Feike C. Drost : Citation Profile


Are you Feike C. Drost?

Universiteit van Tilburg

9

H index

8

i10 index

696

Citations

RESEARCH PRODUCTION:

14

Articles

31

Papers

RESEARCH ACTIVITY:

   28 years (1988 - 2016). See details.
   Cites by year: 24
   Journals where Feike C. Drost has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 17 (2.38 %)

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   Permalink: http://citec.repec.org/pdr46
   Updated: 2019-10-06    RAS profile: 2017-08-22    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Feike C. Drost.

Is cited by:

Bollerslev, Tim (34)

Sentana, Enrique (31)

Hafner, Christian (29)

Meddahi, Nour (28)

Fiorentini, Gabriele (27)

Renault, Eric (23)

Andersen, Torben (23)

McAleer, Michael (21)

Ghysels, Eric (21)

Hallin, Marc (20)

Zakoian, Jean-Michel (17)

Cites to:

Nijman, Theo (8)

Werker, Bas (8)

LINTON, OLIVER (6)

Moon, Hyungsik (6)

van den Akker, Ramon (5)

Bollerslev, Tim (5)

Engle, Robert (5)

McCabe, Brendan (4)

Perron, Benoit (4)

gourieroux, christian (4)

Phillips, Peter (4)

Main data


Where Feike C. Drost has published?


Journals with more than one article published# docs
Journal of Econometrics3
Statistics & Probability Letters2
Journal of Business & Economic Statistics2

Recent works citing Feike C. Drost (2018 and 2017)


YearTitle of citing document
2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2019Option Pricing with Orthogonal Polynomial Expansions. (2018). Ackerer, Damien ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1711.09193.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2017Adaptive Estimation in Multiple Time Series With Independent Component Errors. (2017). Rao, Tata Subba ; Taylor, L ; Robinson, P M ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:191-203.

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2017On Asymptotic Theory for ARCH (∞) Models. (2017). Hafner, Christian ; Preminger, Arie. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:865-879.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets. (2018). Kuttu, Saint ; Bokpin, Godfred A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:211-226.

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2017Adaptive estimation in multiple time series with independent component errors. (2017). Robinson, Peter ; Taylor, Luke. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68345.

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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2017Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-95.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

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2019Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework. (2019). Khan, Naushad Mamode ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:74-:d:226448.

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2017Estimating Financial Volatility with High-Frequency Returns. (2017). Vo, Long. In: Journal of Finance and Economics Research. RePEc:gei:jnlfer:v:2:y:2017:i:2:p:84-114.

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2019Do spot food commodity and oil prices predict futures prices?. (2019). Riabko, Natalija ; Cartwright, Phillip A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0746-1.

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2017Bootstrapping INAR models. (2017). Jentsch, Carsten ; Weiss, Christian. In: Working Papers. RePEc:mnh:wpaper:42881.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2017Persistence and Procyclicality in Margin Requirements. (2017). Glasserman, Paul ; Wu, QI. In: Working Papers. RePEc:ofr:wpaper:17-01.

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2017Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models.. (2017). Bibi, Abdelouahab ; Ghezal, Ahmed . In: MPRA Paper. RePEc:pra:mprapa:81126.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-06.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-22.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01.

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2017Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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2017Risk forecasting in (T)GARCH models with uncorrelated dependent innovations. (2017). Beckers, Benjamin ; Seidel, Moritz ; Herwartz, Helmut. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:121-137.

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2017How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates. (2017). Zhang, Ally Quan ; Thul, Matthias. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1387-1401.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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Works by Feike C. Drost:


YearTitleTypeCited
1998Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
[Citation analysis]
article28
1994Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 28
paper
2004Semiparametric Duration Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article42
2001Semiparametric Duration Models.(2001) In: Discussion Paper.
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This paper has another version. Agregated cites: 42
paper
2004Semiparametric duration models.(2004) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 42
paper
2009Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models In: Journal of the Royal Statistical Society Series B.
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article12
2008Local asymptotic normality and efficient estimation for INAR(p) models In: Journal of Time Series Analysis.
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article2
2006Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Discussion Paper.
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This paper has another version. Agregated cites: 2
paper
2016Asymptotic Inference for Jump Diffusions with State-Dependent Intensity In: Scandinavian Journal of Statistics.
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article0
1990THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS In: Statistics & Risk Modeling.
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article0
2015ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES In: Econometric Theory.
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article1
2007The Impact of Overnight Periods on Option Pricing In: Journal of Financial and Quantitative Analysis.
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article9
2005The Impact of Overnight Periods on Option Pricing.(2005) In: Discussion Paper.
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This paper has another version. Agregated cites: 9
paper
2007The impact of overnight periods on option pricing.(2007) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 9
paper
1993Temporal Aggregation of GARCH Processes. In: Econometrica.
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article337
1990TEMPORAL AGGREGATION OF GARCH PROCESSES..(1990) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has another version. Agregated cites: 337
paper
1992Temporal Aggregation of Garch Processes..(1992) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has another version. Agregated cites: 337
paper
1990Temporal aggregation of GARCH processes.(1990) In: Discussion Paper.
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This paper has another version. Agregated cites: 337
paper
1992Temporal aggregation of GARCH processes.(1992) In: Discussion Paper.
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This paper has another version. Agregated cites: 337
paper
1993Temporal aggregation of GARCH processes.(1993) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 337
paper
2000Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers.
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paper4
1996Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics.
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article107
1994Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 107
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1996Closing the GARCH gap : Continuous time GARCH modeling.(1996) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 107
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1997Efficient estimation in semiparametric GARCH models In: Journal of Econometrics.
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article57
1996Efficient Estimation in Semiparametric GARCH Models.(1996) In: Discussion Paper.
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This paper has another version. Agregated cites: 57
paper
1997Efficient estimation in semiparametric GARCH models.(1997) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 57
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1999Efficiency comparisons of maximum-likelihood-based estimators in GARCH models In: Journal of Econometrics.
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article20
1998Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper.
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This paper has another version. Agregated cites: 20
paper
1998Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper.
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This paper has another version. Agregated cites: 20
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2016The power envelope of panel unit root tests in case stationary alternatives offset explosive ones In: Statistics & Probability Letters.
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article0
2008Note on integer-valued bilinear time series models In: Statistics & Probability Letters.
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article5
2007Note on Integer-Valued Bilinear Time Series Models.(2007) In: Discussion Paper.
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This paper has another version. Agregated cites: 5
paper
2008Note on integer-valued bilinear time series models.(2008) In: Other publications TiSEM.
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1993A Note on Robinsons Test of Independence. In: Tilburg - Center for Economic Research.
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paper3
1993A note on Robinsons test of independence.(1993) In: Discussion Paper.
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This paper has another version. Agregated cites: 3
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1994Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research.
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paper59
1994Adaptive estimation in time-series models.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 59
paper
1997Adaptive estimation in time-series models.(1997) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 59
paper
2006An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper.
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paper0
2008Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) In: Discussion Paper.
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paper3
2013Asymptotically UMP Panel Unit Root Tests In: Discussion Paper.
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paper0
1997Exchange rate target zones : A new approach In: Discussion Paper.
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paper2
1988How to define UMVU In: Research Memorandum.
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paper0
2009The asymptotic structure of nearly unstable non negative integer-valued AR(1) models In: Other publications TiSEM.
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paper5

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