Research output per year
Research output per year
Personal profile
Research interests
Feike C. Drost is associate professor in Mathematical Statistics and Quantitative Finance at the Department of Econometrics & OR.
Refereed Publications: click here
Feike's research program focused on the statistical aspects of financial models and includes, for example, semiparametric analysis in time series, statistical properties of diffusion models, and the relation between discrete time and continuous time models.
PhD supervision
COMPLETED PhD THESES
- Robert Kozarski, 2013, Pricing and hedging in the VIX derivative market, with Bertrand Melenberg
- I. Gaia Becheri, 2012, Limiting experiments for panel data and jump-diffusion models, with Ramon van den Akker and Bas J.M. Werker
- Thijs G.E. van der Heijden, 2011, Duration Models, Heterogeneous Beliefs, and Optimal Timing, with Bas J.M. Werker
- Ramon van den Akker, 2007, Integer-Valued Time Series, with Bas J.M. Werker
- Mark-Jan Boes ,2006, Index Options: Pricing, Implied Densities, and Returns, with Bas J.M. Werker
- Bas J.M. Werker, 1995, Statistical Models in Financial Econometrics with Ben B. van der Genugten and Theo E. Nijman
Current PhD PROJECTS
- Oliver Wichert, with Bas J.M. Werker
Teaching
Feike taught a wide variety of courses in mathematics, probability, and statistics and their applications in econometrics, quantitative finance, and actuarial science, He supervised a large number of BSc, MSc, and PhD projects. Currently, Feike teaches the following courses:
- 35B402 Probability and Statistics
- 35B501 Statistics for Econometrics
- 35V6A3 Life Insurance
- 323624 Data-Analyse
Career
1997 - present Associate Professor in Mathematical Statistics and Quantitative Finance, Tilburg University
1987 - 1996 Assistant professor in Mathematical Statistics, Tilburg University
1990 - 1994 Research fellow of the Royal Netherlands Academy of Arts and Sciences
Visiting Positions:
June 2001 CREST/INSEE, Paris
December 1998 UCR, Riverside
November 1998 CIRANO, Montreal
January-June 1996 Universite des Sciences Sociales, Toulouse
September + October 1994 CREST/INSEE, Paris
Current courses
Click here for my courses.
Keywords
- Econometrics
- Statistical Methods
- Time Series
- Financial Mathematics
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Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing
Wichert, O., Becheri, I. G., Drost, F. C. & Akker, R. V. D., May 2019, Ithaca: arXiv.org, 70 p. (arXiv; vol. 1905.11184).Research output: Working paper › Other research output
Open AccessFile41 Downloads (Pure) -
Asymptotic inference for jump diffusions with state-dependent intensity
Becheri, G., Drost, F. & Werker, B., 1 Jun 2016, In: Scandinavian Journal of Statistics. 43, 2, p. 520-542Research output: Contribution to journal › Article › Scientific › peer-review
1 Citation (Scopus) -
The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
Becheri, G., Drost, F., van den Akker, R. & Wichert, O., Jan 2016, In: Statistics & probability letters. 108, p. 1-8Research output: Contribution to journal › Article › Scientific › peer-review
2 Citations (Scopus) -
Asymptotically UMP panel unit root tests: the effect of heterogeneity in the alternatives
Becheri, I. G., Drost, F. C. & van den Akker, R., 2015, In: Econometric Theory. 31, 3, p. 539-559 21 p.Research output: Contribution to journal › Article › Scientific › peer-review
5 Citations (Scopus) -
The Option Value in Timing Derivative Trades
Drost, F., van der Heijden, T. G. E. & Werker, B., May 2015, Tilburg: SSRN, 52 p.Research output: Working paper › Other research output
Activities
- 8 Invited talk
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Efficient Estimation in Semiparametric Time Series
F.C. Drost (Speaker)
2 Dec 1997Activity: Talk or presentation types › Invited talk › Scientific
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A Jump-Diffusion Model for Exchange Rates in a Target Zone
F.C. Drost (Speaker)
1 Dec 1997Activity: Talk or presentation types › Invited talk › Scientific
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A Jump-Diffusion Model for Exchange Rates in a Target Zone
F.C. Drost (Speaker)
25 Nov 1997Activity: Talk or presentation types › Invited talk › Scientific
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Exchange Rate Target Zones: A New Approach
F.C. Drost (Speaker)
21 Nov 1997Activity: Talk or presentation types › Invited talk › Scientific
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Exchange Rate Target Zones: A New Approach
F.C. Drost (Speaker)
26 Aug 1997Activity: Talk or presentation types › Invited talk › Scientific
Projects
- 5 Finished
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Limiting experiment for jump-diffusion and panel data models
Becheri, I. G., Werker, B., Drost, F. C. & van den Akker, R.
1/09/09 → 21/12/12
Project: Research project
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Testing volatility option pricing models
Kozarski, R., Melenberg, B. & Drost, F. C.
1/09/06 → 1/09/09
Project: Research project
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Dynamic intraday derivative strategies
van der Heijden, T. G. E., Werker, B. & Drost, F. C.
1/09/06 → 1/09/10
Project: Research project
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Statistical inference on stochastic differential equations driven by the Levy process
Werker, B., van den Akker, R. & Drost, F. C.
1/09/03 → 1/09/07
Project: Research project
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New approaches to derivatives management
Werker, B., Boes, M. J., Nijman, T. & Drost, F. C.
1/09/01 → 1/09/05
Project: Research project