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subject:"Schätzung"
subject:"Zeitreihenanalyse"
~person:"Zakoïan, Jean-Michel"
~source:"econis"
~subject:"Estimation"
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Schätzung
Zeitreihenanalyse
Estimation
Estimation theory
50
Schätztheorie
50
ARCH model
23
ARCH-Modell
23
Theorie
23
Theory
23
Time series analysis
14
Maximum likelihood estimation
11
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VAR model
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1987-1993
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
107
Gao, Jiti
93
Koopman, Siem Jan
59
Pesaran, M. Hashem
56
Linton, Oliver
53
Lütkepohl, Helmut
50
Kapetanios, George
48
Johansen, Søren
45
Franses, Philip Hans
41
Teräsvirta, Timo
41
Nielsen, Morten Ørregaard
38
Diebold, Francis X.
35
Koop, Gary
35
Stock, James H.
32
Cai, Zongwu
31
Harvey, Andrew C.
30
Härdle, Wolfgang
30
Swanson, Norman R.
30
Watson, Mark W.
29
Robinson, Peter M.
28
Engle, Robert F.
27
Sibbertsen, Philipp
27
Lucas, André
26
Marcellino, Massimiliano
26
Nelson, Daniel B.
26
Taylor, Robert
26
Giraitis, Liudas
25
Li, Degui
25
Peng, Bin
25
Gouriéroux, Christian
24
Haldrup, Niels
24
Maravall Herrero, Agustín
24
McAleer, Michael
24
Nielsen, Bent
24
Perron, Pierre
24
Brännäs, Kurt
23
Caporale, Guglielmo Maria
23
Schorfheide, Frank
23
Baltagi, Badi H.
22
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Journal of econometrics
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
4
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3
CORE discussion paper : DP
2
Econometric theory
2
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2
Annals of economics and statistics
1
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ECONIS (ZBW)
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
3
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:
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
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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