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F.C. Drost


Universitair hoofddocent

Tilburg School of Economics and Management
Econometrics and Operations Research

CentER 

Expertise

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.

Key words

Publications

Most recent publications

 

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.

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.

 

 


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.



Education

Name Drost, Feike C. Date of birth       March 24, 1959


Current position
Associate Professor in Mathematical Statistics and Quantitative Finance

Major fields
Econometrics, Investments, Statistics

Research keywords
Conditional heteroskedasticity, continuous time models, financial modeling, semiparametric efficiency

Formal training

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


Employment history

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


Visiting Positions:

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


Refereeing
Annals of Operations Research, Annals of Statistics, Bernoulli, Econometric Theory, Econometrica, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Empirical Finance, Journal of International Money and Finance, Statistica Neerlandica, Statistics and Probability Letters, etc.

Publications

Most recent publications

Collaboration

Visiting Positions:

  • 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

External accreditation

Refereeing
Annals of Operations Research, Annals of Statistics, Bernoulli, Econometric Theory, Econometrica, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Empirical Finance, Journal of International Money and Finance, Statistica Neerlandica, Statistics and Probability Letters, etc.

 

Teaching


Currently Feike C. Drost teaches (parts of) the following courses: 

Previously, Feike C. Drost taught several courses in mathematics, statistics, econometrics, and finance:

  • for mathematicians: Real Ananlysis, Linear Algebra, Introduction to Probability Theory, Mathematical Statistics, Data Analysis
  • for economists: Analysis, Statistics 1, Statistics 2, Statistics 3, Investment Theory, Empirical Finance
  • for econometricians:
    • Real Analysis, Linear Algebra
    • Introduction to Probability Theory, Introduction to Statistics, Estimation and Hypothesis Testing, Linear Regression, Advanced Statistics, Non- and Semiparametric Statistics
    • Econometric Methods, Empirical Applications
    • Orientation Quantitative Finance and Actuarial Sciences, Quantitative Finance, Empirics of Financial Markets, Life Insurance and Pension Funds, Asset Liability Management
    • Case Studies, Organization of Intermediate Thesis
  • PhD courses: Mathematical Finance, Financial Econometrics, Advanced Econometric Methods
  • Furthermore development of courses, guidance of several Bachelor and Master thesis, and guidance of PhD


F.C. Drost teaches the following subjects:

Contact details
Room K 607
PO Box 90153
5000 LE Tilburg 
Phone+31 13 466 3038
Secretary+31 13 466 2430
Fax +31 13 466 3280
Email f.c.drost@tilburguniversity.edu

Universitair hoofddocent
Tilburg School of Economics and Management
Econometrics and Operations Research

Working days
Mon Tues Wed Thurs Fri
Morning Present Present Present Present Present
Afternoon Present Present Present Present Present
Last amended: 29 November 2013

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