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A note on Robinson's test of independence
Drost, Feike C.; Werker, Bas J. M. - 1993
Persistent link: https://www.econbiz.de/10000855021
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Temporal aggregation of GARCH processes
Drost, Feike C.; Nijman, Theodore E. - 1990
Persistent link: https://www.econbiz.de/10000801756
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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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Exchange rate target zones : a new approach
Jong, Frank de; Drost, Feike C.; Werker, Bas J. M. - 1997
Persistent link: https://www.econbiz.de/10000953843
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An asymptotic analysis of nearly unstable INAR (1) models
Drost, Feike C. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003331627
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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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Semiparametric duration models
Drost, Feike C.; Werker, Bas J. M. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 40-50
Persistent link: https://www.econbiz.de/10001891415
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Estimation and testing in models containing both jumps and conditional heteroscedasticity
Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10001244002
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Temporal aggregation of GARCH processes
Drost, Feike C. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 909-927
Persistent link: https://www.econbiz.de/10001147137
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Efficiency comparisons of maximum likelihood-based estimators in GARCH models
González-Rivera, Gloria; Drost, Feike C. - 1998
Persistent link: https://www.econbiz.de/10000997535