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subject:"Sampling"
subject:"Stichprobenerhebung"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Bootstrap-Verfahren"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Bootstrap-Verfahren
Statistische Verteilung
Estimation theory
43
Schätztheorie
43
ARCH-Modell
27
Theorie
15
Theory
15
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Estimation
8
Risikomaß
8
Risk measure
8
Schätzung
8
Volatility
7
Volatilität
7
Autocorrelation
4
Autokorrelation
4
Börsenkurs
4
Share price
4
Forecasting model
3
Heteroscedasticity
3
Heteroskedastizität
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Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistical test
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
Capital income
2
Conditional heteroskedasticity
2
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English
28
Author
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Francq, Christian
Phillips, Peter C. B.
28
Rahbek, Anders
25
Andrews, Donald W. K.
24
Chen, Xiaohong
24
Zakoïan, Jean-Michel
24
Cavaliere, Giuseppe
23
Linton, Oliver
23
Nielsen, Morten Ørregaard
22
MacKinnon, James G.
21
Lütkepohl, Helmut
20
Corradi, Valentina
19
Teräsvirta, Timo
19
Härdle, Wolfgang
18
McAleer, Michael
17
Pouzo, Demian
17
Ardia, David
16
Chernozhukov, Victor
16
Einmahl, John H. J.
16
Horowitz, Joel
16
Swanson, Norman R.
16
Hafner, Christian M.
15
Audrino, Francesco
14
Kilian, Lutz
14
Koopman, Siem Jan
14
Kumar, Dilip
14
Politis, Dimitris N.
14
Webb, Matthew
14
Engle, Robert F.
13
Lucas, André
13
Mykland, Per A.
13
Sheppard, Kevin
13
Wolf, Michael
13
Brakel, Jan A. van den
12
Kitagawa, Toru
12
Taylor, Robert
12
Ling, Shiqing
11
Pedersen, Rasmus Søndergaard
11
Peng, Liang
11
Simar, Léopold
11
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Working paper series
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
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ECONIS (ZBW)
28
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
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
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:
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
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:
9
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:
10
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:
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