Cortege Tilbrug University

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Bio

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.

Refereed Publications: click here

Currently Feike teaches the following

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Recente publicaties

  1. Asymptotic inference for jump diffusions with state-dependent intensi…

    Becheri, G., Drost, F., & Werker, B. (2016). Asymptotic inference for jump diffusions with state-dependent intensity. Scandinavian Journal of Statistics, 43(2), 520-542.
  2. The power envelope of panel unit root tests in case stationary altern…

    Becheri, G., Drost, F., van den Akker, R., & Wichert, O. (2016). The power envelope of panel unit root tests in case stationary alternatives offset explosive ones. Statistics & probability letters, 108, 1-8.
  3. Unit root tests for cross-sectionally dependent panels

    Becheri, I. G., Drost, F. C., & van den Akker, R. (2015). Unit root tests for cross-sectionally dependent panels: The influence of observed factors. Journal of Statistical Planning and Inference, 160, 11-22.
  4. The Option Value in Timing Derivative Trades

    Drost, F., van der Heijden, T. G. E., & Werker, B. (2015). The Option Value in Timing Derivative Trades. Tilburg: SSRN.
  5. Asymptotically UMP panel unit root tests

    Becheri, I. G., Drost, F. C., & van den Akker, R. (2015). Asymptotically UMP panel unit root tests: the effect of heterogeneity in the alternatives. Econometric Theory, 31(3), 539-559.

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