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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Zakoïan, Jean-Michel"
~subject:"Statistical distribution"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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23
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
43
Koopman, Siem Jan
27
Diebold, Francis X.
21
McAleer, Michael
21
Swanson, Norman R.
20
Todorov, Viktor
19
Härdle, Wolfgang
17
Li, Jia
17
Linton, Oliver
17
Sentana, Enrique
17
Tauchen, George Eugene
17
Einmahl, John H. J.
16
Kumar, Dilip
16
Lucas, André
16
Li, Yingying
15
Teräsvirta, Timo
15
Ghysels, Eric
14
Maheswaran, S.
14
Brandt, Michael W.
13
Hafner, Christian M.
13
Dufour, Jean-Marie
12
Kim, Donggyu
12
Linton, Oliver B.
12
Chernozhukov, Victor
11
Engle, Robert F.
11
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11
Harvey, Andrew C.
11
Mairesse, Jacques
11
Mancino, Maria Elvira
11
Reiß, Markus
11
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11
Stock, James H.
11
White, Halbert
11
Andersen, Torben
10
Bandi, Federico M.
10
Cui, Zhenyu
10
Francq, Christian
10
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10
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10
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Journal of econometrics
6
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2
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1
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1
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ECONIS (ZBW)
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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
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
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
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
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:
7
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:
8
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
9
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
10
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
Saved in:
1
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