LE Tilburg

Netherlands

SCHOLARLY PAPERS

11

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CITATIONS
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24

Scholarly Papers (11)

1.

Efficient Estimation in Semiparametric GARCH Models

Number of pages: 29 Posted: 21 Jan 1997
Feike C. Drost and Chris A. J. Klaassen
Tilburg University - Center for Economic Research (CentER) and University of Amsterdam - Faculty of Natural Science, Mathematics and Information Science
Downloads 591 (34,140)
Citation 13

Abstract:

2.

The Impact of Overnight Periods on Option Pricing

EFA 2004 Maastricht Meetings Paper No. 3168
Number of pages: 27 Posted: 22 Jul 2004
Mark-Jan Boes, Feike C. Drost and Bas J. M. Werker
VU University Amsterdam, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 125 (171,549)
Citation 3

Abstract:

Derivative pricing, jump diffusion, stochastic volatility

Local Asymptotic Normality and Efficient Estimation for INAR(p) Models

CentER Discussion Paper No. 2006-45
Number of pages: 29 Posted: 01 Jun 2006
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 69 (269,380)
Citation 3

Abstract:

count data, integer-valued time series, information loss structure

Local Asymptotic Normality and Efficient Estimation for INAR(p) Models

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, September 2008
Number of pages: 19 Posted: 15 Aug 2008
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 2 (540,188)
Citation 3

Abstract:

Local Asymptotic Normality and Efficient Estimation for Inar(P) Models

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, 2008
Number of pages: 19 Posted: 18 Jan 2014
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 0
Citation 3

Abstract:

Count data, integer‐valued time series, information loss structure

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

CentER Discussion Paper Series No. 2007-23
Number of pages: 38 Posted: 22 May 2007
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 35 (367,692)
Citation 1

Abstract:

count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models

CentER Discussion Paper Series No. 2008-53 (revision of Paper No. 2007-23)
Number of pages: 39 Posted: 09 Jun 2008
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 31 (383,768)
Citation 1

Abstract:

count data, nonparametric maximum likelihood, infinite-dimensional Z-estimator, semiparametric efficiency

5.

Note on Integer-Valued Bilinear Time Series Models

CentER Discussion Paper Series No. 2007-47
Number of pages: 7 Posted: 01 Aug 2007
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 49 (307,032)
Citation 2

Abstract:

count data, integer-valued time series, bilinear model

6.

An Asymptotic Analysis of Nearly Unstable Inar (1) Models

CentER Discussion Paper No. 2006-44
Number of pages: 34 Posted: 01 Jun 2006
Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 44 (318,354)
Citation 2

Abstract:

integer-valued times series, Poisson limit experiment, local-to-unity asymptotics

7.

The Option Value in Timing Derivative Trades

Number of pages: 52 Posted: 08 Mar 2015 Last Revised: 02 May 2015
Tilburg University - Center for Economic Research (CentER), University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 41 (262,190)

Abstract:

derivatives trading, execution timing, optimal stopping, dynamic programming, straddles, dynamic order strategies

8.

Asymptotic Inference for Jump Diffusions with State-Dependent Intensity

Number of pages: 37 Posted: 11 Jul 2013 Last Revised: 13 Feb 2015
I. Gaia Becheri, Feike C. Drost and Bas J. M. Werker
Delft University of Technology, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center for Economic Research (CentER)
Downloads 40 (318,354)

Abstract:

9.

Unit Root Tests for Cross-Sectionally Dependent Panels: The Influence of Observed Factors

Number of pages: 19 Posted: 19 Jun 2014
I. Gaia Becheri, Feike C. Drost and Ramon Van den Akker
Delft University of Technology, Tilburg University - Center for Economic Research (CentER) and Tilburg University - CentER and department of Econometrics & OR
Downloads 38 (330,046)

Abstract:

panel unit root test, Local Asymptotic Mixed Normality, limit experiment, asymptotic power envelope

10.

Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives

CentER Discussion Paper Series No. 2013-017
Number of pages: 23 Posted: 20 Mar 2013 Last Revised: 13 Feb 2014
I. Gaia Becheri, Feike C. Drost and Ramon Van den Akker
Delft University of Technology, Tilburg University - Center for Economic Research (CentER) and Tilburg University - CentER and department of Econometrics & OR
Downloads 38 (345,772)

Abstract:

panel unit root test, Local Asymptotic Normality, limit experiment

11.

The Power Envelope of Panel Unit Root Tests in Case Stationary Alternatives Offset Explosive Ones

Number of pages: 11 Posted: 24 Sep 2015
Delft University of Technology, Tilburg University - Center for Economic Research (CentER), Tilburg University - CentER and department of Econometrics & OR and Tilburg University
Downloads 1 (461,224)

Abstract:

panel unit root test, limit experiment, asymptotic power envelope, heterogeneous altervatives.