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subject:"Deutschland"
subject:"Forecasting model"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Sampling"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Sampling
Estimation theory
50
Schätztheorie
50
ARCH-Modell
23
Theorie
23
Theory
23
Time series analysis
14
Zeitreihenanalyse
14
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Estimation
10
Schätzung
10
Risikomaß
8
Risk measure
8
Börsenkurs
6
Share price
6
Stochastic process
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Stochastischer Prozess
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Volatility
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6
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5
Autokorrelation
5
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Frankreich
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4
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Measurement
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Messung
3
Prognoseverfahren
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Statistical distribution
3
Statistische Verteilung
3
VAR model
3
VAR-Modell
3
Zins
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1987-1993
2
Bootstrap approach
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2
Conditional heteroskedasticity
2
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English
23
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Zakoïan, Jean-Michel
Swanson, Norman R.
32
Francq, Christian
27
Teräsvirta, Timo
27
Lechner, Michael
26
Winkelmann, Rainer
26
Corradi, Valentina
22
Lütkepohl, Helmut
22
Marcellino, Massimiliano
20
McCracken, Michael W.
19
Koopman, Siem Jan
18
Linton, Oliver
18
Phillips, Peter C. B.
18
Gao, Jiti
17
Koop, Gary
17
Hafner, Christian M.
16
Kapetanios, George
16
Pesaran, M. Hashem
16
Rahbek, Anders
16
Cai, Zongwu
15
Clark, Todd E.
15
Ardia, David
14
Audrino, Francesco
14
Huber, Florian
14
Härdle, Wolfgang
14
Sheppard, Kevin
14
Wolters, Jürgen
14
Engle, Robert F.
13
Huber, Martin
13
Hyndman, Rob J.
13
Kumar, Dilip
13
Mykland, Per A.
13
Rossi, Barbara
13
Bauwens, Luc
12
Krämer, Walter
12
Schorfheide, Frank
12
West, Kenneth D.
12
Baltagi, Badi H.
11
Chevillon, Guillaume
11
Diebold, Francis X.
11
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Journal of econometrics
7
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
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Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
23
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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
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:
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