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person:"Fornari, Fabio"
subject:"Share price"
~person:"Zakoïan, Jean-Michel"
~subject:"Schätzung"
~subject:"Zinsstruktur"
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Search: subject_exact:"Estimation theory"
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Share price
Schätzung
Zinsstruktur
Estimation theory
60
Schätztheorie
60
Theorie
32
Theory
32
ARCH model
26
ARCH-Modell
26
Time series analysis
15
Zeitreihenanalyse
15
Estimation
11
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Volatility
10
Volatilität
10
Börsenkurs
9
Risikomaß
8
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8
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7
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7
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5
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5
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5
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5
France
4
Frankreich
4
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4
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4
Interest rate
4
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4
Forecasting model
3
Measurement
3
Messung
3
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3
VAR model
3
VAR-Modell
3
1987-1993
2
Bootstrap approach
2
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2
Conditional heteroskedasticity
2
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7
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7
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7
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English
19
Author
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Fornari, Fabio
Zakoïan, Jean-Michel
Gao, Jiti
42
Pesaran, M. Hashem
42
Linton, Oliver
35
Kapetanios, George
30
Cai, Zongwu
23
Diebold, Francis X.
22
Koop, Gary
22
Marcellino, Massimiliano
20
Winkelmann, Rainer
19
Hsu, Yu-Chin
18
Tauchen, George Eugene
17
Chudik, Alexander
16
Härdle, Wolfgang
16
Koopman, Siem Jan
16
Kumbhakar, Subal
16
Lütkepohl, Helmut
16
Baltagi, Badi H.
15
Bekaert, Geert
15
Heckman, James J.
15
Hoderlein, Stefan
15
Hsiao, Cheng
15
Lechner, Michael
15
Su, Liangjun
15
Kim, Donggyu
14
Pei, Zhuan
14
Phillips, Peter C. B.
14
Teräsvirta, Timo
14
Todorov, Viktor
14
Jochmans, Koen
13
Kumar, Dilip
13
Schorfheide, Frank
13
Weber, Andrea
13
Weidner, Martin
13
Escanciano, Juan Carlos
12
Maheswaran, S.
12
Nelson, Charles R.
12
Sentana, Enrique
12
Swanson, Norman R.
12
Bailey, Natalia
11
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Journal of econometrics
5
Temi di discussione del Servizio Studi / Banca d'Italia
3
Annals of economics and statistics
1
CORE discussion paper : DP
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
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1
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ECONIS (ZBW)
19
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
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
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
10
A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
Fornari, Fabio
;
Mele, Antonio
-
2001
Persistent link: https://www.econbiz.de/10001581711
Saved in:
1
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