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~subject:"Maximum likelihood estimation"
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Maximum likelihood estimation
Estimation theory
61
Schätztheorie
61
ARCH model
48
Theorie
48
Theory
48
ARCH-Modell
47
Time series analysis
31
Zeitreihenanalyse
31
Maximum-Likelihood-Schätzung
17
Estimation
15
Schätzung
15
GARCH
12
Induktive Statistik
10
Risikomaß
10
Risk measure
10
Statistical inference
10
Statistical distribution
9
Statistische Verteilung
9
Volatility
9
Volatilität
9
Stochastic process
8
Stochastischer Prozess
8
ARMA model
7
ARMA-Modell
7
Capital income
7
Kapitaleinkommen
7
Quasi Maximum Likelihood Estimation
7
Quasi-maximum likelihood
7
Autocorrelation
6
Autokorrelation
6
Börsenkurs
6
Financial market
6
Finanzmarkt
6
Heteroscedasticity
6
Heteroskedastizität
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Share price
6
Value-at-Risk
6
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9
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8
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English
17
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Zakoïan, Jean-Michel
15
Francq, Christian
14
Horváth, Lajos
2
Li, Dong
2
Ling, Shiqing
2
Darolles, Serge
1
Gouriéroux, Christian
1
LeFol, Gaëlle
1
Monfort, Alain
1
Sucarrat, Genaro
1
Wintenberger, Olivier
1
Zakoïan, Jean-Michael
1
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Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Journal of econometrics
3
Annals of economics and statistics
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
1
Série des documents de travail
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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
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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:
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