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person:"Stahlecker, Peter"
type_genre:"Working Paper"
~person:"Zakoïan, Jean-Michel"
~subject:"Schätztheorie"
~type_genre:"Article in journal"
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Schätztheorie
Estimation theory
76
Theorie
47
Theory
47
ARCH model
22
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22
Time series analysis
12
Zeitreihenanalyse
12
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Stahlecker, Peter
Zakoïan, Jean-Michel
Phillips, Peter C. B.
187
Härdle, Wolfgang
132
Linton, Oliver
121
Pesaran, M. Hashem
114
Gao, Jiti
112
Newey, Whitney K.
96
Chernozhukov, Victor
89
McAleer, Michael
89
Imbens, Guido
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77
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76
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74
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68
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66
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64
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63
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62
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61
Robinson, Peter M.
61
Cai, Zongwu
60
Franses, Philip Hans
59
Nielsen, Morten Ørregaard
59
Sentana, Enrique
59
Wooldridge, Jeffrey M.
59
Johansen, Søren
55
White, Halbert
55
Swanson, Norman R.
54
Magnus, Jan R.
52
Su, Liangjun
52
Ullah, Aman
51
Bera, Anil K.
50
Koopman, Siem Jan
50
Lewbel, Arthur
50
Tsionas, Efthymios G.
50
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49
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48
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Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
15
Journal of econometrics
8
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
7
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1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
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1
Journal of economic dynamics & control
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
3
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:
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
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:
6
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:
7
Minimax-Schätzer, relativer quadratischer Schätzfehler und Messung der Fast-Multikollinearität im linearen Regressionsmodell
Stahlecker, Peter
;
Kröh, Peer A.
-
2020
Persistent link: https://www.econbiz.de/10012302370
Saved in:
8
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:
9
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:
10
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
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