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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Francq, Christian"
~person:"Kapetanios, George"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
Schätzung
Zeitreihenanalyse
Estimation theory
21
Schätztheorie
21
Time series analysis
10
ARCH model
9
ARCH-Modell
9
Estimation
9
Volatility
5
Volatilität
5
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4
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4
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2
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Filtered historical simulation
2
Induktive Statistik
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15
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15
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Francq, Christian
Kapetanios, George
Gao, Jiti
15
Linton, Oliver
14
Phillips, Peter C. B.
12
Kumbhakar, Subal
10
Li, Jia
10
Nielsen, Morten Ørregaard
10
Su, Liangjun
9
Taylor, Robert
9
Cai, Zongwu
8
Todorov, Viktor
8
Westerlund, Joakim
8
Zhu, Ke
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Kumar, Dilip
7
Li, Degui
7
Lütkepohl, Helmut
7
Omay, Tolga
7
Sun, Yiguo
7
Tauchen, George Eugene
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Baltagi, Badi H.
6
Cavaliere, Giuseppe
6
Hill, Jonathan B.
6
Hong, Yongmiao
6
Kim, Donggyu
6
Lee, Lung-fei
6
Li, Qi
6
Li, Yingying
6
Lucas, André
6
Park, Joon Y.
6
Parmeter, Christopher F.
6
Peng, Liang
6
Tsionas, Efthymios G.
6
Tu, Yundong
6
Yang, Zhenlin
6
Zakoïan, Jean-Michel
6
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Journal of econometrics
7
Econometric reviews
1
Econometric theory
1
International journal of forecasting
1
Journal of applied econometrics
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 money and finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
15
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1
Forecasting in factor augmented regressions under structural change
Massacci, Daniele
;
Kapetanios, George
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 62-76
Persistent link: https://www.econbiz.de/10014450259
Saved in:
2
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:
3
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:
4
A new test for market efficiency and uncovered interest parity
Baillie, Richard
;
Diebold, Francis X.
;
Kapetanios, George
; …
- In:
Journal of international money and finance
130
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
Saved in:
5
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:
6
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:
7
Time-varying instrumental variable estimation
Giraitis, Liudas
;
Kapetanios, George
;
Marcellino, …
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
Saved in:
8
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:
9
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:
10
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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