Access Statistics for Feike C. Drost

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Robinson's Test of Independence 0 0 0 0 0 0 3 975
A note on Robinson's test of independence 0 0 0 2 0 0 2 19
Adaptive Estimation in Time Series Models 0 0 0 0 1 1 7 251
Adaptive estimation in time-series models 0 0 0 1 0 1 7 25
Adaptive estimation in time-series models 0 0 0 0 0 0 1 10
An Asymptotic Analysis of Nearly Unstable inar (1) Models 0 0 0 5 0 0 1 22
Asymptotically UMP Panel Unit Root Tests 0 0 0 6 0 0 3 31
Closing the GARCH gap: Continuous time GARCH modeling 0 0 0 4 0 5 10 49
Closing the GARCH gap: Continuous time GARCH modeling 0 0 1 10 1 4 9 41
Efficiency comparisons of maximum likelihood-based estimators in garch models 0 0 0 2 0 0 7 28
Efficiency comparisons of maximum likelihood-based estimators in garch models 0 0 0 4 0 0 6 22
Efficient Estimation in Semiparametric GARCH Models 0 0 2 12 2 2 8 43
Efficient Estimation in Semiparametric Time Series: the ACD Model 0 1 1 191 0 2 7 321
Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) 0 1 1 4 0 1 3 15
Efficient estimation in semiparametric GARCH models 1 1 1 6 1 1 8 25
Estimation and testing in models containing both jumps and conditional heteroskedasticity 0 0 0 4 0 2 7 30
Exchange rate target zones: A new approach 0 0 0 0 0 0 0 8
How to define UMVU 0 0 0 1 0 0 0 14
Local Asymptotic Normality and Efficient Estimation for inar (P) Models 0 0 0 4 0 0 6 31
Note on Integer-Valued Bilinear Time Series Models 0 0 0 6 0 0 3 19
Note on integer-valued bilinear time series models 0 0 0 0 0 1 2 8
Semiparametric Duration Models 0 0 0 3 0 1 6 19
Semiparametric duration models 0 0 0 0 0 1 8 19
TEMPORAL AGGREGATION OF GARCH PROCESSES 0 0 0 3 2 5 15 382
Temporal Aggregation of Garch Processes 0 0 0 4 1 4 12 353
Temporal aggregation of GARCH processes 0 0 0 18 0 3 9 64
Temporal aggregation of GARCH processes 0 4 15 43 4 15 54 140
Temporal aggregation of GARCH processes 0 0 0 11 1 3 11 58
The Impact of Overnight Periods on Option Pricing 0 0 0 9 1 1 5 37
The asymptotic structure of nearly unstable non negative integer-valued AR(1) models 0 0 1 1 0 0 3 12
The impact of overnight periods on option pricing 0 0 0 5 0 0 1 11
Total Working Papers 1 7 22 359 14 53 224 3,082


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES 0 0 0 0 0 0 1 26
Asymptotic Inference for Jump Diffusions with State-Dependent Intensity 0 0 0 0 0 0 0 3
Closing the GARCH gap: Continuous time GARCH modeling 1 1 1 346 4 7 14 672
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models 0 0 2 47 0 0 7 125
Efficient estimation in semiparametric GARCH models 0 0 4 75 0 0 7 219
Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models 1 1 3 36 1 2 7 116
Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity 0 0 0 0 0 3 8 226
Local asymptotic normality and efficient estimation for INAR(p) models 0 0 0 41 1 1 3 123
Note on integer-valued bilinear time series models 0 0 0 12 0 0 1 82
Semiparametric Duration Models 0 0 0 0 0 2 5 342
THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS 0 1 1 3 0 1 1 12
Temporal Aggregation of GARCH Processes 1 3 10 836 4 17 47 2,044
The Impact of Overnight Periods on Option Pricing 0 0 1 19 0 1 4 72
The power envelope of panel unit root tests in case stationary alternatives offset explosive ones 0 0 1 1 0 0 1 7
Total Journal Articles 3 6 23 1,416 10 34 106 4,069


Statistics updated 2020-09-04