Research Output per year

## Personal profile

### Research interests

Feike C. Drost is research fellow at CentER, Tilburg University, and associate professor in Mathematical Statistics and Quantitative Finance at the Department of Econometrics & OR.

**Refereed Publications: click here**

Feike's research program is concentrated on the statistical aspects of financial models and it includes, for example, semiparametric analysis in time series, statistical properties of diffusion models, and the relation between discrete time and continuous time models.

### 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

### 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

### Current courses

Click here for my courses.

### Teaching

Currently Feike C. Drost teaches (parts of) the following courses:

**Blackoard Learning System**

Previously, Feike C. Drost taught several courses in mathematics, statistics, econometrics, and finance:

**for mathematicians:**Real Ananlysis, Linear Algebra, Introduction to Probability Theory, Mathematical Statistics, Data Analysis**for economists:**Analysis, Statistics 1, Statistics 2, Statistics 3, Investment Theory, Empirical Finance**for econometricians:**- Real Analysis, Linear Algebra
- Introduction to Probability Theory, Introduction to Statistics, Estimation and Hypothesis Testing, Linear Regression, Advanced Statistics, Non- and Semiparametric Statistics
- Econometric Methods, Empirical Applications
- Orientation Quantitative Finance and Actuarial Sciences, Quantitative Finance, Empirics of Financial Markets, Life Insurance and Pension Funds, Asset Liability Management
- Case Studies, Organization of Intermediate Thesis

**PhD courses:**Mathematical Finance, Financial Econometrics, Advanced Econometric Methods- Furthermore development of courses, guidance of several Bachelor and Master thesis, and guidance of PhD

### Keywords

- Econometrics
- Statistical Methods
- Time Series
- Financial Mathematics

## Fingerprint Dive into the research topics where Feike C. Drost is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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## Research Output 1988 2019

## 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

## 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

## 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

## 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

## 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 1997 1997

- 8 Invited talk

## Exchange Rate Target Zones: A New Approach

F.C. Drost (Speaker)Activity: Talk or presentation types › Invited talk › Scientific

## Exchange Rate Target Zones: A New Approach

F.C. Drost (Speaker)Activity: Talk or presentation types › Invited talk › Scientific

## Exchange Rate Target Zones: A New Approach

F.C. Drost (Speaker)Activity: Talk or presentation types › Invited talk › Scientific

## Efficient Estimation in Semiparametric Time Series

F.C. Drost (Speaker)Activity: Talk or presentation types › Invited talk › Scientific

## Exchange Rate Target Zones: A New Approach

F.C. Drost (Speaker)Activity: Talk or presentation types › Invited talk › Scientific

## Projects 2001 2012

- 5 Finished

## 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

## Testing volatility option pricing models

Kozarski, R., Melenberg, B. & Drost, F. C.

1/09/06 → 1/09/09

Project: Research project

## Dynamic intraday derivative strategies

van der Heijden, T. G. E., Werker, B. & Drost, F. C.

1/09/06 → 1/09/10

Project: Research project

## 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

## New approaches to derivatives management

Werker, B., Boes, M. J., Nijman, T. & Drost, F. C.

1/09/01 → 1/09/05

Project: Research project