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subject:"Maximum likelihood estimation"
type_genre:"Working Paper"
~person:"Francq, Christian"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Statistical distribution"
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Maximum likelihood estimation
Maximum-Likelihood-Schätzung
Statistical distribution
Estimation theory
17
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12
Theory
12
ARCH model
8
ARCH-Modell
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Asymmetric Student-t distribution
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Conditional heteroskedasticity
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Estimation
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Francq, Christian
Koopman, Siem Jan
12
Einmahl, John H. J.
11
Sentana, Enrique
11
Phillips, Peter C. B.
9
Fiorentini, Gabriele
8
Zakoïan, Jean-Michel
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Lucas, André
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Pesaran, M. Hashem
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Butucea, Cristina
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Daouia, Abdelaati
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Blasques, Francisco
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Bouezmarni, Taoufik
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Chernozhukov, Victor
5
Gooijer, Jan G. de
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Gouriéroux, Christian
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Härdle, Wolfgang
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McAleer, Michael
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Nielsen, Morten Ørregaard
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Okhrin, Ostap
5
Stupfler, Gilles
5
Baltagi, Badi H.
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Bresson, Georges
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Cavaliere, Giuseppe
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Chaturvedi, Anoop
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Christiano, Lawrence J.
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Craig, Ben R.
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Dijk, Dick van
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Dijk, Herman K. van
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Gao, Jiti
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Gorgi, Paolo
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Hallin, Marc
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Keller, Joachim G.
4
Lacroix, Guy
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Ley, Christophe
4
Läuter, Henning
4
Monfort, Alain
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Parra-Alvarez, Juan Carlos
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
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
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:
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
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:
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