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accessRights:"free"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Francq, Christian"
~type_genre:"Book section"
~type_genre:"Collection of articles written by one author"
~type_genre:"Nachschlagewerk"
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Search: subject_exact:"Estimation theory"
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Estimation theory
12
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12
ARCH model
9
ARCH-Modell
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Estimation
5
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5
Time series analysis
5
Volatility
5
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Francq, Christian
Tsionas, Efthymios G.
44
Linton, Oliver
33
Gao, Jiti
31
Phillips, Peter C. B.
31
Lee, Lung-fei
29
Parmeter, Christopher F.
25
Zhang, Xinyu
24
Su, Liangjun
23
Kumbhakar, Subal
22
Baltagi, Badi H.
21
Ullah, Aman
19
Li, Qi
18
Sun, Yiguo
18
Tu, Yundong
18
Cai, Zongwu
17
Bera, Anil K.
16
Westerlund, Joakim
16
Chen, Songnian
15
Li, Degui
15
Peng, Bin
15
Escanciano, Juan Carlos
14
Jochmans, Koen
14
Zhou, Qiankun
14
Hsiao, Cheng
13
Jin, Fei
13
Otsu, Taisuke
13
Perron, Pierre
13
Simar, Léopold
13
Wooldridge, Jeffrey M.
13
Bai, Jushan
12
Hahn, Jinyong
12
Li, Kunpeng
12
Ling, Shiqing
12
Nielsen, Morten Ørregaard
12
Peng, Liang
12
Sasaki, Yuya
12
Sun, Yixiao
12
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12
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Journal of econometrics
7
Econometric theory
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
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ECONIS (ZBW)
12
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
2
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
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:
5
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
Saved in:
6
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
7
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:
8
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:
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
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
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