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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Journal of econometrics"
~person:"Fan, Jianqing"
~person:"Francq, Christian"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Share price
Estimation theory
21
Schätztheorie
21
ARCH model
13
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13
Volatilität
8
Estimation
7
Schätzung
7
Time series analysis
7
Zeitreihenanalyse
7
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Factor model
4
Forecasting model
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Fan, Jianqing
Francq, Christian
Todorov, Viktor
10
Linton, Oliver
7
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Li, Yingying
6
Kim, Donggyu
5
Mykland, Per A.
5
Zakoïan, Jean-Michel
5
Koopman, Siem Jan
4
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Meddahi, Nour
3
Park, Joon Y.
3
Rodrigues, Paulo M. M.
3
Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Xiu, Dacheng
3
Clinet, Simon
2
Engle, Robert F.
2
Escanciano, Juan Carlos
2
Gallant, A. Ronald
2
Ghysels, Eric
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hoderlein, Stefan
2
Härdle, Wolfgang
2
Ikeda, Shin S.
2
Jasiak, Joann
2
Kapetanios, George
2
Kong, Xin-Bing
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Laeven, Roger J. A.
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Lewbel, Arthur
2
Li, Guodong
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of econometrics
Journal of the American Statistical Association : JASA
2
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
3
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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:
6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
8
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
9
Aggregation of nonparametric estimators for volatility matrix
Fan, Jianqing
;
Fan, Yingying
;
Lv, Jinchi
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 321-357
Persistent link: https://www.econbiz.de/10003518410
Saved in:
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