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subject:"Prognoseverfahren"
subject:"Theorie"
~person:"Zakoïan, Jean-Michel"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
Theorie
Estimation theory
50
Schätztheorie
50
ARCH model
23
ARCH-Modell
23
Theory
23
Time series analysis
14
Zeitreihenanalyse
14
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Estimation
10
Schätzung
10
Risikomaß
8
Risk measure
8
Börsenkurs
6
Share price
6
Stochastic process
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Stochastischer Prozess
6
Volatility
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Volatilität
6
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Autokorrelation
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France
4
Frankreich
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Heteroscedasticity
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Heteroskedastizität
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Forecasting model
3
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VAR model
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VAR-Modell
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Zins
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1987-1993
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Bootstrap approach
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English
24
French
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Zakoïan, Jean-Michel
Härdle, Wolfgang
69
Pesaran, M. Hashem
64
Phillips, Peter C. B.
63
Swanson, Norman R.
52
Gouriéroux, Christian
50
Franses, Philip Hans
46
Andrews, Donald W. K.
44
Newey, Whitney K.
42
Baltagi, Badi H.
37
McAleer, Michael
36
Giles, David E. A.
35
Imbens, Guido
35
Koop, Gary
32
Diebold, Francis X.
31
Heckman, James J.
31
Robinson, Peter M.
30
Horowitz, Joel
29
Ullah, Aman
29
Brännäs, Kurt
26
King, Maxwell L.
26
Li, Qi
26
Marcellino, Massimiliano
26
Ohtani, Kazuhiro
26
Winkelmann, Rainer
26
Bera, Anil K.
25
Granger, C. W. J.
25
Kohn, Robert
25
Krämer, Walter
25
Dufour, Jean-Marie
24
Hendry, David F.
24
Kapetanios, George
24
Linton, Oliver
24
Maravall Herrero, Agustín
24
Stahlecker, Peter
24
West, Kenneth D.
24
White, Halbert
24
Hahn, Jinyong
23
Lucas, André
23
Lütkepohl, Helmut
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
6
CORE discussion paper : DP
2
Econometric theory
2
Annales d'économie et de statistique
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
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
1
Journal of econometrics
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Journal of economic dynamics & control
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
26
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1
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:
2
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:
3
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:
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
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:
6
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
7
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:
8
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
9
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:
10
Non-redunance of high order moment conditions for efficient GMM estimation of weak AR processes
Broze, Laurence
;
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Economics letters
71
(
2001
)
3
,
pp. 317-322
Persistent link: https://www.econbiz.de/10001574253
Saved in:
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