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Feike C. Drost's publications

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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models Journal of the Royal Statistical Society: Series B, 71, 467-485, 2009,with R. van den Akker and B.J.M. Werker.
An asymptotic analysis of nearly unstable INAR(1) models, Bernoulli, 15, 297-324, 2009, with R. van den Akker and B.J.M. Werker.
Local Asymptotic Normality and efficient estimation for INAR(p) models, Journal of Time Series Analysis, 29, 783-801, 2008,with R. van den Akker and B.J.M. Werker.
Note on integer-valued bilinear time series models,Statistics and Probability Letters, 78, 992-996, 2008,with R. van den Akker and B.J.M. Werker .
The Impact of Overnight Periods on Option Pricing, Journal of Financial and Quantitative Analysis, 42, 517-534, 2007, with M.-J. Boes and B.J.M. Werker.
Semiparametric Duration Models,
Journal of Business and Economic Statistics, 22, 40-50, 2004, with B.J.M. Werker.
A Jump-Diffusion Model for Exchange Rates in a Target Zone, Statistica Neerlandica, 55, 269-299, 2001, with F. de Jong and B.J.M. Werker.
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models, Journal of Econometrics, 93, 93 - 111, 1999, with G. Gonzalez-Rivera.
Estimation and Testing in Models containing both Jumps and Conditional Heteroskedasticity, Journal of Business and Economic Statistics, 16, 237 - 243, 1998, with T.E. Nijman and B.J.M. Werker.
Adaptive Estimation in Time Series Models, Annals of Statistics, 25, 786 - 818, 1997, with C.A.J. Klaassen and B.J.M. Werker.
Efficient estimation in semiparametric GARCH models, Journal of Econometrics, 81, 193 - 221, 1997, with C.A.J. Klaassen.
Closing the GARCH gap: continuous time GARCH modeling, Journal of Econometrics, 74, 31 - 57, 1996, with B.J.M. Werker.
Temporal Aggregation of GARCH Processes, in Engle, R.F (ed),ARCH selected Readings, Oxford University Press, 221 - 240, 1995, with T.E. Nijman.
Temporal aggregation in time-series, in J. Kaehler and P. Kugler (ed's), Econometric Analysis of Financial Markets, Physica-Verlag, 11 - 22, 1994.
Adaptiveness in time series, in P. Mandl and M. Huskova (ed's), Proceedings of the Fifth Prague Symposium on Asymptotic Statistics, Physica-Verlag, 203 - 212, 1994, with C.A.J. Klaassen and B.J.M. Werker.
Temporal aggregation of GARCH processes, Econometrica, 61, 909 - 928, 1993, with T.E. Nijman. .
Comparison of tests and local families, in J.K. Ghosh, S.K. Mitra, K.R. Parthasarathy, and B.L.S. Prakasa Rao (ed's), Statistics and Probability, a Raghu Raj Bahadur Festschrift, Wiley, 303 - 324, 1993, with W.C.M. Kallenberg.
The power of EDF tests of fit under non-robust estimation of nuisance parameters, Statistics and Decisions, 8, 167--182, 1990, with W.C.M. Kallenberg and J. Oosterhoff.
Generalized chi-square goodness-of-fit tests for location-scale models when the number of classes tends to infinity, The Annals of Statistics, 17, 1285 - 1300, 1989.
Power approximations to multinomial tests of fit, Journal of the American Statististical Association, 84, 130 - 141, 1989, with W.C.M. Kallenberg, D.S. Moore and J. Oosterhoff.
Asymptotic error bounds for power approximations to multinomial tests of fit, in L.J. Gleser et al. (ed's),Contributions to Probability and Statistics: Essays in Honor of Ingram Olkin, Springer, 429 - 446, 1989, with W.C.M. Kallenberg, D.S. Moore and J. Oosterhoff.
Asymptotics for generalized chi-square goodness-of-fit tests, CWI tract 48, 1988, Mathematical Center, Amsterdam.
A limit theorem for some modified chi-square statistics when the number of classes increases, in P. Bauer, F. Konecny, and W. Wertz (ed's),Mathematical Statistics and Probability Theory, Reidel, 43 - 58, 1987.
On chi-squared goodness-of-fit tests for location-scale models, Proceedings of the First World Congress of the Bernoulli Society, Volume 2, 249 - 252, 1986, with W.C.M. Kallenberg and J. Oosterhoff.