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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~subject:"Börsenkurs"
~subject:"Statistical test"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Statistical test
Statistischer Test
Estimation theory
24
Schätztheorie
24
ARCH model
18
ARCH-Modell
18
Estimation
7
Schätzung
7
Volatilität
7
Time series analysis
6
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Maximum likelihood estimation
5
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Article in journal
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11
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11
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Francq, Christian
Kumar, Dilip
16
Maheswaran, S.
15
Todorov, Viktor
12
Bera, Anil K.
11
Li, Jia
11
Tauchen, George Eugene
11
Cai, Zongwu
10
Shi, Xiaoxia
10
Baltagi, Badi H.
9
Dufour, Jean-Marie
9
Phillips, Peter C. B.
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Zakoïan, Jean-Michel
9
Chen, Yi-ting
8
Ghysels, Eric
8
Linton, Oliver
8
Perron, Pierre
8
Su, Liangjun
8
White, Halbert
8
Andersen, Torben
7
Andrews, Donald W. K.
7
Demetrescu, Matei
7
Escanciano, Juan Carlos
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Kleibergen, Frank
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Sentana, Enrique
7
Canay, Ivan A.
6
Doğan, Osman
6
Fan, Jianqing
6
Hsu, Yu-Chin
6
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6
Kao, Chihwa
6
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6
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Journal of econometrics
7
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
11
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1
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:
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
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
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:
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
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
8
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:
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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