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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Francq, Christian"
~person:"Peng, Liang"
~subject:"Risk measure"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
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Schätzung
Zeitreihenanalyse
Estimation theory
24
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24
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11
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11
Time series analysis
9
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Francq, Christian
Peng, Liang
Gao, Jiti
17
Linton, Oliver
14
Marcellino, Massimiliano
12
Phillips, Peter C. B.
12
Kapetanios, George
11
Kumbhakar, Subal
10
Li, Jia
10
Nielsen, Morten Ørregaard
10
Su, Liangjun
9
Sun, Yiguo
9
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9
Cai, Zongwu
8
Koopman, Siem Jan
8
Lütkepohl, Helmut
8
Teräsvirta, Timo
8
Todorov, Viktor
8
Westerlund, Joakim
8
Zhu, Ke
8
Baltagi, Badi H.
7
Demetrescu, Matei
7
Hill, Jonathan B.
7
Kumar, Dilip
7
Li, Degui
7
Li, Qi
7
Omay, Tolga
7
Tauchen, George Eugene
7
Tu, Yundong
7
Wang, Shouyang
7
Cavaliere, Giuseppe
6
Hong, Yongmiao
6
Kim, Donggyu
6
Lee, Lung-fei
6
Li, Yingying
6
Lucas, André
6
Park, Joon Y.
6
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6
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6
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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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
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
Diagnostic tests before modeling longitudinal actuarial data
Li, Yinhuan
;
Fung, Tsz Chai
;
Peng, Liang
;
Qian, Linyi
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 310-325
Persistent link: https://www.econbiz.de/10014466218
Saved in:
4
A unified unit root test regardless of intercept
Yang, Bingduo
;
Liu, Xiaohui
;
Long, Wei
;
Peng, Liang
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 540-555
Persistent link: https://www.econbiz.de/10014305575
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
Test for zero median of errors in an ARMA-GARCH model
Ma, Yaolan
;
Zhou, Mohan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
38
(
2022
)
3
,
pp. 536-561
Persistent link: https://www.econbiz.de/10013269973
Saved in:
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
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao
;
Leng, Xuan
;
Liu, Xiaohui
;
Peng, Liang
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
Saved in:
9
Risk analysis with categorical explanatory variables
Kang, Seul Ki
;
Peng, Liang
;
Xiao, Hongmin
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 238-243
Persistent link: https://www.econbiz.de/10012242018
Saved in:
10
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:
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