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subject:"Estimation theory"
subject:"USA"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Francq, Christian"
~person:"White, Halbert"
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Estimation theory
USA
Schätztheorie
14
Theorie
11
Theory
11
ARCH model
7
ARCH-Modell
7
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Risikomaß
2
Risk measure
2
Time series analysis
2
Zeitreihenanalyse
2
Autocorrelation
1
Autokorrelation
1
Forecasting model
1
Heteroscedasticity
1
Heteroskedastizität
1
Investitionsrisiko
1
Investment risk
1
Markov chain
1
Markov-Kette
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Portfolio selection
1
Portfolio-Management
1
Prognoseverfahren
1
Statistical distribution
1
Statistische Verteilung
1
VAR model
1
VAR-Modell
1
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14
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Arbeitspapier
14
Graue Literatur
14
Non-commercial literature
14
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14
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6
Government document
6
Language
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English
14
Author
All
Francq, Christian
White, Halbert
Gouriéroux, Christian
26
Robert, Christian P.
19
Zakoïan, Jean-Michel
16
Monfort, Alain
12
Jasiak, Joann
11
Guégan, Dominique
10
Bertail, Patrice
9
Comte, Fabienne
7
Cybakov, Aleksandr B.
7
Patilea, Valentin
7
Fermanian, Jean-David
6
Gautier, Eric
6
Guerre, Emmanuel
6
Hristache, Marian
6
Rousseau, Judith
6
Scaillet, Olivier
6
Berred, Alexandre M.
5
Darolles, Serge
5
Delecroix, Michel
5
Philippe, Anne
5
Robin, Jean-Marc
5
Bellec, Pierre
4
Billio, Monica
4
Bosq, Denis
4
Broze, Laurence
4
Butucea, Cristina
4
Clémençon, Stéphan
4
Gayraud, Ghislaine
4
Ghysels, Eric
4
Lardjane, Salim
4
Lieberman, Offer
4
Mabon, Gwennae͏̈lle
4
Smith, Richard J.
4
Blundell, Richard W.
3
Casella, George
3
Crépon, Bruno
3
Dalalyan, Arnak S.
3
Dauxois, Jean-Yves
3
Doukhan, Paul
3
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Discussion paper / Department of Economics, University of California San Diego
21
Journal of econometrics
21
Econometric theory
13
Boston College working papers in economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of the American Statistical Association : JASA
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Discussion paper
2
Econometrics : open access journal
2
Economics letters
2
Quantitative economics : QE ; journal of the Econometric Society
2
Working paper series
2
Working papers in economics
2
Advances in econometrics
1
Annals of economics and statistics
1
CORE discussion paper : DP
1
De economist : Netherlands economic review ; quarterly review of the Royal Netherlands Economic Association
1
Discussion paper / Economics, University of California / Department of Economics, University of California
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion paper series / LSE Financial Markets Group
1
Econometric Society monographs
1
Econometric reviews
1
Econométrie non linéaire asymptotique
1
Essays in honor of Jerry Hausman
1
Essays in honor of Peter C. B. Phillips
1
Finance research letters
1
Handbook of economic forecasting ; 1
1
Handbook of financial time series
1
IHS economics series : working paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic literature
1
Journal of time series econometrics
1
Maximum likelihood estimation of misspecified models : twenty years later
1
Reihe Ökonomie
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Technical report series / Stanford Institute for Theoretical Economics, Stanford University
1
The economic journal : the journal of the Royal Economic Society
1
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ECONIS (ZBW)
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1
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
2
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
3
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935360
Saved in:
4
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
5
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
6
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
7
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
8
A subsampling approach to estimating the distribution of diverging statistics with applications to assessing financial market risks
Bertail, Patrice
;
Häfke, Christian
;
Politis, Dimitris N.
; …
-
2002
Persistent link: https://www.econbiz.de/10001720937
Saved in:
9
Efficient use of high order autocorrelations for estimating autoregressive processes
Broze, Laurence
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
1999
Persistent link: https://www.econbiz.de/10001430412
Saved in:
10
Conditional heteroskedasticity driven by hidden Markov chains
Francq, Christian
;
Roussignol, Michel
;
Zakoïan, Jean-Michel
-
1998
Persistent link: https://www.econbiz.de/10000997344
Saved in:
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