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subject:"Geldnachfrage"
subject:"Großbritannien"
~person:"Francq, Christian"
~subject:"Maximum likelihood estimation"
~subject:"Theorie"
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Geldnachfrage
Großbritannien
Maximum likelihood estimation
Theorie
Estimation theory
43
Schätztheorie
43
ARCH model
27
ARCH-Modell
27
Theory
15
Time series analysis
11
Zeitreihenanalyse
11
Maximum-Likelihood-Schätzung
9
Estimation
8
Risikomaß
8
Risk measure
8
Schätzung
8
Volatility
7
Volatilität
7
Autocorrelation
4
Autokorrelation
4
Börsenkurs
4
Share price
4
Forecasting model
3
Heteroscedasticity
3
Heteroskedastizität
3
Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistical test
3
Statistische Verteilung
3
Statistischer Test
3
Stochastic process
3
Stochastischer Prozess
3
VAR model
3
VAR-Modell
3
ARMA model
2
ARMA-Modell
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Capital income
2
Conditional heteroskedasticity
2
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Book / Working Paper
14
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8
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14
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14
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14
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8
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6
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6
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English
22
Author
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Francq, Christian
Härdle, Wolfgang
73
Pesaran, M. Hashem
72
Phillips, Peter C. B.
60
Gouriéroux, Christian
55
Andrews, Donald W. K.
49
Franses, Philip Hans
43
McAleer, Michael
42
Newey, Whitney K.
42
Lee, Lung-fei
39
Giles, David E. A.
36
Imbens, Guido
35
Robinson, Peter M.
35
Swanson, Norman R.
35
Baltagi, Badi H.
33
Zakoïan, Jean-Michel
32
Horowitz, Joel
31
Diebold, Francis X.
30
Heckman, James J.
30
Li, Qi
28
Winkelmann, Rainer
28
King, Maxwell L.
27
Wooldridge, Jeffrey M.
27
Hsiao, Cheng
26
Kohn, Robert
26
Koopman, Siem Jan
26
Lütkepohl, Helmut
26
Ohtani, Kazuhiro
26
Bera, Anil K.
25
Brännäs, Kurt
25
Granger, C. W. J.
25
Monfort, Alain
25
Sentana, Enrique
25
Dufour, Jean-Marie
24
Krämer, Walter
24
Lucas, André
24
Maravall Herrero, Agustín
24
Stahlecker, Peter
24
Ullah, Aman
24
Fiorentini, Gabriele
23
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Série des documents de travail / Centre de Recherche en Économie et Statistique
12
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
2
Annals of economics and statistics
1
CORE discussion paper : DP
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometric theory
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
Journal of econometrics
1
Journal of the American Statistical Association : JASA
1
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ECONIS (ZBW)
22
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1
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
2
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:
3
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
4
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:
5
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
6
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
7
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:
8
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
9
Non redundancy of high order moment conditions for efficient GMM estimation of weak ar processes
Broze, Laurence
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2000
Persistent link: https://www.econbiz.de/10001514932
Saved in:
10
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
1
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