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Adaptive estimation in time-series models
Drost, Feike C.; Klaassen, Chris A.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000900412
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000879810
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Testing for spanning with futures contracts and nontraded assets : a general approach
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1996
Persistent link: https://www.econbiz.de/10000944513
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Semiparametric duration models
Drost, Feike C. (contributor); Werker, Bas J. M. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001568494
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A simple asymtotic analysis of residual-based statistics
Andreou, Elena (contributor); Werker, Bas J. M. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001871037
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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models
Drost, Feike C. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003483609
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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models
Drost, Feike C. (contributor);  … - 2008 - Rev. version of CentER Discussion Paper 2007-23
Persistent link: https://www.econbiz.de/10003752414