dr. Feike C. Drost

Bio

Feike C. Drost is associate professor in Mathematical Statistics and Quantitative Finance at the Department of Econometrics & OR.

Feike's research program focused on the statistical aspects of financial models and 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

Personal profile/CV: click here

Feike taught a wide variety of courses in mathematics, probability, and statistics and their applications in econometrics, quantitative finance, and actuarial science, He supervised a large number of BSc, MSc, and PhD projects. Currently, Feike teaches the following courses:

• 35B402 Probability and Statistics
• 35B501 Statistics for Econometrics
• 35V6A3 Life Insurance
• 323624 Data-Analyse

Courses

• Data-Analysis
• Improving Society Lab for EOR
• Probability and Statistics
• Statistics for Econometrics
• Life Insurance

Recent publications

1. Asymptotically uniformly most powerful tests for unit roots in Gaussi…

   Wichert, O., Becheri, I. G., Drost, F. C., & van den Akker, R. (Accepted/In press). Asymptotically uniformly most powerful tests for unit roots in Gaussian panels with cross-sectional dependence generated by common factors. Econometric Theory.

2. Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Pe…

   Wichert, O., Becheri, I. G., Drost, F. C., & van den Akker, R. (2019). Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing. (arXiv; Vol. 1905.11184). arXiv.org. https://arxiv.org/pdf/1905.11184.pdf

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

   Becheri, G., Drost, F. C., & Werker, B. J. M. (2016). Asymptotic inference for jump diffusions with state-dependent intensity. Scandinavian Journal of Statistics, 43(2), 520-542.

4. The power envelope of panel unit root tests in case stationary altern…

   Becheri, G., Drost, F. C., 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.

5. Asymptotically UMP panel unit root tests - the effect of heterogeneit…

   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.