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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:"Zeitreihenanalyse"
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Volatility
ARCH-Modell
Zeitreihenanalyse
Estimation theory
230
Schätztheorie
230
Theorie
149
Theory
149
Time series analysis
27
Nichtparametrisches Verfahren
22
Nonparametric statistics
22
Regression analysis
11
Regressionsanalyse
11
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10
Statistical theory
10
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Zakoïan, Jean-Michel
10
Francq, Christian
9
Gouriéroux, Christian
8
Jasiak, Joann
5
Guégan, Dominique
4
Broze, Laurence
3
Comte, Fabienne
3
Ghysels, Eric
2
Guerre, Emmanuel
2
Hardouin, C.
2
Monfort, Alain
2
Scaillet, Olivier
2
Bardet, Jean-Marc
1
Bertholon, Henri
1
Billio, Monica
1
Bisaglia, Luisa
1
Breitung, Jörg
1
Burridge, Peter
1
Darolles, Serge
1
Delecroix, Michel
1
Doukhan, Paul
1
Dupuis, Jérôme A.
1
Entorf, Horst
1
Fermanian, Jean-David
1
Ferrara, Laurent
1
Florens, Jean-Pierre
1
Gourieroux, Christian
1
Henry, Mark S.
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Hili, O.
1
Horváth, Lajos
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Hristache, Marian
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León, José-Raphael
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Lisi, Francesco
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Malongo, Hassan
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Mélard, Guy
1
Patilea, Valentin
1
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1
Renault, Eric
1
Robert, Christian Yann
1
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Journal of econometrics
387
Econometric theory
199
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
173
Economics letters
162
Discussion paper / Tinbergen Institute
109
Econometric reviews
103
International journal of forecasting
71
CREATES research paper
69
Journal of forecasting
66
Working paper / Department of Econometrics and Business Statistics, Monash University
66
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
58
Applied economics letters
57
Econometrics : open access journal
52
The econometrics journal
48
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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45
Journal of empirical finance
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Cowles Foundation discussion paper
42
Journal of time series econometrics
42
Applied economics
40
Computational economics
40
Journal of the American Statistical Association : JASA
39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Journal of applied econometrics
34
EUI working paper / ECO
33
SFB 649 discussion paper
32
NBER working paper series
31
Journal of banking & finance
26
Working paper / National Bureau of Economic Research, Inc.
26
LSE STICERD Research Paper
25
Umeå economic studies
25
Working paper series
25
Discussion paper / Center for Economic Research, Tilburg University
24
Discussion paper / Centre for Economic Forecasting
24
Oxford bulletin of economics and statistics
24
Technical working paper / National Bureau of Economic Research
24
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ECONIS (ZBW)
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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
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:
4
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:
5
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
6
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:
7
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
8
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:
9
Estimation of the volatility persistence in a discretly observed diffusion model
Rosenbaum, Mathieu
-
2006
Persistent link: https://www.econbiz.de/10003342570
Saved in:
10
A degeneracy in the analysis of volatility and covolatility effects
Gouriéroux, Christian
;
Jasiak, Joann
-
2006
Persistent link: https://www.econbiz.de/10003468054
Saved in:
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