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~subject:"Estimation"
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Estimation
Theorie
150
Theory
150
Estimation theory
111
Schätztheorie
111
Nichtparametrisches Verfahren
57
Nonparametric statistics
55
Schätzung
44
ARCH model
39
ARCH-Modell
39
Portfolio selection
32
Portfolio-Management
32
Stochastic process
31
Stochastischer Prozess
31
Volatilität
31
Capital income
30
Kapitaleinkommen
30
Optionspreistheorie
30
Time series analysis
30
Zeitreihenanalyse
30
Börsenkurs
28
Share price
28
Volatility
28
Option pricing theory
26
Statistischer Test
25
Forecasting model
24
Prognoseverfahren
24
Risikomanagement
24
Statistical test
24
Bootstrap approach
21
Bootstrap-Verfahren
21
Monte-Carlo-Simulation
21
Risikoprämie
21
Statistical distribution
21
Statistische Verteilung
21
Risikomaß
20
Risk management
20
Risk measure
20
Risk premium
20
Monte Carlo simulation
19
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Free
17
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12
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Book / Working Paper
23
Article
21
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Arbeitspapier
19
Article in journal
19
Aufsatz in Zeitschrift
19
Working Paper
19
Graue Literatur
17
Non-commercial literature
17
Amtsdruckschrift
1
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1
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1
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1
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Language
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English
44
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Scaillet, Olivier
32
Gagliardini, Patrick
16
Zakoïan, Jean-Michel
12
Francq, Christian
9
Ossola, Elisa
7
Fortin, Alain-Philippe
6
Babsiri, Mohamed el
3
Bajgrowicz, Pierre
3
Barras, Laurent
3
Hagmann, Matthias
3
Ardia, David
2
Bakalli, Gaetan
2
Chaieb, Ines
2
Cosma, Antonio
2
Guerrier, Stéphane
2
Lahiani, A.
2
Langlois, Hugues
2
Sachs, Rainer von
2
Camponovo, Lorenzo
1
Cantin, Loïc
1
Cerovecki, Clément
1
Horváth, Lajos
1
Hörmann, Siegfried
1
Lahiani, Amine
1
Onatski, Alexei
1
Pelger, Markus
1
Trojani, Fabio
1
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International Center for Financial Asset Management and Engineering
1
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Research paper series / Swiss Finance Institute
9
Journal of econometrics
7
Swiss Finance Institute Research Paper
7
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
5
Journal of financial economics
3
FAME research paper series
2
Annals of economics and statistics
1
CORE discussion paper : DP
1
Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
1
EFA 2008 Athens Meetings Paper
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of econometrics : Volume 7A
1
Handbook of econometrics ; Volume 7A
1
International journal of forecasting
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
1
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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
-
1997
Persistent link: https://www.econbiz.de/10000956285
Saved in:
2
Contemporaneous asymetry in weak garch processes
Babsiri, Mohamed el
-
1996
Persistent link: https://www.econbiz.de/10000936580
Saved in:
3
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
Saved in:
4
QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
28
(
2012
)
1
,
pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
Saved in:
5
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:
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
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:
9
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:
10
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
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