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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~person:"Hafner, Christian M."
~subject:"Forecasting model"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Forecasting model
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Estimation theory
40
Schätztheorie
40
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23
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23
Volatilität
12
Zeitreihenanalyse
12
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10
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6
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20
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Francq, Christian
Hafner, Christian M.
Phillips, Peter C. B.
32
Leybourne, Stephen James
21
Taylor, Robert
19
Linton, Oliver
18
Teräsvirta, Timo
17
Harvey, Andrew C.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Gao, Jiti
15
Johansen, Søren
14
Maheswaran, S.
14
Xiao, Zhijie
14
Baillie, Richard
13
Baltagi, Badi H.
13
Chambers, Marcus J.
13
Harvey, David I.
13
Hassler, Uwe
13
Hendry, David F.
13
Li, Jia
13
Perron, Pierre
13
Tauchen, George Eugene
13
Ghysels, Eric
12
Koop, Gary
12
Koopman, Siem Jan
12
Todorov, Viktor
12
Bauwens, Luc
11
Cai, Zongwu
11
Demetrescu, Matei
11
Franses, Philip Hans
11
Kapetanios, George
11
McAleer, Michael
11
Zakoïan, Jean-Michel
11
Zhu, Ke
11
Lucas, André
10
Robinson, Peter M.
10
Swanson, Norman R.
10
Tsay, Ruey S.
10
Westerlund, Joakim
10
Andersen, Torben
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
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Economics letters
1
Finance and stochastics
1
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ECONIS (ZBW)
20
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1
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:
2
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:
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
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:
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
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:
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
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:
9
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:
10
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:
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