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~person:"Zakoïan, Jean-Michel"
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Estimation theory
50
Schätztheorie
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23
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14
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
298
Pesaran, M. Hashem
185
Gao, Jiti
162
Härdle, Wolfgang
145
Linton, Oliver
144
Andrews, Donald W. K.
135
Newey, Whitney K.
130
Chernozhukov, Victor
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109
Baltagi, Badi H.
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Chen, Xiaohong
103
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96
Swanson, Norman R.
96
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91
Gouriéroux, Christian
90
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89
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84
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81
Dette, Holger
80
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80
Koopman, Siem Jan
77
Lee, Lung-fei
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Li, Qi
75
Ullah, Aman
75
Wooldridge, Jeffrey M.
75
Franses, Philip Hans
74
Bera, Anil K.
73
Stock, James H.
72
Horowitz, Joel
71
Nielsen, Morten Ørregaard
71
Simar, Léopold
71
Su, Liangjun
68
Dufour, Jean-Marie
67
Teräsvirta, Timo
67
Cai, Zongwu
66
Croux, Christophe
66
Johansen, Søren
66
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Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Journal of econometrics
8
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
7
Econometric theory
5
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2
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1
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ECONIS (ZBW)
50
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
3
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:
4
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:
5
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
6
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:
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
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:
9
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:
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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