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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~person:"Hafner, Christian M."
~subject:"Autocorrelation"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
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Estimation theory
40
Schätztheorie
40
ARCH model
23
ARCH-Modell
23
Volatilität
12
Zeitreihenanalyse
12
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10
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6
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Francq, Christian
Hafner, Christian M.
Phillips, Peter C. B.
34
Lee, Lung-fei
28
Linton, Oliver
19
Leybourne, Stephen James
18
Lütkepohl, Helmut
17
Baltagi, Badi H.
16
Harvey, Andrew C.
16
Kumar, Dilip
16
Sun, Yixiao
16
Taylor, Robert
16
Teräsvirta, Timo
16
Johansen, Søren
14
Maheswaran, S.
14
Robinson, Peter M.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Li, Jia
13
Perron, Pierre
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
Ghysels, Eric
12
McAleer, Michael
12
Todorov, Viktor
12
Zakoïan, Jean-Michel
12
Cavaliere, Giuseppe
11
Jin, Fei
11
Koopman, Siem Jan
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Kapetanios, George
10
Koop, Gary
10
Li, Dong
10
Ling, Shiqing
10
Lucas, André
10
Sun, Yiguo
10
Chan, Ngai Hang
9
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Journal of econometrics
7
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Economics letters
2
Finance and stochastics
1
Finance research letters
1
Journal of applied econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of time series econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
22
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1
Dynamic autoregressive liquidity (DArLiQ)
Hafner, Christian M.
;
Linton, Oliver
;
Wang, Linqi
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 774-785
Persistent link: https://www.econbiz.de/10015053465
Saved in:
2
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
8
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:
9
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:
10
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:
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