Statistics
Publications
18
Citations
1.6K
H-Index
14
Active since
1988
Affiliations
Feike C. Drost is an author at Tilburg University specializing in econometrics, economics, and finance.
Publications per year
1988–2014
18
18
Temporal Aggregation of Garch Processes
Feike C. Drost, Theo Nijman · Econometrica · 1993 · 699 citations
Closing the GARCH gap: Continuous time GARCH modeling
Feike C. Drost, Bas J. M. Werker · Journal of Econometrics · 1996 · 227 citations
Semiparametric Duration Models
Feike C. Drost, Bas J. M. Werker · Journal of Business and Economic Statistics · 2004 · 88 citations
Social Sciences, Economics, Finance +17
1–5 of 18