9
H index
9
i10 index
799
Citations
Feike C. Drost : Citation Profile
Universiteit van Tilburg | RESEARCH PRODUCTION: 14 Articles 43 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1988 - 2019). 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:
| Cites to:
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Main data
Where Feike C. Drost has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Statistics & Probability Letters | 2 |
| Journal of Business & Economic Statistics | 2 |
Recent works citing Feike C. Drost (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2021 | TESTING 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. Full description at Econpapers || Download paper |
| 2020 | Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967. Full description at Econpapers || Download paper |
| 2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper |
| 2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper |
| 2022 | Generalized 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. Full description at Econpapers || Download paper |
| 2020 | Option 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. Full description at Econpapers || Download paper |
| 2021 | The 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. Full description at Econpapers || Download paper |
| 2021 | Locally 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. Full description at Econpapers || Download paper |
| 2021 | Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179. Full description at Econpapers || Download paper |
| 2022 | Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2214. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2022 | Local 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. Full description at Econpapers || Download paper |
| 2021 | Option 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. Full description at Econpapers || Download paper |
| 2020 | Prediction 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. Full description at Econpapers || Download paper |
| 2021 | Bayesian 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. Full description at Econpapers || Download paper |
| 2020 | In search of lost time aggregation. (2020). Crawley, Edmund. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300331. Full description at Econpapers || Download paper |
| 2020 | Volatility 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. Full description at Econpapers || Download paper |
| 2020 | A 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. Full description at Econpapers || Download paper |
| 2021 | Bootstrap 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. Full description at Econpapers || Download paper |
| 2021 | The 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. Full description at Econpapers || Download paper |
| 2021 | The 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. Full description at Econpapers || Download paper |
| 2022 | Testing 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. Full description at Econpapers || Download paper |
| 2022 | On 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. Full description at Econpapers || Download paper |
| 2021 | Diversification 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. Full description at Econpapers || Download paper |
| 2021 | Identification 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. Full description at Econpapers || Download paper |
| 2021 | Intraday 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. Full description at Econpapers || Download paper |
| 2020 | The 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. Full description at Econpapers || Download paper |
| 2020 | Maximum-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. Full description at Econpapers || Download paper |
| 2022 | Self-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. Full description at Econpapers || Download paper |
| 2020 | A 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. Full description at Econpapers || Download paper |
| 2020 | garchx: Flexible and Robust GARCH-X Modelling. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100301. Full description at Econpapers || Download paper |
| 2020 | Identification of Volatility Proxies as Expectations of Squared Financial Return. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:101953. Full description at Econpapers || Download paper |
| 2021 | Local 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. Full description at Econpapers || Download paper |
| 2021 | Testing 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. Full description at Econpapers || Download paper |
| 2020 | The 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. Full description at Econpapers || Download paper |
| 2021 | Stochastic 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. Full description at Econpapers || Download paper |
| 2020 | On 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. Full description at Econpapers || Download paper |
| 2022 | Integer-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. Full description at Econpapers || Download paper |
| 2021 | Asymptotic 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. Full description at Econpapers || Download paper |
| 2020 | Goodness-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. Full description at Econpapers || Download paper |
| 2021 | TESTING 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. Full description at Econpapers || Download paper |
| 2021 | An 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. Full description at Econpapers || Download paper |
| 2021 | Forecasting 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. Full description at Econpapers || Download paper |
| 2022 | The 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. Full description at Econpapers || Download paper |
| 2021 | Specification 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. Full description at Econpapers || Download paper |
Works by Feike C. Drost:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing.(2019) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1998 | Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 28 |
| 1994 | Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 1994 | Estimation and testing in models containing both jumps and conditional heteroskedasticity.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2004 | Semiparametric Duration Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 48 |
| 2001 | Semiparametric Duration Models.(2001) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
| 2001 | Semiparametric Duration Models.(2001) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
| 2004 | Semiparametric duration models.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
| 2009 | Efficient estimation of auto?regression parameters and innovation distributions for semiparametric integer?valued AR(p) models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 15 |
| 2008 | Local asymptotic normality and efficient estimation for INAR(p) models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
| 2006 | Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2006 | Local Asymptotic Normality and Efficient Estimation for inar (P) Models.(2006) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2016 | Asymptotic Inference for Jump Diffusions with State-Dependent Intensity In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 1 |
| 1990 | THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
| 2015 | ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2007 | The Impact of Overnight Periods on Option Pricing In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 12 |
| 2005 | The Impact of Overnight Periods on Option Pricing.(2005) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2005 | The Impact of Overnight Periods on Option Pricing.(2005) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2007 | The impact of overnight periods on option pricing.(2007) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1993 | Temporal Aggregation of GARCH Processes. In: Econometrica. [Full Text][Citation analysis] | article | 369 |
| 1990 | TEMPORAL AGGREGATION OF GARCH PROCESSES..(1990) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1992 | Temporal Aggregation of Garch Processes..(1992) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1990 | Temporal aggregation of GARCH processes.(1990) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1992 | Temporal aggregation of GARCH processes.(1992) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1993 | Temporal aggregation of GARCH processes.(1993) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1990 | Temporal aggregation of GARCH processes.(1990) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1992 | Temporal aggregation of GARCH processes.(1992) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 1994 | Temporal aggregation of GARCH processes.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 369 | paper | |
| 2000 | Efficient Estimation in Semiparametric Time Series: the ACD Model In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 4 |
| 1996 | Closing the GARCH gap: Continuous time GARCH modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 114 |
| 1994 | Closing the GARCH gap : Continuous time GARCH modeling.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 114 | paper | |
| 1996 | Closing the GARCH gap : Continuous time GARCH modeling.(1996) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 114 | paper | |
| 1997 | Efficient estimation in semiparametric GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 76 |
| 1996 | Efficient Estimation in Semiparametric GARCH Models.(1996) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
| 1997 | Efficient estimation in semiparametric GARCH models.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
| 1999 | Efficiency comparisons of maximum-likelihood-based estimators in GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
| 1998 | Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 1998 | Efficiency comparisons of maximum likelihood-based estimators in garch models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2016 | The power envelope of panel unit root tests in case stationary alternatives offset explosive ones In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2008 | Note on integer-valued bilinear time series models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 8 |
| 2007 | Note on Integer-Valued Bilinear Time Series Models.(2007) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2007 | Note on Integer-Valued Bilinear Time Series Models.(2007) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2008 | Note on integer-valued bilinear time series models.(2008) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1993 | A Note on Robinsons Test of Independence. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 3 |
| 1993 | A note on Robinsons test of independence.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1994 | Adaptive Estimation in Time Series Models. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 74 |
| 1994 | Adaptive estimation in time-series models.(1994) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 1997 | Adaptive estimation in time-series models.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 2006 | An Asymptotic Analysis of Nearly Unstable inar (1) Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) In: Discussion Paper. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Asymptotically UMP Panel Unit Root Tests In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Exchange rate target zones : A new approach In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 1997 | Exchange rate target zones : A new approach.(1997) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1988 | How to define UMVU In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
| 1988 | How to define UMVU.(1988) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | The asymptotic structure of nearly unstable non negative integer-valued AR(1) models In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 8 |
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