← All authors Feike C. Drost Tilburg University (from arXiv:1905.11184, 2019) · ORCID · OpenAlex
23 papers in scope · 22 published · 1 on the econ.EM arXiv · 1,554 citations · h-index 13 (over the papers listed here)
Papers (1 of 23)
ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS
published 2024 · Econometric Theory · 1 citations · first circulated 2023
working paper 2019 · arXiv
Asymptotic Inference for Jump Diffusions with State‐Dependent Intensity
published 2015 · Scandinavian Journal of Statistics · 2 citations
The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
published 2015 · Statistics & Probability Letters · 3 citations
Unit root tests for cross-sectionally dependent panels: The influence of observed factors
published 2014 · Journal of Statistical Planning and Inference · 5 citations
ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES
published 2014 · Econometric Theory · 12 citations · first circulated 2013
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
published 2009 · Bernoulli · 22 citations
Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR( p ) Models
published 2008 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 76 citations · first circulated 2007
Local asymptotic normality and efficient estimation for INAR( p ) models
published 2008 · Journal of Time Series Analysis · 35 citations · first circulated 2006
Note on integer-valued bilinear time series models
published 2007 · Statistics & Probability Letters · 6 citations · first circulated 2003
The Impact of Overnight Periods on Option Pricing
published 2007 · Journal of Financial and Quantitative Analysis · 29 citations · first circulated 2004
Semiparametric Duration Models
published 2004 · Journal of Business and Economic Statistics · 88 citations
A Jump‐diffusion Model for Exchange Rates in a Target Zone
published 2001 · Statistica Neerlandica · 54 citations
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
published 1999 · Journal of Econometrics · 39 citations · first circulated 1998
with Gloria González-Rivera
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
published 1998 · Journal of Business and Economic Statistics · 48 citations
Efficient estimation in semiparametric GARCH models
published 1997 · Journal of Econometrics · 134 citations · first circulated 1996
with Chris A. J. Klaassen
Adaptive estimation in time-series models
published 1997 · The Annals of Statistics · 5 citations
Closing the GARCH gap: Continuous time GARCH modeling
published 1996 · Journal of Econometrics · 227 citations · first circulated 1994
Temporal Aggregation of Garch Processes
published 1993 · Econometrica · 699 citations
with Theo Nijman, Theo E Numan
THE POWER OF EDF TESTS OF FIT UNDER NON-ROBUST ESTIMATION OF NUISANCE PARAMETERS
published 1990 · Statistics & Risk Modeling · 6 citations
with W.C.M. Kallenberg, J. Oosterhoff
Generalized Chi-Square Goodness-of-Fit Tests for Location-Scale Models when the Number of Classes Tends to Infinity
published 1989 · The Annals of Statistics · 11 citations
Power Approximations to Multinomial Tests of Fit
published 1989 · Journal of the American Statistical Association · 37 citations
with W.C.M. Kallenberg, David S. Moore, J. Oosterhoff
Asymptotics for Generalized Chi-Square Goodness-of-Fit Tests.
published 1989 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 15 citations · first circulated 1988
with Noel Cressie
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