Feike C Drost
Biographic Data
| ID | 8920706 |
|---|---|
| NAME | Feike C Drost |
| GIVEN NAMES | Feike C |
| FAMILY NAME | Drost |
| SIGNATURE | DROST F C |
| AFFILIATIONS | Tilburg University |
| ORCID | 0000-0003-4304-6650 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1998 |
| LATEST PUBLICATION YEAR | 2004 |
| H-INDEX | 0 |
Semiparametric Duration Models
In this article we consider semiparametric duration models and efficient estimation of the parameters in a non-iid environment. In contrast to classical time series models where innovations are assumed to be iid we show that in, for example, the often-used autoregressive conditional duration (ACD) model, the assumption of independent innovations is too restrictive to describe financial durations accurately. Therefore, we consider semiparametric e…
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …
No prominent works on this page.
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …
Semiparametric Duration Models
In this article we consider semiparametric duration models and efficient estimation of the parameters in a non-iid environment. In contrast to classical time series models where innovations are assumed to be iid we show that in, for example, the often-used autoregressive conditional duration (ACD) model, the assumption of independent innovations is too restrictive to describe financial durations accurately. Therefore, we consider semiparametric e…
Autoregressive model (2 works) · Econometrics (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Statistics (2 works) · Stochastic processes and financial applications (2 works) · Artificial Intelligence (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work)