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 6 993
A note on Robinson's test of independence 0 0 0 3 0 0 0 25
Adaptive Estimation in Time Series Models 0 0 0 0 1 2 3 270
Adaptive estimation in time-series models 0 0 0 3 0 1 1 34
Adaptive estimation in time-series models 0 0 0 2 0 1 1 18
An Asymptotic Analysis of Nearly Unstable inar (1) Models 0 0 0 6 0 1 4 28
Asymptotically UMP Panel Unit Root Tests 1 5 22 28 2 10 54 95
Closing the GARCH gap: Continuous time GARCH modeling 0 0 0 8 0 0 2 187
Closing the GARCH gap: Continuous time GARCH modeling 0 0 0 15 0 0 0 128
Efficiency comparisons of maximum likelihood-based estimators in garch models 0 0 0 2 0 0 2 34
Efficiency comparisons of maximum likelihood-based estimators in garch models 0 0 0 4 0 0 1 25
Efficient Estimation in Semiparametric GARCH Models 0 0 0 12 0 0 0 47
Efficient Estimation in Semiparametric Time Series: the ACD Model 0 0 0 193 1 2 3 341
Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) 0 0 0 5 1 1 1 17
Efficient estimation in semiparametric GARCH models 0 0 0 7 1 1 2 36
Estimation and testing in models containing both jumps and conditional heteroskedasticity 0 0 0 0 0 0 0 4
Estimation and testing in models containing both jumps and conditional heteroskedasticity 0 0 0 4 1 1 3 38
Exchange rate target zones: A new approach 0 0 0 0 0 1 2 2
Exchange rate target zones: A new approach 0 0 0 0 0 0 0 10
How to define UMVU 0 0 0 0 0 0 1 3
How to define UMVU 0 0 0 1 0 0 1 16
Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing 0 0 0 15 1 1 3 43
Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing 0 0 0 2 0 0 2 16
Local Asymptotic Normality and Efficient Estimation for inar (P) Models 0 0 0 6 2 5 5 41
Local Asymptotic Normality and Efficient Estimation for inar (P) Models 0 1 1 1 0 2 2 7
Note on Integer-Valued Bilinear Time Series Models 0 0 0 0 0 0 0 1
Note on Integer-Valued Bilinear Time Series Models 0 0 0 7 0 0 0 22
Note on integer-valued bilinear time series models 0 0 0 1 0 0 0 16
Semiparametric Duration Models 0 0 0 0 0 0 0 3
Semiparametric Duration Models 0 0 0 4 1 1 3 29
Semiparametric duration models 0 0 0 0 0 0 0 22
TEMPORAL AGGREGATION OF GARCH PROCESSES 0 0 0 3 0 0 2 398
Temporal Aggregation of Garch Processes 0 0 0 4 0 1 2 367
Temporal aggregation of GARCH processes 0 0 0 64 0 1 3 208
Temporal aggregation of GARCH processes 1 1 1 14 2 3 4 77
Temporal aggregation of GARCH processes 0 0 1 8 0 0 3 22
Temporal aggregation of GARCH processes 0 0 0 2 0 0 2 11
Temporal aggregation of GARCH processes 0 0 0 1 0 0 1 6
Temporal aggregation of GARCH processes 0 0 0 21 0 0 0 79
The Impact of Overnight Periods on Option Pricing 0 0 0 9 1 1 1 56
The Impact of Overnight Periods on Option Pricing 0 0 0 1 0 0 1 6
The asymptotic structure of nearly unstable non negative integer-valued AR(1) models 1 1 1 2 1 1 2 14
The impact of overnight periods on option pricing 0 0 0 5 0 0 0 17
Total Working Papers 3 8 26 463 15 37 123 3,812

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 1 1 1 32
Asymptotic Inference for Jump Diffusions with State-Dependent Intensity 0 0 0 0 1 1 2 7
Closing the GARCH gap: Continuous time GARCH modeling 0 0 1 358 0 1 5 765
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models 1 1 1 48 4 4 6 135
Efficient estimation in semiparametric GARCH models 0 0 0 79 2 3 4 236
Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models 1 2 3 39 2 5 6 127
Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity 0 0 0 0 1 2 3 290
Local asymptotic normality and efficient estimation for INAR(p) models 0 0 0 42 2 3 3 146
Note on integer-valued bilinear time series models 0 0 0 12 2 2 2 90
Semiparametric Duration Models 0 0 0 0 1 1 3 353
THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS 0 0 0 3 0 0 0 13
Temporal Aggregation of GARCH Processes 0 0 1 852 2 5 17 2,131
The Impact of Overnight Periods on Option Pricing 0 0 0 20 0 0 1 89
The power envelope of panel unit root tests in case stationary alternatives offset explosive ones 0 0 0 1 2 2 2 10
Total Journal Articles 2 3 6 1,454 20 30 55 4,424

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Statistics updated 2025-11-08