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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of econometrics"
~person:"Francq, Christian"
~person:"Omay, Tolga"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
Schätzung
Zeitreihenanalyse
ARCH model
7
ARCH-Modell
7
Estimation theory
7
Schätztheorie
7
Estimation
3
Time series analysis
3
Dynamic portfolio
2
Filtered historical simulation
2
Portfolio selection
2
Portfolio-Management
2
Risikomaß
2
Risk measure
2
Simulation
2
Statistical test
2
Statistischer Test
2
Stochastic process
2
Stochastischer Prozess
2
VAR model
2
VAR-Modell
2
Volatility
2
Volatilität
2
Accuracy of VaR estimation
1
Analysis of variance
1
Autoregressive Conditional Duration model
1
Beta risk
1
Betafaktor
1
Bootstrap-Verfahren
1
Börsenkurs
1
CAPM
1
Capital income
1
Conditional Monte Carlo test
1
Conditional betas
1
Conditional heteroskedasticity
1
Confidence intervals for VaR
1
Covariance
1
Efficiency comparisons
1
Elliptical distribution
1
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Francq, Christian
Omay, Tolga
Phillips, Peter C. B.
10
Linton, Oliver
9
Gao, Jiti
6
Li, Jia
6
Taylor, Robert
6
Todorov, Viktor
6
Davis, Richard A.
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Zhu, Ke
5
Cai, Zongwu
4
Koopman, Siem Jan
4
Li, Degui
4
Nielsen, Morten Ørregaard
4
Park, Joon Y.
4
Sant'Anna, Pedro H. C.
4
Sasaki, Yuya
4
Varneskov, Rasmus Tangsgaard
4
Zakoïan, Jean-Michel
4
Andersen, Torben
3
Baltagi, Badi H.
3
Callaway, Brantly
3
Chen, Xiaohong
3
Demetrescu, Matei
3
Fan, Jianqing
3
Georgiev, Iliyan
3
Ghysels, Eric
3
Hong, Yongmiao
3
Hounyo, Ulrich
3
Inoue, Atsushi
3
Kilian, Lutz
3
La Vecchia, Davide
3
Li, Guodong
3
Li, Wai Keung
3
MacKinnon, James G.
3
Marcellino, Massimiliano
3
Martin, Gael M.
3
Poskitt, Donald Stephen
3
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Journal of econometrics
Computational economics
4
Applied economics
1
Applied economics letters
1
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international financial markets, institutions & money
1
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
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