//--> //--> //--> //-->
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:"Probability theory"
subject:"Time series analysis"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
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
| 6 applied filters
Year of publication
From:
To:
Subject
All
Probability theory
Time series analysis
ARCH model
Monte Carlo simulation
Volatilität
Estimation theory
43
Schätztheorie
43
ARCH-Modell
27
Theorie
15
Theory
15
Zeitreihenanalyse
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Estimation
8
Risikomaß
8
Risk measure
8
Schätzung
8
Volatility
7
Autocorrelation
4
Autokorrelation
4
Börsenkurs
4
Share price
4
Forecasting model
3
Heteroscedasticity
3
Heteroskedastizität
3
Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistical test
3
Statistische Verteilung
3
Statistischer Test
3
Stochastic process
3
Stochastischer Prozess
3
VAR model
3
VAR-Modell
3
ARMA model
2
ARMA-Modell
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Capital income
2
Conditional heteroskedasticity
2
more ...
less ...
Online availability
All
Undetermined
11
Free
2
Type of publication
All
Article
21
Book / Working Paper
11
Type of publication (narrower categories)
All
Article in journal
20
Aufsatz in Zeitschrift
20
Arbeitspapier
10
Graue Literatur
10
Non-commercial literature
10
Working Paper
10
Amtsdruckschrift
2
Government document
2
Aufsatz im Buch
1
Book section
1
more ...
less ...
Language
All
English
32
Author
All
Francq, Christian
Phillips, Peter C. B.
99
Gao, Jiti
78
Koopman, Siem Jan
63
Linton, Oliver
47
Teräsvirta, Timo
46
Franses, Philip Hans
44
Johansen, Søren
43
Lütkepohl, Helmut
43
Nielsen, Morten Ørregaard
41
Kapetanios, George
37
Engle, Robert F.
35
Pesaran, M. Hashem
35
Swanson, Norman R.
35
Zakoïan, Jean-Michel
33
Harvey, Andrew C.
32
Nelson, Daniel B.
32
Stock, James H.
31
Gouriéroux, Christian
30
Koop, Gary
30
Sibbertsen, Philipp
30
Li, Degui
29
McAleer, Michael
29
Rahbek, Anders
29
Lucas, André
28
Schorfheide, Frank
28
Hafner, Christian M.
27
Sentana, Enrique
27
Diebold, Francis X.
26
Härdle, Wolfgang
26
Robinson, Peter M.
26
Taylor, Robert
26
Xiao, Zhijie
26
Cavaliere, Giuseppe
25
Kristensen, Dennis
25
Maravall Herrero, Agustín
25
Peng, Bin
25
Perron, Pierre
25
Watson, Mark W.
25
Audrino, Francesco
24
more ...
less ...
Published in...
All
Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Econometric theory
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
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)
32
Showing
1
-
10
of
32
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
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
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:
4
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:
5
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:
6
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:
7
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:
8
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
9
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:
10
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:
1
2
3
4
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->