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language:"eng"
subject:"Nonparametric statistics"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Nonparametric statistics
ARCH model
Volatilität
Estimation theory
43
Schätztheorie
43
ARCH-Modell
27
Theorie
15
Theory
15
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Estimation
8
Risikomaß
8
Risk measure
8
Schätzung
8
Volatility
7
Autocorrelation
4
Autokorrelation
4
Börsenkurs
4
Share price
4
Forecasting model
3
Heteroscedasticity
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Heteroskedastizität
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Measurement
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Messung
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Prognoseverfahren
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Statistical distribution
3
Statistical test
3
Statistische Verteilung
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Statistischer Test
3
Stochastic process
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Stochastischer Prozess
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VAR model
3
VAR-Modell
3
ARMA model
2
ARMA-Modell
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Capital income
2
Conditional heteroskedasticity
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English
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Francq, Christian
Linton, Oliver
93
Gao, Jiti
74
Chen, Xiaohong
65
Härdle, Wolfgang
53
Li, Qi
40
Newey, Whitney K.
40
Cai, Zongwu
37
Li, Degui
37
Otsu, Taisuke
36
Phillips, Peter C. B.
36
Hoderlein, Stefan
34
Horowitz, Joel
34
Florens, Jean-Pierre
33
Simar, Léopold
33
Su, Liangjun
32
Kristensen, Dennis
31
Racine, Jeffrey
30
Ichimura, Hidehiko
27
Lewbel, Arthur
27
Mammen, Enno
26
Koopman, Siem Jan
25
Linton, Oliver B.
25
Escanciano, Juan Carlos
24
Robinson, Peter M.
24
Zakoïan, Jean-Michel
24
Dette, Holger
23
Hafner, Christian M.
23
Ullah, Aman
23
Van Keilegom, Ingrid
23
Lee, Sokbae
22
Breunig, Christoph
21
Chernozhukov, Victor
21
Henderson, Daniel J.
21
Parmeter, Christopher F.
21
Sun, Yiguo
21
Hu, Yingyao
20
Rothe, Christoph
20
Teräsvirta, Timo
20
Feng, Yuanhua
19
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
28
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
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:
5
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:
6
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
7
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:
8
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:
9
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
10
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
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