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person:"Stambaugh, Robert F."
subject:"Share price"
~person:"Engle, Robert F."
~person:"Francq, Christian"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Share price
ARCH model
Estimation theory
41
Schätztheorie
41
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21
Theorie
13
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13
Time series analysis
12
Zeitreihenanalyse
12
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10
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10
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9
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8
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Stambaugh, Robert F.
Engle, Robert F.
Francq, Christian
Zakoïan, Jean-Michel
16
Kumar, Dilip
14
Maheswaran, S.
10
Tauchen, George Eugene
9
Li, Jia
8
Rahbek, Anders
8
Teräsvirta, Timo
8
Bauwens, Luc
7
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7
Ardia, David
6
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6
Ling, Shiqing
6
Linton, Oliver
6
McAleer, Michael
6
Shephard, Neil G.
6
Faff, Robert W.
5
Hafner, Christian M.
5
Horváth, Lajos
5
Jondeau, Eric
5
Krämer, Walter
5
Li, Guodong
5
Li, Wai Keung
5
Luger, Richard
5
Paolella, Marc S.
5
Sucarrat, Genaro
5
Wang, Yazhen
5
Zhu, Ke
5
Allen, David E.
4
Arvanitis, Stelios
4
Carnero, M. Angeles
4
Chan, Ngai Hang
4
Kim, Jong-Min
4
Li, Dong
4
Mills, Terence C.
4
Mykland, Per A.
4
Pedersen, Rasmus Søndergaard
4
Rockinger, Michael
4
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Journal of econometrics
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Annals of economics and statistics
1
Jingji-lunwen
1
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ECONIS (ZBW)
25
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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
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:
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
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
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
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
9
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
10
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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