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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
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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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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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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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Statistical methods in financial econometrics
Werker, Bas J. M. - 1995
Persistent link: https://www.econbiz.de/10000929538
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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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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - In: Journal of econometrics 74 (1996) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10001755360
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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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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