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subject:"Estimation"
subject:"Volatilität"
~person:"Zakoïan, Jean-Michel"
~subject:"Maximum likelihood estimation"
~subject:"Zins"
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Estimation
Volatilität
Maximum likelihood estimation
Zins
Estimation theory
50
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50
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23
ARCH-Modell
23
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23
Theory
23
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14
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14
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11
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10
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8
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22
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Zakoïan, Jean-Michel
Pesaran, M. Hashem
55
Gao, Jiti
43
Koopman, Siem Jan
39
Linton, Oliver
37
Diebold, Francis X.
32
Kapetanios, George
31
Härdle, Wolfgang
26
Cai, Zongwu
24
Lee, Lung-fei
24
Phillips, Peter C. B.
24
Koop, Gary
23
Sentana, Enrique
23
Marcellino, Massimiliano
22
Swanson, Norman R.
21
Baltagi, Badi H.
20
Hafner, Christian M.
20
Gouriéroux, Christian
19
Todorov, Viktor
19
Winkelmann, Rainer
19
Hsu, Yu-Chin
18
Kumbhakar, Subal
18
Lucas, André
18
Lütkepohl, Helmut
18
Tauchen, George Eugene
18
Teräsvirta, Timo
18
Fernández-Villaverde, Jesús
17
Francq, Christian
17
Hsiao, Cheng
17
Li, Jia
17
McAleer, Michael
17
Su, Liangjun
17
Chudik, Alexander
16
Hautsch, Nikolaus
16
Kristensen, Dennis
16
Kumar, Dilip
16
Lechner, Michael
16
Li, Yingying
16
Tsionas, Efthymios G.
16
Bailey, Natalia
15
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Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Journal of econometrics
6
CORE discussion paper : DP
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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2
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1
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ECONIS (ZBW)
22
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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
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
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:
1
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