Authors: DROST FC NIJMAN TE WERKER BJM

Citation: Fc. Drost et al., ESTIMATION AND TESTING IN MODELS CONTAINING BOTH JUMPS AND CONDITIONAL HETEROSCEDASTICITY, Journal of business & economic statistics, 16(2), 1998, pp. 237-243

Authors: DROST FC KLAASSEN CAJ

Citation: Fc. Drost et Caj. Klaassen, EFFICIENT ESTIMATION IN SEMIPARAMETRIC GARCH MODELS, Journal of econometrics, 81(1), 1997, pp. 193-221

Authors: DROST FC WERKER BJM

Citation: Fc. Drost et Bjm. Werker, CLOSING THE GARCH GAP - CONTINUOUS-TIME GARCH MODELING, Journal of econometrics, 74(1), 1996, pp. 31-57

Authors: DROST FC NIJMAN TE

Citation: Fc. Drost et Te. Nijman, TEMPORAL AGGREGATION OF GARCH PROCESSES, Econometrica, 61(4), 1993, pp. 909-927