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:
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.
- 3 Similar Profiles
Efficient Estimation
Mathematics
Autoregression
Mathematics
Unit Root Tests
Mathematics
Integer
Mathematics
Local Asymptotic Normality
Mathematics
Non-negative
Mathematics
Unit Root
Mathematics
Time Series Models
Mathematics
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
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
Open Access
File
Equivalence
Panel unit root
Unit root testing
Power envelope
Unit root tests
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
Asymptotic Inference
Jump Diffusion
Volatility
Local Asymptotic Normality
Jump-diffusion Process
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
Unit Root Tests
Envelope
Random Perturbation
Alternatives
Perturbation
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
Panel unit root tests
regression
experiment
Power envelope
Optimal test
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
Derivatives
Option value
Traders
Managers
Time-varying
Activities 1997 1997
- 8 Invited talk
Exchange Rate Target Zones: A New Approach
F.C. Drost (Speaker)2 Apr 1997
Activity: Talk or presentation types › Invited talk › Scientific
Exchange Rate Target Zones: A New Approach
F.C. Drost (Speaker)24 Apr 1997
Activity: Talk or presentation types › Invited talk › Scientific
Exchange Rate Target Zones: A New Approach
F.C. Drost (Speaker)26 Aug 1997
Activity: Talk or presentation types › Invited talk › Scientific
Efficient Estimation in Semiparametric Time Series
F.C. Drost (Speaker)2 Dec 1997
Activity: Talk or presentation types › Invited talk › Scientific
Exchange Rate Target Zones: A New Approach
F.C. Drost (Speaker)19 Feb 1997
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