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~person:"Francq, Christian"
~subject:"Maximum likelihood estimation"
~type_genre:"Non-commercial literature"
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Maximum likelihood estimation
Estimation theory
17
Schätztheorie
17
Theorie
12
Theory
12
ARCH model
8
ARCH-Modell
8
Maximum-Likelihood-Schätzung
4
Risikomaß
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Risk measure
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Time series analysis
3
Zeitreihenanalyse
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Autocorrelation
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Autokorrelation
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Heteroscedasticity
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Heteroskedastizität
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Markov chain
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Markov-Kette
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Statistical distribution
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Statistische Verteilung
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APARCH
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Asymmetric Student-t distribution
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Beta-t-GARCH
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Conditional heteroskedasticity
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Estimation
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Forecasting model
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LAN in time series
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Measurement
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Messung
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Prognoseverfahren
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Quadratic mean differentiability
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Risiko
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Risk
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Schätzung
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VAR model
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English
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Francq, Christian
Koopman, Siem Jan
10
Fiorentini, Gabriele
6
Pesaran, M. Hashem
6
Sentana, Enrique
6
Zakoïan, Jean-Michel
6
Blasques, Francisco
5
Nielsen, Morten Ørregaard
5
Baltagi, Badi H.
4
Bresson, Georges
4
Cavaliere, Giuseppe
4
Chaturvedi, Anoop
4
Christiano, Lawrence J.
4
Gorgi, Paolo
4
Lacroix, Guy
4
Monfort, Alain
4
Oberhofer, Harald
4
Pfaffermayr, Michael
4
Rahbek, Anders
4
Taylor, Robert
4
Vigfusson, Robert J.
4
Yun, Myeong-Su
4
Andersen, Steffen
3
Aquaro, Michele
3
Bailey, Natalia
3
Bohn Nielsen, Heino
3
Galli, Fausto
3
Gao, Jiti
3
Gooijer, Jan G. de
3
Gouriéroux, Christian
3
Hayakawa, Kazuhiko
3
Jungbacker, Borus
3
Kripfganz, Sebastian
3
Kukacka, Jiri
3
Lucas, André
3
Parra-Alvarez, Juan Carlos
3
Platen, Eckhard
3
Posch, Olaf
3
Shephard, Neil G.
3
Sørensen, Michael
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
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Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
2
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
3
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
4
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
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