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person:"Fornari, Fabio"
subject:"Share price"
~person:"Krämer, Walter"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Share price
ARCH model
Estimation theory
116
Schätztheorie
116
Theorie
56
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56
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31
Time series analysis
23
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23
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15
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11
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11
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Fornari, Fabio
Krämer, Walter
Zakoïan, Jean-Michel
Francq, Christian
27
Linton, Oliver
21
Teräsvirta, Timo
21
Engle, Robert F.
17
Rahbek, Anders
16
Hafner, Christian M.
15
Ardia, David
14
Bauwens, Luc
14
Kumar, Dilip
14
Shephard, Neil G.
13
Sheppard, Kevin
13
Audrino, Francesco
12
Kapetanios, George
12
Pesaran, M. Hashem
12
McAleer, Michael
11
Silvennoinen, Annastiina
11
Tauchen, George Eugene
11
Koopman, Siem Jan
10
Maheswaran, S.
10
Sentana, Enrique
10
Nelson, Daniel B.
9
Pedersen, Rasmus Søndergaard
9
Todorov, Viktor
9
Trojani, Fabio
9
Allen, David E.
8
Bailey, Natalia
8
Fiorentini, Gabriele
8
Gao, Jiti
8
Hautsch, Nikolaus
8
Li, Jia
8
Lütkepohl, Helmut
8
Milunovich, George
8
Preminger, Arie
8
Bollerslev, Tim
7
Carnero, M. Angeles
7
Cavaliere, Giuseppe
7
Faff, Robert W.
7
Feng, Yuanhua
7
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8
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7
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3
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2
Economics letters
2
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2
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Handbook of financial time series
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ECONIS (ZBW)
42
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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
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
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
8
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:
9
On the origins of high persistence in GARCH-models
Krämer, Walter
;
Tameze Azamo, Baudouin
;
Christou, …
-
2009
Persistent link: https://www.econbiz.de/10008839631
Saved in:
10
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
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