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~subject:"Maximum likelihood estimation"
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Maximum likelihood estimation
Estimation theory
47
Schätztheorie
47
ARCH model
45
ARCH-Modell
45
Theorie
32
Theory
32
Time series analysis
23
Zeitreihenanalyse
23
Maximum-Likelihood-Schätzung
14
Estimation
13
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13
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10
Risk measure
10
Volatility
9
Volatilität
9
ARMA model
7
ARMA-Modell
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Capital income
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Induktive Statistik
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Kapitaleinkommen
7
Statistical distribution
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Statistical inference
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Statistische Verteilung
7
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Heteroscedasticity
5
Heteroskedastizität
5
Markov chain
5
Markov-Kette
5
Statistical test
5
Statistischer Test
5
Stochastic process
5
Stochastischer Prozess
5
Risiko
4
Risk
4
Autocorrelation
3
Autokorrelation
3
Bootstrap approach
3
Bootstrap-Verfahren
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1
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8
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6
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English
14
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Francq, Christian
14
Zakoïan, Jean-Michel
12
Horváth, Lajos
2
Darolles, Serge
1
LeFol, Gaëlle
1
Sucarrat, Genaro
1
Wintenberger, Olivier
1
Zakoïan, Jean-Michael
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Série des documents de travail / Centre de Recherche en Économie et Statistique
6
Annals of economics and statistics
2
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
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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:
2
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:
3
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:
4
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:
5
Optimal predictions of powers of conditionally heteroskedastic processes
Francq, Christian
;
Zakoïan, Jean-Michael
-
2012
Persistent link: https://www.econbiz.de/10009748872
Saved in:
6
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
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
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:
9
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:
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
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