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person:"White, Halbert"
subject:"Theory"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Estimation theory"
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Theory
ARCH model
Prognoseverfahren
Estimation theory
134
Schätztheorie
134
Theorie
43
ARCH-Modell
26
Time series analysis
22
Zeitreihenanalyse
22
Estimation
19
Schätzung
19
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18
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18
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14
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White, Halbert
Zakoïan, Jean-Michel
Härdle, Wolfgang
70
Pesaran, M. Hashem
64
Phillips, Peter C. B.
64
Swanson, Norman R.
52
Gouriéroux, Christian
51
Franses, Philip Hans
48
Andrews, Donald W. K.
47
McAleer, Michael
44
Newey, Whitney K.
42
Teräsvirta, Timo
40
Baltagi, Badi H.
37
Francq, Christian
36
Giles, David E. A.
35
Imbens, Guido
35
Linton, Oliver
34
Koop, Gary
32
Diebold, Francis X.
31
Heckman, James J.
31
Lütkepohl, Helmut
31
Robinson, Peter M.
31
Krämer, Walter
30
Horowitz, Joel
29
Ullah, Aman
29
Engle, Robert F.
28
Brännäs, Kurt
27
Bera, Anil K.
26
Dufour, Jean-Marie
26
King, Maxwell L.
26
Li, Qi
26
Marcellino, Massimiliano
26
Ohtani, Kazuhiro
26
Winkelmann, Rainer
26
Bauwens, Luc
25
Granger, C. W. J.
25
Kohn, Robert
25
Hendry, David F.
24
Kapetanios, George
24
Lucas, André
24
Maravall Herrero, Agustín
24
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Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Journal of econometrics
9
Econometric theory
8
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Discussion paper / Department of Economics, University of California San Diego
4
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2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Advances in econometrics
1
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
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1
Econometric reviews
1
Economics letters
1
Handbook of economic forecasting ; 1
1
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1
IHS economics series : working paper
1
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of the American Statistical Association : JASA
1
Maximum likelihood estimation of misspecified models : twenty years later
1
Reihe Ökonomie
1
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ECONIS (ZBW)
64
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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
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
10
Mixtures of t-distributions for finance and forecasting
Giacomini, Raffaella
;
Gottschling, Andreas
;
Häfke, …
-
2007
Persistent link: https://www.econbiz.de/10003556381
Saved in:
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