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81
Efficient estimation in semiparametric GARCH models
Drost, Feike C.
;
Klaassen, Chris A.
-
1996
Persistent link: https://www.econbiz.de/10000933993
Saved in:
82
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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83
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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84
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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85
Efficiency comparisons of maximum likelihood-based estimators in GARCH models
González-Rivera, Gloria
;
Drost, Feike C.
-
1998
Persistent link: https://www.econbiz.de/10000997535
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86
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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87
Estimation and testing in models containing both jumps and conditional heteroskedasticity
Drost, Feike C.
;
Nijman, Theodore E.
;
Werker, Bas J. M.
-
1994
Persistent link: https://www.econbiz.de/10000904675
Saved in:
88
Temporal aggregation of time-series
Drost, Feike C.
- In:
Econometric analysis of financial markets
,
(pp. 11-21)
.
1994
Persistent link: https://www.econbiz.de/10001284439
Saved in:
89
Efficient estimation in semiparametric GARCH models
Drost, Feike C.
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 193-221
Persistent link: https://www.econbiz.de/10001336797
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90
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
González-Rivera, Gloria
;
Drost, Feike C.
- In:
Journal of econometrics
93
(
1999
)
1
,
pp. 93-111
Persistent link: https://www.econbiz.de/10001406643
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