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subject:"Simulation"
~isPartOf:"Journal of econometrics"
~person:"Blasques, Francisco"
~person:"Francq, Christian"
~subject:"Maximum-Likelihood-Schätzung"
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Search: subject_exact:"Estimation theory"
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Simulation
Maximum-Likelihood-Schätzung
Estimation theory
14
Schätztheorie
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10
ARCH-Modell
10
Time series analysis
6
Zeitreihenanalyse
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Börsenkurs
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Estimation
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Schätzung
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Share price
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Volatility
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Maximum likelihood estimation
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Dynamic portfolio
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Filtered historical simulation
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Portfolio selection
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Quasi-maximum likelihood
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VAR model
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VAR-Modell
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Aktienindex
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Analysis of variance
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Blasques, Francisco
Francq, Christian
Lee, Lung-fei
9
Li, Kunpeng
5
Zakoïan, Jean-Michel
4
Bai, Jushan
3
Hong, Han
3
Robinson, Peter M.
3
Urga, Giovanni
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Xu, Xingbai
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Chen, Xiaohong
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Giesecke, Kay
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Hajivassiliou, Vassilis Argyrou
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Hall, Alastair R.
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2
Koopman, Siem Jan
2
Kristensen, Dennis
2
Li, Dong
2
Lu, Lina
2
Martellosio, Federico
2
Nason, James Michael
2
Pesaran, M. Hashem
2
Phillips, Peter C. B.
2
Poskitt, Donald Stephen
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Su, Liangjun
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Wang, Hansheng
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2
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2
Allen, David E.
1
Amemiya, Takeshi
1
Amengual, Dante
1
Ando, Tomohiro
1
Andrews, Donald W. K.
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Journal of econometrics
Discussion paper / Tinbergen Institute
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Journal of the American Statistical Association : JASA
1
Tinbergen Institute Discussion Paper 14-029/III
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1
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
2
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:
3
Penalized indirect inference
Blasques, Francisco
;
Duplinskiy, Artem
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 34-54
Persistent link: https://www.econbiz.de/10012110237
Saved in:
4
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:
5
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
6
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
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