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subject:"Volatility"
~person:"Fan, Jianqing"
~person:"Francq, Christian"
~subject:"Zinsstruktur"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Zinsstruktur
Estimation theory
48
Schätztheorie
48
ARCH model
21
ARCH-Modell
21
Time series analysis
13
Zeitreihenanalyse
13
Volatilität
12
Estimation
10
Schätzung
10
Correlation
8
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8
Nichtparametrisches Verfahren
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8
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12
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Fan, Jianqing
Francq, Christian
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Teräsvirta, Timo
9
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Ghysels, Eric
6
Hafner, Christian M.
6
Koopman, Siem Jan
6
Wang, Yazhen
6
Bollerslev, Tim
5
Dufour, Jean-Marie
5
Härdle, Wolfgang
5
Jing, Bingyi
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Elliott, Robert J.
4
Feng, Yuanhua
4
Fičura, Milan
4
Hwang, Eunju
4
Juneja, Januj
4
Li, Wai Keung
4
Linton, Oliver
4
Mancino, Maria Elvira
4
Nolte, Ingmar
4
Park, Joon Y.
4
Renault, Eric
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
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Journal of econometrics
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
12
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1
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:
2
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
3
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:
4
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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
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:
9
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:
10
Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Peng, Heng
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
487
,
pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
Saved in:
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