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person:"Fornari, Fabio"
subject:"Share price"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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ARCH model
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Estimation theory
60
Schätztheorie
60
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32
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32
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26
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15
Estimation
11
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11
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11
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11
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10
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Fornari, Fabio
Zakoïan, Jean-Michel
Phillips, Peter C. B.
96
Gao, Jiti
74
Koopman, Siem Jan
57
Linton, Oliver
45
Teräsvirta, Timo
44
Johansen, Søren
43
Franses, Philip Hans
42
Lütkepohl, Helmut
42
Nielsen, Morten Ørregaard
39
Kapetanios, George
36
Engle, Robert F.
35
Pesaran, M. Hashem
32
Francq, Christian
31
Harvey, Andrew C.
30
Koop, Gary
29
Sibbertsen, Philipp
29
Swanson, Norman R.
29
Li, Degui
28
Nelson, Daniel B.
27
Rahbek, Anders
27
Stock, James H.
27
Lucas, André
26
Bauwens, Luc
25
Robinson, Peter M.
25
Taylor, Robert
25
Watson, Mark W.
25
Maravall Herrero, Agustín
24
McAleer, Michael
24
Perron, Pierre
24
Brännäs, Kurt
23
Leybourne, Stephen James
23
Nielsen, Bent
23
Cavaliere, Giuseppe
22
Chambers, Marcus J.
22
Haldrup, Niels
22
Peng, Bin
22
Blasques, Francisco
21
Dong, Chaohua
21
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Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Journal of econometrics
7
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4
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3
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2
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2
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
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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