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isPartOf:"Journal of econometrics"
subject:"Schätztheorie"
~isPartOf:"Econometric theory"
~person:"Zakoïan, Jean-Michel"
~subject:"Estimation"
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Schätztheorie
Estimation
Estimation theory
13
ARCH model
9
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Time series analysis
5
Zeitreihenanalyse
5
Schätzung
4
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
53
Linton, Oliver
41
Lee, Lung-fei
33
Chen, Songnian
28
Li, Qi
26
Su, Liangjun
24
Robinson, Peter M.
21
Andrews, Donald W. K.
19
Gao, Jiti
19
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19
Cai, Zongwu
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18
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17
Fan, Yanqin
16
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16
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16
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15
Francq, Christian
15
Gouriéroux, Christian
15
Park, Joon Y.
15
Baltagi, Badi H.
14
Leybourne, Stephen James
14
Hsiao, Cheng
13
Kristensen, Dennis
13
Magnus, Jan R.
13
Saikkonen, Pentti
13
Chambers, Marcus J.
12
Hansen, Bruce E.
12
Horowitz, Joel
12
Li, Degui
12
Perron, Pierre
12
Simar, Léopold
12
Wooldridge, Jeffrey M.
12
Xiao, Zhijie
12
Lewbel, Arthur
11
Pötscher, Benedikt M.
11
Todorov, Viktor
11
Wang, Qiying
11
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10
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Journal of econometrics
Econometric theory
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
7
CORE discussion paper : DP
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Working paper series
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Handbook of financial time series
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Journal de la Société de Statistique de Paris
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ECONIS (ZBW)
13
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
4
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
5
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
6
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
7
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
8
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
9
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Francq, Christian
;
Lepage, Guillaume
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
165
(
2011
)
2
,
pp. 246-257
Persistent link: https://www.econbiz.de/10009409634
Saved in:
10
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
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