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Efficient estimation in semi-parametric GARCH models
Drost, Feike C.; Klaassen, Chris A.J. - In: Journal of econometrics 81 (1997) 1, pp. 193-222
Persistent link: https://www.econbiz.de/10006791205
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Closing the GARCH gap: Continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J.M. - In: Journal of econometrics 74 (1996) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10006796324
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Temporal Aggregation of GARCH Processes
Drost, Feike C.; Nijman, Theo E. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 909-928
Persistent link: https://www.econbiz.de/10006805376
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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/10008214954
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Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
Drost, Feike C.; Nijman, Theo E.; Werker, Bas J.M. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10008219288
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The Impact of Overnight Periods on Option Pricing
Boes, Mark-Jan; Drost, Feike C.; Werker, Bas J.M. - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 2, pp. 517
Persistent link: https://www.econbiz.de/10007759828