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Stochastic process
Theorie
150
Theory
150
Estimation theory
111
Schätztheorie
111
Nichtparametrisches Verfahren
57
Nonparametric statistics
55
Estimation
44
Schätzung
44
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39
ARCH-Modell
39
Portfolio selection
32
Portfolio-Management
32
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
12
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11
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Arbeitspapier
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English
31
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Scaillet, Olivier
24
Medvedev, Alexey
8
Topaloglou, Nikolas
7
Zakoïan, Jean-Michel
7
Arvanitis, Stelios
4
Francq, Christian
4
Cheng, Peng
2
Lesne, Jean-Philippe
2
Li, Dong
2
Ling, Shiqing
2
Prigent, Jean-Luc
2
Treccani, Adrien
2
Trevisan, Christopher
2
Bakalli, Gaetan
1
Cerovecki, Clément
1
Cuccio, Davide
1
El-Sheimy, Naser
1
Gouriéroux, Christian
1
Guerrier, Stéphane
1
Hörmann, Siegfried
1
Leblanc, Boris
1
Molinari, Roberto
1
Monfort, Alain
1
Potiron, Yoann
1
Radi, Ahmed
1
Renault, Olivier
1
Volkov, V. V.
1
Wintenberger, Olivier
1
Yu, Seunghyeon
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International Center for Financial Asset Management and Engineering
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
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Research paper series / Swiss Finance Institute
8
Journal of econometrics
4
Swiss Finance Institute Research Paper
4
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
3
FAME research paper series
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Finance and stochastics
2
Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
1
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1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of financial economics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
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The review of financial studies
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ECONIS (ZBW)
31
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Estimating stochastic volatility models : a new approach based on ARMA representations
Francq, Christian
;
Zakoïan, Jean-Michel
-
2000
Persistent link: https://www.econbiz.de/10001549029
Saved in:
2
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
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3
Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
-
2013
Persistent link: https://www.econbiz.de/10010348527
Saved in:
4
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
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
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
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7
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:
8
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris
;
Renault, Olivier
;
Scaillet, Olivier
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
Saved in:
9
Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe
;
Prigent, Jean-Luc
;
Scaillet, Olivier
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 81-93
Persistent link: https://www.econbiz.de/10001487041
Saved in:
10
Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe
;
Prigent, Jean-Luc
;
Scaillet, Olivier
-
1998
Persistent link: https://www.econbiz.de/10000997340
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