Universiteit van Tilburg -

Profile

Research

Teaching

Contact

F.C. (Feico) Drost

Associate Professor
f.c.drost@uvt.nl

Faculty of Economics and Business Administration
Department of Econometrics and Operations Research

Expertise

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.

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.

Key words

Publications

Principal publications

Click here for the complete list of publications (Tilburg University Repository Publications only)

Education

PhD in Statistics, 1987 Free University Amsterdam: Asymptotics for Generalized Chi-Square Goodness-of-Fit Tests

Master Degree in Econometrics, 1983 University of Groningen

Bachelor Degree in Econometrics, 1982 University of Groningen

Bachelor Degree in Mathematics, 1980 University of Groningen

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

personal homepage at CentER

Publications

Principal publications

Click here for the complete list of publications (Tilburg University Repository Publications only)

Collaboration

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

External accreditation

Refereeing
Annals of Operations Research, Annals of Statistics, Bernoulli, Econometric Theory, Econometrica, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Empirical Finance, Journal of International Money and Finance, Statistica Neerlandica, Statistics and Probability Letters, etc.

Teaching

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