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subject:"Nichtparametrisches Verfahren"
subject:"Volatilität"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Maximum likelihood estimation"
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Nichtparametrisches Verfahren
Volatilität
ARCH model
Maximum likelihood estimation
Estimation theory
50
Schätztheorie
50
ARCH-Modell
23
Theorie
23
Theory
23
Time series analysis
14
Zeitreihenanalyse
14
Maximum-Likelihood-Schätzung
11
Estimation
10
Schätzung
10
Risikomaß
8
Risk measure
8
Börsenkurs
6
Share price
6
Stochastic process
6
Stochastischer Prozess
6
Volatility
6
Autocorrelation
5
Autokorrelation
5
France
4
Frankreich
4
Heteroscedasticity
4
Heteroskedastizität
4
Forecasting model
3
Interest rate
3
Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistische Verteilung
3
VAR model
3
VAR-Modell
3
Zins
3
1987-1993
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Conditional heteroskedasticity
2
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Article
16
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Non-commercial literature
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English
26
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Zakoïan, Jean-Michel
Linton, Oliver
93
Gao, Jiti
76
Chen, Xiaohong
67
Härdle, Wolfgang
55
Phillips, Peter C. B.
45
Li, Qi
42
Newey, Whitney K.
40
Koopman, Siem Jan
39
Cai, Zongwu
38
Li, Degui
37
Otsu, Taisuke
36
Horowitz, Joel
35
Hoderlein, Stefan
34
Su, Liangjun
34
Florens, Jean-Pierre
33
Simar, Léopold
33
Kristensen, Dennis
32
Racine, Jeffrey
30
Francq, Christian
29
Robinson, Peter M.
29
Ichimura, Hidehiko
27
Lewbel, Arthur
27
Mammen, Enno
26
Linton, Oliver B.
25
Parmeter, Christopher F.
25
Chernozhukov, Victor
24
Escanciano, Juan Carlos
24
Hafner, Christian M.
24
Ullah, Aman
24
Dette, Holger
23
Van Keilegom, Ingrid
23
Lee, Sokbae
22
Breunig, Christoph
21
Henderson, Daniel J.
21
Kumbhakar, Subal
21
Rahbek, Anders
21
Sentana, Enrique
21
Sun, Yiguo
21
Fiorentini, Gabriele
20
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Journal of econometrics
8
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
26
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1
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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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