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isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
subject:"Volatility"
~language:"eng"
~subject:"ARCH-Modell"
~subject:"Bayes-Statistik"
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Volatility
ARCH-Modell
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Estimation theory
230
Schätztheorie
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Theorie
149
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149
Time series analysis
27
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Francq, Christian
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Zakoïan, Jean-Michel
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Rousseau, Judith
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Malongo, Hassan
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Marin, Jean-Michel
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Monfort, Alain
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Journal of econometrics
186
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
78
Econometric theory
52
Economics letters
52
Discussion paper / Tinbergen Institute
43
Econometric reviews
39
Journal of empirical finance
31
Economic modelling
30
International journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
Working paper / Department of Econometrics and Business Statistics, Monash University
28
The econometrics journal
27
CREATES research paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Econometrics : open access journal
20
Finance research letters
20
Journal of forecasting
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Journal of banking & finance
19
Journal of the American Statistical Association : JASA
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Computational economics
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Journal of financial econometrics
18
Quantitative finance
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Applied economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
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SFB 649 discussion paper
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European journal of operational research : EJOR
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The North American journal of economics and finance : a journal of financial economics studies
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Working paper
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International journal of economics and financial issues : IJEFI
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International journal of theoretical and applied finance
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Journal of risk
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1
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
2
On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David
;
Malongo, Hassan
-
2013
Persistent link: https://www.econbiz.de/10010342712
Saved in:
3
Bayesian optimal adaptive estimation using a sieve prior
Arbel, Julyan
;
Gayraud, Ghislaine
;
Rousseau, Judith
-
2013
Persistent link: https://www.econbiz.de/10010342727
Saved in:
4
Regularization in regression : comparing Bayesian and frequentist methods in a poorly informative situation
Celeux, Gilles
;
El Anbari, Mohammed
;
Marin, Jean-Michel
; …
-
2010
Persistent link: https://www.econbiz.de/10009406553
Saved in:
5
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
6
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935360
Saved in:
7
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
8
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
9
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
10
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
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