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Search: subject_exact:"Maximum-Likelihood-Schätzung"
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Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
ARCH model
9
ARCH-Modell
9
Estimation theory
9
Schätztheorie
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Francq, Christian
Koopman, Siem Jan
61
Lee, Lung-fei
26
Fiorentini, Gabriele
21
Sentana, Enrique
21
Nielsen, Morten Ørregaard
20
Phillips, Peter C. B.
20
Winkelmann, Rainer
20
McAleer, Michael
19
Pesaran, M. Hashem
19
Pfaffermayr, Michael
16
Liesenfeld, Roman
15
Zha, Tao
15
Lucas, André
14
Yu, Jun
14
Jungbacker, Borus
13
Lieberman, Offer
13
Zakoïan, Jean-Michel
13
Greene, William H.
12
Hayakawa, Kazuhiko
12
Johansen, Søren
12
Tsionas, Efthymios G.
12
Magnus, Jan R.
11
Aït-Sahalia, Yacine
10
Baltagi, Badi H.
10
Chen, Xiaohong
10
Hurn, Stan
10
Ooms, Marius
10
Wel, Michel van der
10
Blasques, Francisco
9
Egger, Peter
9
Jansson, Michael
9
Kristensen, Dennis
9
Larch, Mario
9
Li, Kunpeng
9
Sola, Martin
9
Bao, Yong
8
Bresson, Georges
8
Galesi, Alessandro
8
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8
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Série des documents de travail / Centre de Recherche en Économie et Statistique
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
2
Optimal predictions of powers of conditionally heteroskedastic processes
Francq, Christian
;
Zakoïan, Jean-Michael
-
2012
Persistent link: https://www.econbiz.de/10009748872
Saved in:
3
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:
4
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
5
Estimating the marginal law of a time series with applications to heavy-tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 412-425
Persistent link: https://www.econbiz.de/10010337860
Saved in:
6
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:
7
Estimating the marginal law of a time series with applications to heavy tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
-
2011
Persistent link: https://www.econbiz.de/10009552653
Saved in:
8
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
9
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:
10
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
11
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:
12
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
Saved in:
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