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subject:"Share price"
person:"Fornari, Fabio"
~person:"Zakoïan, Jean-Michel"
~person:"Bauwens, Luc"
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Search: subject_exact:"Estimation theory"
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Share price
Estimation theory
101
Schätztheorie
101
Theorie
47
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47
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36
ARCH-Modell
36
Time series analysis
32
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32
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Fornari, Fabio
Zakoïan, Jean-Michel
Bauwens, Luc
Kapetanios, George
12
Pesaran, M. Hashem
12
Linton, Oliver
10
Tauchen, George Eugene
10
Maheswaran, S.
9
Todorov, Viktor
9
Bailey, Natalia
8
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8
Li, Jia
8
Allen, David E.
7
Faff, Robert W.
7
Malec, Peter
7
Runde, Ralf
7
Teräsvirta, Timo
7
Gao, Jiti
6
Kim, Donggyu
6
Krämer, Walter
6
Bibinger, Markus
5
Engle, Robert F.
5
Kumar, Dilip
5
Luger, Richard
5
Sentana, Enrique
5
Shephard, Neil G.
5
Silvennoinen, Annastiina
5
Wang, Yazhen
5
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4
Amilon, Henrik
4
Brailsford, Timothy J.
4
Brooks, Robert
4
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4
Cheng, Tingting
4
Escanciano, Juan Carlos
4
Feng, Yuanhua
4
Francq, Christian
4
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4
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4
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4
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CORE discussion paper : DP
3
Journal of econometrics
2
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
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1
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ECONIS (ZBW)
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1
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
2
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
3
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:
4
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:
5
Recovering the probability density function of asset prices using GARCH as diffusion approximations
Fornari, Fabio
-
2001
Persistent link: https://www.econbiz.de/10013439253
Saved in:
6
Asymmetric ACD models: introducing price information in ACD models
Bauwens, Luc
;
Giot, Pierre
- In:
Empirical economics : a journal of the Institute for …
28
(
2003
)
4
,
pp. 709-731
Persistent link: https://www.econbiz.de/10001798161
Saved in:
7
Recovering the probability density function of asset prices using garch as diffusion approximations
Fornari, Fabio
;
Mele, Antonio
- In:
Journal of empirical finance
8
(
2001
)
1
,
pp. 83-110
Persistent link: https://www.econbiz.de/10001568294
Saved in:
8
The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc
;
Giot, Pierre
- In:
Annales d'économie et de statistique
(
2000
),
pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
Saved in:
9
Asymmetric ACD models : introducing price information in ACD models with a two state transition model
Bauwens, Luc
-
1998
Persistent link: https://www.econbiz.de/10000994354
Saved in:
10
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
-
1997
Persistent link: https://www.econbiz.de/10000956285
Saved in:
11
The logarithmic ACD model : an application to market microstructure and NASDAQ
Bauwens, Luc
;
Giot, Pierre
-
1997
Persistent link: https://www.econbiz.de/10000980123
Saved in:
12
Contemporaneous asymetry in weak garch processes
Babsiri, Mohamed el
-
1996
Persistent link: https://www.econbiz.de/10000936580
Saved in:
13
Threshold heteroskedastic models
Zakoïan, Jean-Michel
- In:
Journal of economic dynamics & control
18
(
1994
)
5
,
pp. 931-955
Persistent link: https://www.econbiz.de/10001168038
Saved in:
14
Threshold arch models and asymmetries in volatility
Rabemananjara, R.
- In:
Journal of applied econometrics
8
(
1993
)
1
,
pp. 31-49
Persistent link: https://www.econbiz.de/10001139585
Saved in:
15
Estimating variability in the Italian stock market : an ARCH approach
Fornari, Fabio
- In:
Open economies review
4
(
1993
)
4
,
pp. 403-423
Persistent link: https://www.econbiz.de/10001158482
Saved in:
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