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subject:"Time series analysis"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Volatility"
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Time series analysis
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Estimation theory
50
Schätztheorie
50
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23
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23
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23
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14
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11
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
99
Gao, Jiti
74
Koopman, Siem Jan
60
Linton, Oliver
45
Franses, Philip Hans
44
Teräsvirta, Timo
44
Johansen, Søren
43
Lütkepohl, Helmut
42
Nielsen, Morten Ørregaard
40
Engle, Robert F.
35
Swanson, Norman R.
35
Francq, Christian
32
Kapetanios, George
32
Nelson, Daniel B.
32
Harvey, Andrew C.
31
Koop, Gary
29
Rahbek, Anders
29
Sibbertsen, Philipp
29
Li, Degui
28
Pesaran, M. Hashem
28
Hafner, Christian M.
27
Lucas, André
27
Stock, James H.
27
Diebold, Francis X.
25
Gouriéroux, Christian
25
Härdle, Wolfgang
25
Robinson, Peter M.
25
Taylor, Robert
25
Watson, Mark W.
25
Bauwens, Luc
24
Cavaliere, Giuseppe
24
Maravall Herrero, Agustín
24
McAleer, Michael
24
Perron, Pierre
24
Sentana, Enrique
24
Leybourne, Stephen James
23
Nielsen, Bent
23
Brännäs, Kurt
22
Chambers, Marcus J.
22
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10
Journal of econometrics
7
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4
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2
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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
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
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:
4
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:
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:
9
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:
10
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:
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