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person:"Zakoïan, Jean-Michel"
~person:"Hallin, Marc"
~subject:"Conditional heteroskedasticity"
~subject:"Schätzung"
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Conditional heteroskedasticity
Schätzung
ARCH model
48
ARCH-Modell
48
Theorie
27
Theory
27
Estimation theory
24
Schätztheorie
24
Time series analysis
18
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18
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GARCH
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Analysis of variance
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Zakoïan, Jean-Michel
Hallin, Marc
McAleer, Michael
47
Chang, Chia-Lin
25
Gupta, Rangan
24
Kumar, Dilip
20
Herwartz, Helmut
18
Paolella, Marc S.
17
Ma, Feng
16
Bouri, Elie
14
Conrad, Christian
13
Antonakakis, Nikolaos
12
Bauwens, Luc
12
Karanasos, Menelaos
12
Koopman, Siem Jan
12
Caporin, Massimiliano
11
Hafner, Christian M.
11
Huang, Zhuo
11
Malik, Farooq
11
Miller, Stephen M.
11
Mittnik, Stefan
11
Brooks, Robert
10
Chiang, Thomas C.
10
Floros, Christos
10
Francq, Christian
10
Tiwari, Aviral Kumar
10
Wu, Xinyu
10
Yoon, Seong-min
10
Bahmani-Oskooee, Mohsen
9
Bollerslev, Tim
9
Caporale, Guglielmo Maria
9
Chen, Cathy W. S.
9
Engle, Robert F.
9
Haas, Markus
9
Hamori, Shigeyuki
9
Jawadi, Fredj
9
Silvennoinen, Annastiina
9
Teräsvirta, Timo
9
Trojani, Fabio
9
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8
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Journal of econometrics
7
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1
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1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
12
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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
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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
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:
5
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:
6
Semiparametrically efficient R-estimation for dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
-
2014
Persistent link: https://www.econbiz.de/10010418928
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
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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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