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Drost, Feike C.

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Author ID: drost.feike-c Recent zbMATH articles by "Drost, Feike C."
Published as: Drost, F. C.; Drost, Feike C.
Documents Indexed: 20 Publications since 1987, including 1 Book

Publications by Year

Citations contained in zbMATH Open

18 Publications have been cited 328 times in 271 Documents Cited by Year
Temporal aggregation of GARCH processes. Zbl 0780.62099
Drost, Feike C.; Nijman, Theo E.
82
1993
Adaptive estimation in time-series models. Zbl 0941.62093
Drost, Feike C.; Klaassen, Chris A.; Werker, Bas J. M.
54
1997
Closing the GARCH gap: Continuous time GARCH modeling. Zbl 0862.90044
Drost, Feike C.; Werker, Bas J. M.
36
1996
Efficient estimation in semiparametric GARCH models. Zbl 0944.62120
Drost, Feike C.; Klaassen, Chris A. J.
32
1997
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models. Zbl 1248.62147
Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.
27
2009
A jump-diffusion model for exchange rates in a target zone. Zbl 1075.91533
De Jong, F.; Drost, F. C.; Werker, B. J. M.
18
2001
Local asymptotic normality and efficient estimation for INAR(p) models. Zbl 1199.62007
Drost, Feike C.; Van Den Akker, Ramon; Werker, Bas J. M.
14
2008
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models. Zbl 0941.62101
González-Rivera, Gloria; Drost, Feike C.
13
1999
Note on integer-valued bilinear time series models. Zbl 1416.62484
Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.
12
2008
Power approximations to multinomial tests of fit. Zbl 0683.62027
Drost, F. C.; Kallenberg, W. C. M.; Moore, D. S.; Oosterhoff, J.
11
1989
Asymptotics for generalized chi-square goodness-of-fit tests. Zbl 0655.62045
Drost, F. C.
8
1988
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models. Zbl 1200.62105
Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.
7
2009
Asymptotically UMP panel unit root tests – the effect of heterogeneity in the alternatives. Zbl 1442.62193
Becheri, I. Gaia; Drost, Feike C.; van den Akker, Ramon
5
2015
Generalized chi-square goodness-of-fit tests for location-scale models when the number of classes tends to infinity. Zbl 0683.62011
Drost, F. C.
5
1989
Asymptotic inference for jump diffusions with state-dependent intensity. Zbl 1419.62207
Becheri, I. Gaia; Drost, Feike C.; Werker, Bas J. M.
1
2016
Unit root tests for cross-sectionally dependent panels: the influence of observed factors. Zbl 1311.62129
Becheri, I. Gaia; Drost, Feike C.; van den Akker, Ramon
1
2015
The power of EDF tests of fit under non-robust estimation of nuisance parameters. Zbl 0714.62018
Drost, F. C.; Kallenberg, W. C. M.; Oosterhoff, J.
1
1990
A limit theorem for some modifed chi-square statistics when the number of classes increases. Zbl 0631.62024
Drost, F. C.
1
1987
Asymptotic inference for jump diffusions with state-dependent intensity. Zbl 1419.62207
Becheri, I. Gaia; Drost, Feike C.; Werker, Bas J. M.
1
2016
Asymptotically UMP panel unit root tests – the effect of heterogeneity in the alternatives. Zbl 1442.62193
Becheri, I. Gaia; Drost, Feike C.; van den Akker, Ramon
5
2015
Unit root tests for cross-sectionally dependent panels: the influence of observed factors. Zbl 1311.62129
Becheri, I. Gaia; Drost, Feike C.; van den Akker, Ramon
1
2015
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models. Zbl 1248.62147
Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.
27
2009
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models. Zbl 1200.62105
Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.
7
2009
Local asymptotic normality and efficient estimation for INAR(p) models. Zbl 1199.62007
Drost, Feike C.; Van Den Akker, Ramon; Werker, Bas J. M.
14
2008
Note on integer-valued bilinear time series models. Zbl 1416.62484
Drost, Feike C.; van den Akker, Ramon; Werker, Bas J. M.
12
2008
A jump-diffusion model for exchange rates in a target zone. Zbl 1075.91533
De Jong, F.; Drost, F. C.; Werker, B. J. M.
18
2001
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models. Zbl 0941.62101
González-Rivera, Gloria; Drost, Feike C.
13
1999
Adaptive estimation in time-series models. Zbl 0941.62093
Drost, Feike C.; Klaassen, Chris A.; Werker, Bas J. M.
54
1997
Efficient estimation in semiparametric GARCH models. Zbl 0944.62120
Drost, Feike C.; Klaassen, Chris A. J.
32
1997
Closing the GARCH gap: Continuous time GARCH modeling. Zbl 0862.90044
Drost, Feike C.; Werker, Bas J. M.
36
1996
Temporal aggregation of GARCH processes. Zbl 0780.62099
Drost, Feike C.; Nijman, Theo E.
82
1993
The power of EDF tests of fit under non-robust estimation of nuisance parameters. Zbl 0714.62018
Drost, F. C.; Kallenberg, W. C. M.; Oosterhoff, J.
1
1990
Power approximations to multinomial tests of fit. Zbl 0683.62027
Drost, F. C.; Kallenberg, W. C. M.; Moore, D. S.; Oosterhoff, J.
11
1989
Generalized chi-square goodness-of-fit tests for location-scale models when the number of classes tends to infinity. Zbl 0683.62011
Drost, F. C.
5
1989
Asymptotics for generalized chi-square goodness-of-fit tests. Zbl 0655.62045
Drost, F. C.
8
1988
A limit theorem for some modifed chi-square statistics when the number of classes increases. Zbl 0631.62024
Drost, F. C.
1
1987
all top 5

Cited by 379 Authors

13 Werker, Bas J. M.
11 Drost, Feike C.
8 Hafner, Christian Matthias
8 Hallin, Marc
8 Wang, Dehui
7 van den Akker, Ramon
6 Nikulin, Mikhail Stepanovich
6 Zhang, Haixiang
5 Linton, Oliver Bruce
5 McAleer, Michael
5 Renault, Eric
5 Schick, Anton
5 Wefelmeyer, Wolfgang
4 Becheri, I. Gaia
4 Bollerslev, Tim
4 Francq, Christian
4 Meddahi, Nour
4 Sentana, Enrique
4 Weiß, Christian H.
4 Zakoïan, Jean-Michel
4 Zhu, Fukang
3 Allal, Jelloul
3 Andreou, Elena
3 Barczy, Mátyás
3 Chan, Wai-Sum
3 Cook, Steven C.
3 Hill, Jonathan B.
3 Horváth, Lajos
3 Ispány, Márton
3 Jentsch, Carsten
3 La Vecchia, Davide
3 Lee, Sangyeol
3 Lindner, Alexander M.
3 Ling, Shiqing
3 Meintanis, Simos G.
3 Morales, Domingo
3 Pap, Gyula
3 Pardo, Leandro
3 Renò, Roberto
3 Scotto, Manuel G.
3 Sekiya, Yuri
3 Sorensen, Michael
3 Taneichi, Nobuhiro
3 Taniguchi, Masanobu
3 Vajda, Igor
3 Wang, Yongjin
3 Westerlund, Joakim
2 Asai, Manabu
2 Bagdonavičius, Vilijandas B.
2 Bakouch, Hassan S.
2 Batten, Jonathan A.
2 Berkes, István
2 Bisaglia, Luisa
2 Bo, Lijun
2 Cheung, Siu Hung
2 Ferrari, Giorgio
2 Fiorentini, Gabriele
2 Fokianos, Konstantinos
2 Ghysels, Eric
2 González-Rivera, Gloria
2 Guégan, Dominique
2 Hodgson, Douglas J.
2 Jung, Robert C.
2 Kaaouachi, A.
2 Kallenberg, Wilbert C. M.
2 Klaassen, Chris A. J.
2 Klüppelberg, Claudia
2 Kristensen, Dennis
2 Lai, Dejian
2 Laurent, Sébastien-Yves
2 Levuliene, Ruta J.
2 Li, Qi
2 Mancini, Cecilia
2 McCabe, Brendan P. M.
2 McMillan, David G.
2 Nyberg, Kaisa
2 Pan, Jiazhu
2 Popović, Predrag M.
2 Provasi, Corrado
2 Robinson, Peter Michael
2 Rombouts, Jeroen V. K.
2 Speight, Alan E. H.
2 Suzukawa, Akio
2 Taniai, Hiroyuki
2 Tremayne, Andrew R.
2 Wang, Hui
2 Wang, Qin
2 Yang, Xuewei
2 Yao, Weixin
2 Zhang, Li-Xin
1 Adam, Timo
1 Aguilar, Mike
1 Aguirre, Neige
1 Ahmad, Ali
1 Ahmed, Jameel
1 Akharif, Abdelhadi
1 Aknouche, Abdelhakim
1 Akushkina, Kseniya A.
1 Alfarano, Simone
1 Alvarez-Andrade, Sergio
...and 279 more Authors
all top 5

Cited in 75 Serials

43 Journal of Econometrics
17 Econometric Theory
16 Journal of Time Series Analysis
13 Communications in Statistics. Theory and Methods
12 The Annals of Statistics
11 Journal of Statistical Planning and Inference
8 Statistics & Probability Letters
8 Quantitative Finance
7 Scandinavian Journal of Statistics
7 Journal of Multivariate Analysis
7 Computational Statistics and Data Analysis
6 Economics Letters
5 Econometric Reviews
4 Kybernetika
4 Mathematics and Computers in Simulation
4 Statistics
4 Journal of Statistical Computation and Simulation
4 Stochastic Processes and their Applications
4 Bernoulli
4 The Econometrics Journal
4 International Journal of Theoretical and Applied Finance
3 Communications in Statistics. Simulation and Computation
3 Journal of Mathematical Sciences (New York)
3 Brazilian Journal of Probability and Statistics
3 Asia-Pacific Financial Markets
3 Statistical Methodology
3 Journal of the Korean Statistical Society
2 Journal of Applied Probability
2 Metron
2 Journal of Economic Dynamics & Control
2 Annals of Operations Research
2 The Annals of Applied Probability
2 Test
2 Statistical Papers
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Applied Stochastic Models in Business and Industry
2 Scandinavian Actuarial Journal
2 Journal of Statistical Theory and Practice
1 The Canadian Journal of Statistics
1 International Journal of Systems Science
1 Journal of Mathematical Analysis and Applications
1 Metrika
1 Physica A
1 Annals of the Institute of Statistical Mathematics
1 Journal of Computational and Applied Mathematics
1 Statistica Neerlandica
1 Journal of the Japan Statistical Society
1 Acta Mathematicae Applicatae Sinica. English Series
1 Journal of Cryptology
1 Computational Statistics
1 Applied Mathematical Modelling
1 Stochastics and Stochastics Reports
1 Computational Optimization and Applications
1 Computational Economics
1 Mathematical Methods of Statistics
1 Mathematical Problems in Engineering
1 Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Studies in Nonlinear Dynamics and Econometrics
1 Journal of Applied Statistics
1 Extremes
1 International Journal of Modern Physics C
1 Advances and Applications in Statistics
1 Statistical Modelling
1 Journal of Mathematical Cryptology
1 Cryptography and Communications
1 Science China. Mathematics
1 Advances in Decision Sciences
1 Journal of Probability and Statistics
1 Statistics & Risk Modeling
1 Journal of Time Series Econometrics
1 ISRN Probability and Statistics
1 Cogent Mathematics & Statistics

Citations by Year