Drost, Feike C.

(as bibtex)

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Articles (14)

• Werker, Bas J.M., Drost, Feike C., Becheri, I. Gaia. Asymptotic Inference for Jump Diffusions with State-Dependent Intensity. Scandinavian Journal of Statistics 2016. 43:520-542
• Drost, Feike C., Akker, Ramon van den, Werker, Bas J. M.. Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models . Journal of the Royal Statistical Society, Series B: Statistical Methodology 2009. 71:467-485
• Werker, Bas J. M., Akker, Ramon van den, Drost, Feike C.. Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2009. 71:467-485
• Drost, Feike C., van den Akker, Ramon, Werker, Bas J. M.. The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models. Bernoulli 2009. 15:297-324
• Drost, Feike C., van den Akker, Ramon, Werker, Bas J. M.. Note on integer-valued bilinear time series models. Statistics & Probability Letters 2008. 78:992-996
• Werker, Bas J. M., Akker, Ramon Van Den, Drost, Feike C.. Local asymptotic normality and efficient estimation for INAR(p) models. Journal of Time Series Analysis 2008. 29:783-801
• Drost, Feike C., Werker, Bas J. M.. Semiparametric duration models. Journal of Business & Economic Statistics 2004. 22:40-50
• Gonzalez-Rivera, Gloria, González-Rivera, Gloria, Drost, Feike C.. Efficiency comparisons of maximum-likelihood-based estimators in GARCH models. Journal of Econometrics 1999. 93:93-111
• Drost, Feike C., Nijman, Theo E., Werker, Bas J. M.. Estimation and testing in models containing both jumps and conditional heteroscedasticity. Journal of Business & Economic Statistics 1998. 16:237-243
• Drost, Feike C., Klaassen, Chris A. J.. Efficient estimation in semiparametric GARCH models. Journal of Econometrics 1997. 81:193-221
• Drost, Feike C., Klaassen, Chris A. J., Werker, Bas J. M.. Adaptive estimation in time-series models. The Annals of Statistics 1997. 25:786-817
• Drost, Feike C., Werker, Bas J. M.. Closing the GARCH gap: Continuous time GARCH modeling. Journal of Econometrics 1996. 74:31-57
• Drost, Feike C., Klaassen, Chris A. J., Werker, Bas J. M.. Adaptiveness in time series models.
• Drost, Feike C., Nijman, Theo E.. Temporal aggregation of GARCH processes. Econometrica 1993. 61:909-928