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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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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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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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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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Temporal aggregation of GARCH processes
Drost, Feike C.; Nijman, Theodore E. - 1992 - Rev
Persistent link: https://www.econbiz.de/10000847144
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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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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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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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Adaptive estimation in time-series models
Drost, Feike C.; Klaassen, Chris A.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000900412