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
2010 and later
Asymptotic inference for jump diffusions with state dependent density, Scandinavian Journal of Statistics, 43, 520-542, 2016, with I.G. Becheri, and B.J.M. Werker.
The power envelope of panel unit root tests in case stationary alternatives offset explosive ones, Statistics & Probability Letters, 108, 1-8, 2016, with I.G. Becheri, R. van den Akker, and O. Wichert.
Unit root tests for cross-sectionally dependent panels: the influence of observed factors, Journal of Statistical Planning & Inference, 160, 11-22, 2015, with I.G. Becheri and R. van den Akker.
Asymptotically UMP panel unit root tests - the effect of heterogeneity in the alternatives, Econometric Theory, 31, 539-559, 2015, with I.G. Becheri and R. van den Akker.
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 GARCG 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.
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
1987 - 1996 Assistant professor in Mathematical Statistics, Tilburg University
1990 - 1994 Research fellow of the Royal Netherlands Academy of Arts and Sciences
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
- 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
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.
COMPLETED PhD THESES
- Robert Kozarski, 2013, Pricing and hedging in the VIX derivative market, with Bertrand Melenberg
- I. Gaia Becheri, 2012, Limiting experiments for panel data and jump-diffusion models, with Ramon van den Akker and Bas J.M. Werker
- Thijs G.E. van der Heijden, 2011, Duration Models, Heterogeneous Beliefs, and Optimal Timing, with Bas J.M. Werker
- Ramon van den Akker, 2007, Integer-Valued Time Series, with Bas J.M. Werker
- Mark-Jan Boes ,2006, Index Options: Pricing, Implied Densities, and Returns, with Bas J.M. Werker
- Bas J.M. Werker, 1995, Statistical Models in Financial Econometrics with Ben B. van der Genugten and Theo E. Nijman
Current PhD PROJECTS
- Oliver Wichert, with Bas J.M. Werker
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:
- Quantitative Methods for Business (CentER)(230222)More information
- Financial Econometrics (CentER)(230263)More information
- Quantitative Methods (CentER)(230330)More information
- Quantitative Methods for Business (CentER) 3 ECTS(230374)More information
- Topics in Economics and Finance of Aging(390203)More information
- Improving Society Lab EOR(35B208)More information
- Probability and Statistics(35B402)More information
- Statistics for Econometrics(35B501)More information
- Dynamic Models and their Applications(35M2C2)More information
- Time Series and their Applications(35M3C6)More information
- Econometrics 2(35V3A2)More information
- Econometric Methods(35V5A4)More information
- Life Insurance(35V6A3)More information
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Tilburg School of Economics and Management
Econometrics and Operations Research