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subject:"Schätzung"
subject:"Theory"
~person:"Cressie, Noel A. C."
~person:"Zakoïan, Jean-Michel"
~type_genre:"Article in journal"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Schätzung
Theory
Estimation theory
35
Schätztheorie
35
Theorie
18
ARCH model
14
ARCH-Modell
14
Time series analysis
9
Zeitreihenanalyse
9
Estimation
7
Börsenkurs
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Share price
5
Volatility
5
Volatilität
5
Stochastic process
4
Stochastischer Prozess
4
France
3
Frankreich
3
Autocorrelation
2
Autokorrelation
2
Bayes-Statistik
2
Bayesian inference
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Dynamic portfolio
2
Filtered historical simulation
2
Forecasting model
2
Markov chain
2
Markov-Kette
2
Measurement
2
Messung
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Portfolio selection
2
Portfolio-Management
2
Prognoseverfahren
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Article
15
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9
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Article in journal
Government document
Arbeitspapier
18
Graue Literatur
18
Non-commercial literature
18
Working Paper
18
Aufsatz in Zeitschrift
15
Amtsdruckschrift
9
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English
22
French
2
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Cressie, Noel A. C.
Zakoïan, Jean-Michel
Gouriéroux, Christian
37
Phillips, Peter C. B.
37
Baltagi, Badi H.
31
Li, Qi
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Lee, Lung-fei
25
Pesaran, M. Hashem
25
Linton, Oliver
22
Robert, Christian P.
22
Ohtani, Kazuhiro
21
Giles, David E. A.
20
McAleer, Michael
20
Ullah, Aman
20
Wooldridge, Jeffrey M.
20
Horowitz, Joel
19
Hsiao, Cheng
18
Krämer, Walter
18
Kumbhakar, Subal
18
Schmidt, Peter
18
Tauchen, George Eugene
18
King, Maxwell L.
17
Robinson, Peter M.
17
Francq, Christian
16
Ghysels, Eric
16
Granger, C. W. J.
16
Guégan, Dominique
16
Hahn, Jinyong
16
Srivastava, Virendra K.
16
White, Halbert
16
Kelejian, Harry H.
15
Lütkepohl, Helmut
15
Monfort, Alain
15
Smith, Richard J.
15
Bai, Jushan
14
Baillie, Richard
14
Bera, Anil K.
14
Lee, Myoung-jae
14
Blundell, Richard W.
13
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Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Journal of econometrics
4
Econometric theory
2
Annales d'économie et de statistique
1
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
Economics letters
1
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Spatial mixture models based on exponential family conditional distributions
Kaiser, Mark S.
;
Cressie, Noel A. C.
;
Lee, Jae-hyung
-
2000
Persistent link: https://www.econbiz.de/10001470622
Saved in:
10
Estimating weak GARCH representations
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
16
(
2000
)
5
,
pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
Saved in:
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