Tilburg School of Economics and Management
Econometrics and Operations Research
Feike C. Drost is research fellow at CentER, Tilburg University, and associate professor in Mathematical Statistics and Quantitative Finance at the Department of Econometrics & OR.
Feike's research program is concentrated on the statistical aspects of financial models and it includes, for example, semiparametric analysis in time series, statistical properties of diffusion models, and the relation between discrete time and continuous time models.
Most recent publications
1996 and later
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.
Semiparametric Duration Models, Journal of Business and Economic Statistics, 22, 40-50, 2004, with 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.
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.
1995 and earlier
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.
Name Drost, Feike C. Date of birth March 24, 1959
PhD in Statistics, 1987 Free University Amsterdam: Asymptotics for Generalized Chi-Square Goodness-of-Fit Tests
Master Degree in Econometrics, 1983 University of Groningen
Bachelor Degree in Econometrics, 1982 University of Groningen
Bachelor Degree in Mathematics, 1980 University of Groningen
1997 - present Associate Professor in Mathematical Statistics and Quantitative Finance, Tilburg University
1990 - 1994 Research fellow of the Royal Netherlands Academy of Arts and Sciences
1987 - 1996 Assistant professor in Mathematical Statistics, Tilburg University
June 2001 CREST/INSEE, Paris
December 1998 UCR, Riverside
November 1998 CIRANO, Montreal
January-June 1996 Universite des Sciences Sociales, Toulouse
September + October 1994 CREST/INSEE, Paris
Most recent publications
Previously, Feike C. Drost taught several courses in mathematics, statistics, econometrics, and finance:
F.C. Drost teaches the following subjects:
Room K 607
PO Box 90153
5000 LE Tilburg
Last amended: 29 November 2013