Feike C. Drost
Author
Alternate names Feike C. Drost, F. C. Drost
Institution Tilburg University
Past institutions Tilburg University, University of Amsterdam, Royal Netherlands Academy of Arts and Sciences, Centrum Wiskunde & Informatica, Foundation Centrum '45 +1 more
ORCID: Yes
H-index: 15
I10-index: 23
Works count: 76
Citations count: 1,907
Temporal Aggregation of Garch Processes
1993 · Feike C. Drost, Theo Nijman · Econometrica
Closing the GARCH gap: Continuous time GARCH modeling
1996 · Feike C. Drost, Bas J. M. Werker · Journal of Econometrics
Adaptive estimation in time-series models
1997 · Feike C. Drost, Chris A. J. Klaassen, et al. · The Annals of Statistics