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subject:"Schätzung"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Francq, Christian"
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Schätzung
Zeitreihenanalyse
Estimation theory
12
Schätztheorie
12
ARCH model
9
ARCH-Modell
9
Estimation
5
Time series analysis
5
Volatility
5
Volatilität
5
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
Capital income
2
Dynamic portfolio
2
Filtered historical simulation
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Kapitaleinkommen
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Portfolio selection
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Portfolio-Management
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Share price
2
Simulation
2
Statistical test
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Stochastic process
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Stochastischer Prozess
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VAR model
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VAR-Modell
2
ARCH models
1
ARMA
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ARMA model
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ARMA-Modell
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Accuracy of VaR estimation
1
Analysis of variance
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Autoregressive Conditional Duration model
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Beta risk
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Francq, Christian
Gao, Jiti
17
Linton, Oliver
13
Marcellino, Massimiliano
12
Phillips, Peter C. B.
12
Kapetanios, George
10
Li, Jia
10
Kumbhakar, Subal
9
Lütkepohl, Helmut
8
Teräsvirta, Timo
8
Todorov, Viktor
8
Westerlund, Joakim
8
Zhu, Ke
8
Baltagi, Badi H.
7
Cai, Zongwu
7
Koopman, Siem Jan
7
Kumar, Dilip
7
Li, Degui
7
Su, Liangjun
7
Tauchen, George Eugene
7
Taylor, Robert
7
Wang, Shouyang
7
Demetrescu, Matei
6
Kim, Donggyu
6
Lee, Lung-fei
6
Li, Qi
6
Li, Yingying
6
Lucas, André
6
Nielsen, Morten Ørregaard
6
Omay, Tolga
6
Park, Joon Y.
6
Sentana, Enrique
6
Shang, Han Lin
6
Sun, Yiguo
6
Tsionas, Efthymios G.
6
Tu, Yundong
6
Zakoïan, Jean-Michel
6
Blasques, Francisco
5
Cavaliere, Giuseppe
5
Clark, Todd E.
5
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Journal of econometrics
5
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
2
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
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