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subject:"Estimation theory"
subject:"Share price"
~isPartOf:"Journal of econometrics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Robin, Jean-Marc"
~person:"Zakoïan, Jean-Michel"
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Estimation theory
Share price
Schätztheorie
30
Theorie
16
Theory
16
ARCH model
14
ARCH-Modell
14
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
Estimation
6
Schätzung
6
Time series analysis
6
Zeitreihenanalyse
6
Risikomaß
5
Risk measure
5
Stochastic process
5
Stochastischer Prozess
5
Volatility
4
Volatilität
4
Börsenkurs
3
VAR model
3
VAR-Modell
3
Autocorrelation
2
Autokorrelation
2
Dynamic portfolio
2
Filtered historical simulation
2
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France
2
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2
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2
Markov-Kette
2
Portfolio selection
2
Portfolio-Management
2
Prognoseverfahren
2
Quasi-maximum likelihood
2
Simulation
2
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2
1987-1993
1
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21
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9
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12
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English
30
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Robin, Jean-Marc
Zakoïan, Jean-Michel
Gouriéroux, Christian
37
Phillips, Peter C. B.
32
Francq, Christian
23
Lee, Lung-fei
21
Linton, Oliver
21
Chen, Songnian
20
Robert, Christian P.
19
Su, Liangjun
18
Jasiak, Joann
17
Li, Qi
17
Robinson, Peter M.
17
Monfort, Alain
14
Cai, Zongwu
13
Chen, Xiaohong
13
Gao, Jiti
13
Fan, Yanqin
12
Taylor, Robert
12
White, Halbert
12
Andrews, Donald W. K.
11
Florens, Jean-Pierre
11
Hong, Han
11
Hsiao, Cheng
11
Park, Joon Y.
11
Sun, Yixiao
11
Baltagi, Badi H.
10
Bertail, Patrice
10
Chib, Siddhartha
10
Ghysels, Eric
10
Guégan, Dominique
10
Newey, Whitney K.
10
Pesaran, M. Hashem
10
Scaillet, Olivier
10
Todorov, Viktor
10
Aït-Sahalia, Yacine
9
Horowitz, Joel
9
Kristensen, Dennis
9
Li, Degui
9
Li, Dong
9
Patilea, Valentin
9
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Journal of econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
11
Econometric theory
6
CORE discussion paper : DP
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Discussion papers in economics
2
Journal of applied econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Working paper series
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
1
Contributions to economic analysis & policy
1
DAE working paper
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Handbook of financial time series
1
Journal de la Société de Statistique de Paris
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Revue économique : revue bimestrielle
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The review of economic studies
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
Nonparametric estimation of non-exchangeable latent-variable models
Bonhomme, Stéphane
;
Jochmans, Koen
;
Robin, Jean-Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 237-248
Persistent link: https://www.econbiz.de/10011918770
Saved in:
6
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:
7
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:
8
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
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
Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
-
2013
Persistent link: https://www.econbiz.de/10010348527
Saved in:
1
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