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subject:"Schätzung"
subject:"Theory"
~person:"Cressie, Noel A. C."
~person:"Zakoïan, Jean-Michel"
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Schätzung
Theory
Estimation theory
53
Schätztheorie
53
Theorie
25
ARCH model
23
ARCH-Modell
23
Time series analysis
14
Zeitreihenanalyse
14
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Estimation
10
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8
Risk measure
8
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Stochastischer Prozess
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Volatility
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Volatilität
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Frankreich
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Messung
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Monte Carlo simulation
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English
31
French
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Cressie, Noel A. C.
Zakoïan, Jean-Michel
Pesaran, M. Hashem
87
Härdle, Wolfgang
78
Phillips, Peter C. B.
67
Gouriéroux, Christian
57
Linton, Oliver
50
Franses, Philip Hans
46
Andrews, Donald W. K.
45
Newey, Whitney K.
45
Heckman, James J.
44
Baltagi, Badi H.
43
Gao, Jiti
42
Diebold, Francis X.
41
Swanson, Norman R.
40
McAleer, Michael
39
Giles, David E. A.
36
Imbens, Guido
35
Kapetanios, George
35
Robinson, Peter M.
35
Hsiao, Cheng
34
Horowitz, Joel
33
Li, Qi
33
Winkelmann, Rainer
33
Koop, Gary
32
Lechner, Michael
32
Ullah, Aman
32
Lütkepohl, Helmut
31
Angrist, Joshua D.
29
Kohn, Robert
28
Lee, Lung-fei
28
Marcellino, Massimiliano
28
Brännäs, Kurt
27
King, Maxwell L.
27
Cai, Zongwu
26
Dufour, Jean-Marie
26
Granger, C. W. J.
26
Hahn, Jinyong
26
Ohtani, Kazuhiro
26
Teräsvirta, Timo
26
White, Halbert
26
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Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Journal of econometrics
4
CORE discussion paper : DP
2
Econometric theory
2
Annales d'économie et de statistique
1
Annals of economics and statistics
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 economic dynamics & control
1
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)
33
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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