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~language:"eng"
~language:"spa"
~person:"Francq, Christian"
~subject:"Schätzung"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Schätzung
ARCH model
42
ARCH-Modell
42
Estimation theory
27
Schätztheorie
27
Theorie
17
Theory
17
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Risikomaß
9
Risk measure
9
Volatility
9
Volatilität
9
Estimation
8
Induktive Statistik
6
Statistical inference
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Börsenkurs
5
Share price
5
Heteroscedasticity
4
Heteroskedastizität
4
Statistical test
4
Statistischer Test
4
Stochastic process
4
Stochastischer Prozess
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Bootstrap approach
3
Bootstrap-Verfahren
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Capital income
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Forecasting model
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GARCH
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Kapitaleinkommen
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Measurement
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Messung
3
Prognoseverfahren
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VAR model
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VAR-Modell
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Value-at-Risk
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Conditional heteroskedasticity
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Dynamic portfolio
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Francq, Christian
McAleer, Michael
47
Chang, Chia-Lin
25
Gupta, Rangan
24
Kumar, Dilip
20
Herwartz, Helmut
18
Paolella, Marc S.
17
Ma, Feng
16
Bouri, Elie
14
Conrad, Christian
13
Antonakakis, Nikolaos
12
Bauwens, Luc
12
Karanasos, Menelaos
12
Koopman, Siem Jan
12
Caporin, Massimiliano
11
Huang, Zhuo
11
Malik, Farooq
11
Miller, Stephen M.
11
Mittnik, Stefan
11
Brooks, Robert
10
Chiang, Thomas C.
10
Floros, Christos
10
Hafner, Christian M.
10
Tiwari, Aviral Kumar
10
Wu, Xinyu
10
Yoon, Seong-min
10
Bahmani-Oskooee, Mohsen
9
Bollerslev, Tim
9
Caporale, Guglielmo Maria
9
Chen, Cathy W. S.
9
Engle, Robert F.
9
Haas, Markus
9
Hamori, Shigeyuki
9
Jawadi, Fredj
9
Silvennoinen, Annastiina
9
Trojani, Fabio
9
Ardia, David
8
Balcilar, Mehmet
8
Hautsch, Nikolaus
8
Nonejad, Nima
8
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Journal of econometrics
4
Annals of economics and statistics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
4
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:
5
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:
6
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:
7
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
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:
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