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subject:"Simulation"
~isPartOf:"Journal of econometrics"
~person:"Francq, Christian"
~person:"Li, Yingying"
~subject:"Analysis of variance"
~subject:"Maximum-Likelihood-Schätzung"
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Simulation
Analysis of variance
Maximum-Likelihood-Schätzung
Estimation theory
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ARCH-Modell
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Time series analysis
9
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Minimum variance portfolio
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Filtered historical simulation
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Francq, Christian
Li, Yingying
Lee, Lung-fei
9
Bai, Jushan
5
Li, Kunpeng
5
Zakoïan, Jean-Michel
4
Blasques, Francisco
3
Hong, Han
3
Robinson, Peter M.
3
Urga, Giovanni
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Xu, Xingbai
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2
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2
Hajivassiliou, Vassilis Argyrou
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2
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2
Kim, Donggyu
2
Komunjer, Ivana
2
Koopman, Siem Jan
2
Kristensen, Dennis
2
Li, Dong
2
Liao, Yuan
2
Lu, Lina
2
Martellosio, Federico
2
Nason, James Michael
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Ng, Serena
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Pesaran, M. Hashem
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Phillips, Peter C. B.
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Su, Liangjun
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Wang, Hansheng
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Wang, Yazhen
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Xiu, Dacheng
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Journal of econometrics
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
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1
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
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
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
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
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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