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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Francq, Christian"
~person:"Inoue, Atsushi"
~person:"Lütkepohl, Helmut"
~subject:"ARCH model"
~subject:"Capital income"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
ARCH model
Capital income
Estimation theory
34
Schätztheorie
34
VAR model
19
VAR-Modell
19
Time series analysis
14
Zeitreihenanalyse
14
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13
Estimation
9
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9
Bootstrap-Verfahren
8
Heteroscedasticity
7
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7
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6
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Induktive Statistik
5
Schock
5
Shock
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Statistical inference
5
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4
Conditional heteroskedasticity
4
Statistical test
4
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4
Structural vector autoregression
4
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3
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3
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3
Theorie
3
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3
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2
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2
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18
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Francq, Christian
Inoue, Atsushi
Lütkepohl, Helmut
Kumar, Dilip
8
Ardia, David
6
Nielsen, Morten Ørregaard
6
Taylor, Robert
6
Cavaliere, Giuseppe
5
Demetrescu, Matei
5
Hounyo, Ulrich
5
Ling, Shiqing
5
Luger, Richard
5
MacKinnon, James G.
5
Maheswaran, S.
5
Rahbek, Anders
5
Sucarrat, Genaro
5
Webb, Matthew
5
Zakoïan, Jean-Michel
5
Zhu, Ke
5
Andersen, Torben
4
Kilian, Lutz
4
Kim, Jong-Min
4
Li, Dong
4
Li, Jia
4
Li, Yingying
4
Mykland, Per A.
4
Peng, Liang
4
Rodrigues, Paulo M. M.
4
Song, Xiaojun
4
Todorov, Viktor
4
Yang, Zhenlin
4
Ñíguez, Trino-Manuel
4
Arvanitis, Stelios
3
Bauwens, Luc
3
Blazsek, Szabolcs
3
Carnero, M. Angeles
3
Corradi, Valentina
3
De Luca, Giovanni
3
Dufour, Jean-Marie
3
Escribano, Álvaro
3
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Journal of econometrics
10
Journal of economic dynamics & control
2
Discussion paper / Centre for Economic Policy Research
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic surveys
1
Journal of financial econometrics
1
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ECONIS (ZBW)
18
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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
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:
3
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:
4
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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
The uniform validity of impulse response inference in autoregressions
Inoue, Atsushi
;
Kilian, Lutz
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 450-472
Persistent link: https://www.econbiz.de/10012439494
Saved in:
7
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
Saved in:
8
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:
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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