Feike C. Drost : Citation Profile


Are you Feike C. Drost?

Universiteit van Tilburg

9

H index

9

i10 index

799

Citations

RESEARCH PRODUCTION:

14

Articles

43

Papers

RESEARCH ACTIVITY:

   31 years (1988 - 2019). See details.
   Cites by year: 25
   Journals where Feike C. Drost has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 19 (2.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdr46
   Updated: 2022-05-21    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:

Sentana, Enrique (36)

Bollerslev, Tim (35)

Hafner, Christian (34)

Fiorentini, Gabriele (31)

Hallin, Marc (28)

Meddahi, Nour (28)

Zakoian, Jean-Michel (24)

Francq, Christian (24)

Renault, Eric (23)

Andersen, Torben (23)

Ghysels, Eric (21)

Cites to:

Nijman, Theo (8)

Werker, Bas (8)

Moon, Hyungsik (6)

LINTON, OLIVER (6)

Engle, Robert (5)

van den Akker, Ramon (5)

Bollerslev, Tim (5)

McCabe, Brendan (4)

Phillips, Peter (4)

gourieroux, christian (4)

Perron, Benoit (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 (2021 and 2020)


YearTitle of citing document
2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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2021Locally asymptotically efficient estimation for parametric PINAR(p) models. (2021). Bentarzi, Mohamed ; Sadoun, Mohamed. In: Statistica Neerlandica. RePEc:bla:stanee:v:75:y:2021:i:3:p:257-289.

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2021Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2214.

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2021.

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2022.

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2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-06.

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2021Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2021Bayesian estimation for a semiparametric nonlinear volatility model. (2021). Poskitt, Donald ; Hu, Shuowen ; Zhang, Xibin. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:361-370.

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2020In search of lost time aggregation. (2020). Crawley, Edmund. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300331.

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2020Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713.

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2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021The factor analytical approach in near unit root interactive effects panels. (2021). Westerlund, Joakim ; Norkut, Milda. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:569-590.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2022Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64.

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2022On temporal aggregation of some nonlinear time-series models. (2022). Chan, Wai-Sum. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:38-49.

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2021Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393.

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2021Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690.

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2021Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic. (2021). Kayani, Ghulam Mujtaba ; Farid, Saqib ; Hussain, Syed Jawad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s030142072100115x.

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2020The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility. (2020). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Papadakis, Theodoulos Eleftherios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639.

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2020Maximum-Likelihood Estimation in a Special Integer Autoregressive Model. (2020). Jung, Robert ; Tremayne, Andrew R. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:24-:d:368766.

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2022Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models. (2022). Qingling, Shi ; Zhu, KE. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:2:p:90-:d:753669.

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2020A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model. (2020). Zhang, Chiping ; Feng, Xuejie. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09919-6.

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2020garchx: Flexible and Robust GARCH-X Modelling. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100301.

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2020Identification of Volatility Proxies as Expectations of Squared Financial Return. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:101953.

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2021Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models. (2021). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:106542.

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2021Testing the existence of moments and estimating the tail index of augmented garch processes. (2021). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:110511.

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2020The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness. (2020). Vieira, Jose Gil ; Fernandes, Marcelo. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:39:y:2020:i:2:a:79007.

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2021Stochastic dominance efficient sets and stochastic spanning. (2021). Arvanitis, Stelios. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-021-00325-y.

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2020On the pricing of overnight market risk. (2020). Perras, Patrizia ; Wagner, Niklas. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:3:d:10.1007_s00181-019-01714-4.

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2022Integer-valued Bilinear Model with Dependent Counting Series. (2022). Mohammadpour, Mehrnaz ; Ramezani, Sakineh. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09853-x.

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2021Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients. (2021). Bibi, Abdelouahab. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00531-9.

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2020Goodness-of-fit tests in conditional duration models. (2020). Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0930-8.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION.. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers of BETA. RePEc:ulp:sbbeta:2021-36.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2021Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump. (2021). Li, Xiafei ; Wei, YU ; Bai, Lan ; Zhang, Xuhui. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1501-1523.

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2022The mutual predictability of Bitcoin and web search dynamics. (2022). Sussmuth, Bernd. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:435-454.

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2021Specification tests for non?Gaussian maximum likelihood estimators. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:3:p:683-742.

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Works by Feike C. Drost:


YearTitleTypeCited
2019Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing In: Papers.
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paper0
2019Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing.(2019) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 0
paper
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
1994Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 28
paper
2004Semiparametric Duration Models. In: Journal of Business & Economic Statistics.
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article48
2001Semiparametric Duration Models.(2001) In: Discussion Paper.
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This paper has another version. Agregated cites: 48
paper
2001Semiparametric Duration Models.(2001) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 48
paper
2004Semiparametric duration models.(2004) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 48
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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article15
2008Local asymptotic normality and efficient estimation for INAR(p) models In: Journal of Time Series Analysis.
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article4
2006Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Discussion Paper.
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paper
2006Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Other publications TiSEM.
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paper
2016Asymptotic Inference for Jump Diffusions with State-Dependent Intensity In: Scandinavian Journal of Statistics.
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article1
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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article3
2007The Impact of Overnight Periods on Option Pricing In: Journal of Financial and Quantitative Analysis.
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article12
2005The Impact of Overnight Periods on Option Pricing.(2005) In: Discussion Paper.
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2005The Impact of Overnight Periods on Option Pricing.(2005) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 12
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: 12
paper
1993Temporal Aggregation of GARCH Processes. In: Econometrica.
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article369
1990TEMPORAL AGGREGATION OF GARCH PROCESSES..(1990) In: Tilburg - Center for Economic Research.
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This paper has another version. Agregated cites: 369
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1992Temporal Aggregation of Garch Processes..(1992) In: Tilburg - Center for Economic Research.
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This paper has another version. Agregated cites: 369
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1990Temporal aggregation of GARCH processes.(1990) In: Discussion Paper.
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This paper has another version. Agregated cites: 369
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1992Temporal aggregation of GARCH processes.(1992) In: Discussion Paper.
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This paper has another version. Agregated cites: 369
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1993Temporal aggregation of GARCH processes.(1993) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 369
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1990Temporal aggregation of GARCH processes.(1990) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 369
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1992Temporal aggregation of GARCH processes.(1992) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 369
paper
1994Temporal aggregation of GARCH processes.(1994) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 369
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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article114
1994Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 114
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1996Closing the GARCH gap : Continuous time GARCH modeling.(1996) In: Other publications TiSEM.
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1997Efficient estimation in semiparametric GARCH models In: Journal of Econometrics.
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article76
1996Efficient Estimation in Semiparametric GARCH Models.(1996) In: Discussion Paper.
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1997Efficient estimation in semiparametric GARCH models.(1997) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 76
paper
1999Efficiency comparisons of maximum-likelihood-based estimators in GARCH models In: Journal of Econometrics.
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article27
1998Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper.
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1998Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper.
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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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article8
2007Note on Integer-Valued Bilinear Time Series Models.(2007) In: Discussion Paper.
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This paper has another version. Agregated cites: 8
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2007Note on Integer-Valued Bilinear Time Series Models.(2007) In: Other publications TiSEM.
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paper
2008Note on integer-valued bilinear time series models.(2008) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 8
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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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paper74
1994Adaptive estimation in time-series models.(1994) In: Discussion Paper.
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1997Adaptive estimation in time-series models.(1997) In: Other publications TiSEM.
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2006An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper.
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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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2013Asymptotically UMP Panel Unit Root Tests In: Discussion Paper.
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1997Exchange rate target zones : A new approach In: Discussion Paper.
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paper2
1997Exchange rate target zones : A new approach.(1997) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 2
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1988How to define UMVU In: Research Memorandum.
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1988How to define UMVU.(1988) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 0
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2009The asymptotic structure of nearly unstable non negative integer-valued AR(1) models In: Other publications TiSEM.
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