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1

The Impact of Overnight Periods on Option Pricing

Boes, Mark-Jan, Drost, Feike C., Werker, Bas J. M.

Journal:

Journal of Financial and Quantitative Analysis

Year:

2007

Language:

english

File:

PDF, 201 KB

english, 2007

2

The Impact of Overnight Periods on Option Pricing

Mark-Jan Boes, Feike C. Drost and Bas J. M. Werker

Journal:

Journal of Financial and Quantitative Analysis

Year:

2007

Language:

english

File:

PDF, 1.43 MB

english, 2007

3

Note on integer-valued bilinear time series models

Feike C. Drost, Ramon van den Akker, Bas J.M. Werker

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 227 KB

english, 2008

4

Efficient estimation in semiparametric GARCH models

Feike C. Drost, Chris A.J. Klaassen

Journal:

Journal of Econometrics

Year:

1997

Language:

english

File:

PDF, 1.85 MB

english, 1997

5

Local asymptotic normality and efficient estimation for INAR(p) models

Feike C. Drost, Ramon Van Den Akker, Bas J. M. Werker

Journal:

Journal of Time Series Analysis

Year:

2008

Language:

english

File:

PDF, 615 KB

english, 2008

6

Semiparametric Duration Models

Feike C. Drost and Bas J. M. Werker

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 2.16 MB

english, 2004

7

Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity

Drost, Feike C., Nijman, Theo E., Werker, Bas J. M.

Journal:

Journal of Business and Economic Statistics

Year:

1998

Language:

english

File:

PDF, 1.22 MB

english, 1998

8

Semiparametric Duration Models

Drost, Feike C, Werker, Bas J. M

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 430 KB

english, 2004

9

Asymptotic Inference for Jump Diffusions with State-Dependent Intensity

Becheri, I. Gaia, Drost, Feike C., Werker, Bas J.M.

Journal:

Scandinavian Journal of Statistics

Year:

2016

Language:

english

File:

PDF, 288 KB

english, 2016

10

Adaptive Estimation in Time-Series Models

Feike C. Drost, Chris A. J. Klaassen and Bas J. M. Werker

Journal:

The Annals of Statistics

Year:

1997

Language:

english

File:

PDF, 2.45 MB

english, 1997

11

Closing the GARCH gap: Continuous time GARCH modeling

Feike C. Drost, Bas J.M. Werker

Journal:

Journal of Econometrics

Year:

1996

Language:

english

File:

PDF, 1.30 MB

english, 1996

12

Efficiency comparisons of maximum-likelihood-based estimators in GARCH models

Gloria González-Rivera, Feike C. Drost

Journal:

Journal of Econometrics

Year:

1999

Language:

english

File:

PDF, 149 KB

english, 1999

13

Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models

Feike C. Drost, Ramon van den Akker, Bas J. M. Werker

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

2009

Language:

english

File:

PDF, 701 KB

english, 2009

14

Temporal Aggregation of Garch Processes

Drost, Feike C., Nijman, Theo E.

Journal:

Year:

1993

Language:

english

File:

PDF, 397 KB

english, 1993

15

Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity

Feike C. Drost, Theo E. Nijman and Bas J. M. Werker

Journal:

Journal of Business and Economic Statistics

Year:

1998

Language:

english

File:

PDF, 271 KB

english, 1998

16

ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES

Gaia Becheri, I., Drost, Feike C., Akker, Ramon van den

Journal:

Econometric Theory

Year:

2015

Language:

english

File:

PDF, 157 KB

english, 2015

17

Unit root tests for cross-sectionally dependent panels: The influence of observed factors

Becheri, I. Gaia, Drost, Feike C., van den Akker, Ramon

Journal:

Journal of Statistical Planning and Inference

Year:

2015

Language:

english

File:

PDF, 523 KB

english, 2015

18

The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

FEIKE C. DROST, RAMON VAN DEN AKKER and BAS J.M. WERKER

Journal:

Year:

2009

Language:

english

File:

PDF, 1.77 MB

english, 2009

19

The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

Becheri, I. Gaia, Drost, Feike C., van den Akker, Ramon, Wichert, Oliver

Journal:

Statistics & Probability Letters

Year:

2016

Language:

english

File:

PDF, 390 KB

english, 2016

20

Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

Feike C. Drost, Ramon van den Akker and Bas J. M. Werker

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

2009

Language:

english

File:

PDF, 2.16 MB

english, 2009

21

The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

Drost, Feike C., van den Akker, Ramon, Werker, Bas J.M.

Journal:

Year:

2009

Language:

english

File:

PDF, 290 KB

english, 2009

22

Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives

Gaia Becheri, Irene, Drost, Feike C., van den Akker, Ramon

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 188 KB

english, 2013

23

Unit Root Tests for Cross-Sectionally Dependent Panels: The Influence of Observed Factors

Becheri, I. Gaia, Drost, Feike C., Van den Akker, Ramon

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 492 KB

english, 2014

24

An Asymptotic Analysis of Nearly Unstable Inar (1) Models

Drost, Feike C., van den Akker, Ramon, Werker, Bas J. M.

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 348 KB

english, 2006

25

Note on Integer-Valued Bilinear Time Series Models

Drost, Feike C., van den Akker, Ramon, Werker, Bas J. M.

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 600 KB

english, 2007

26

Asymptotic Equivalence of Continuously and Discretely Sampled Jump-Diffusion Models

Gaia Becheri, Irene, Drost, Feike C., Werker, Bas J. M.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 448 KB

english, 2013