//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"Estimation"
subject:"Volatilität"
~subject:"Maximum likelihood estimation"
~person:"Zakoïan, Jean-Michel"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Estimation theory"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Estimation
Volatilität
Maximum likelihood estimation
Estimation theory
50
Schätztheorie
50
ARCH model
23
ARCH-Modell
23
Theorie
23
Theory
23
Time series analysis
14
Zeitreihenanalyse
14
Maximum-Likelihood-Schätzung
11
Schätzung
10
Risikomaß
8
Risk measure
8
Börsenkurs
6
Share price
6
Stochastic process
6
Stochastischer Prozess
6
Volatility
6
Autocorrelation
5
Autokorrelation
5
France
4
Frankreich
4
Heteroscedasticity
4
Heteroskedastizität
4
Forecasting model
3
Interest rate
3
Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistische Verteilung
3
VAR model
3
VAR-Modell
3
Zins
3
1987-1993
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Conditional heteroskedasticity
2
more ...
less ...
Online availability
All
Undetermined
5
Free
2
Type of publication
All
Article
10
Book / Working Paper
9
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Arbeitspapier
9
Graue Literatur
9
Non-commercial literature
9
Working Paper
9
Amtsdruckschrift
1
Government document
1
more ...
less ...
Language
All
English
19
Author
All
Zakoïan, Jean-Michel
Pesaran, M. Hashem
55
Gao, Jiti
43
Koopman, Siem Jan
39
Linton, Oliver
37
Diebold, Francis X.
32
Kapetanios, George
31
Härdle, Wolfgang
26
Cai, Zongwu
24
Lee, Lung-fei
24
Phillips, Peter C. B.
24
Koop, Gary
23
Sentana, Enrique
23
Marcellino, Massimiliano
22
Swanson, Norman R.
21
Baltagi, Badi H.
20
Hafner, Christian M.
20
Gouriéroux, Christian
19
Todorov, Viktor
19
Winkelmann, Rainer
19
Hsu, Yu-Chin
18
Kumbhakar, Subal
18
Lucas, André
18
Lütkepohl, Helmut
18
Tauchen, George Eugene
18
Teräsvirta, Timo
18
Fernández-Villaverde, Jesús
17
Francq, Christian
17
Li, Jia
17
Su, Liangjun
17
Chudik, Alexander
16
Hautsch, Nikolaus
16
Hsiao, Cheng
16
Kristensen, Dennis
16
Kumar, Dilip
16
Lechner, Michael
16
Li, Yingying
16
McAleer, Michael
16
Tsionas, Efthymios G.
16
Bailey, Natalia
15
more ...
less ...
Published in...
All
Journal of econometrics
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
CORE discussion paper : DP
1
Journal of the American Statistical Association : JASA
1
Série des documents de travail
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
Working paper series
1
more ...
less ...
Source
All
ECONIS (ZBW)
19
Showing
1
-
19
of
19
Sort
Relevance
Date (newest first)
Date (oldest first)
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
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
9
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:
10
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
11
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
12
Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
-
2013
Persistent link: https://www.econbiz.de/10010348527
Saved in:
13
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
14
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
15
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
16
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
17
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
18
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
-
1997
Persistent link: https://www.econbiz.de/10000956285
Saved in:
19
Contemporaneous asymetry in weak garch processes
Babsiri, Mohamed el
-
1996
Persistent link: https://www.econbiz.de/10000936580
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->