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isPartOf:"Journal of forecasting"
subject:"Estimation theory"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~language:"eng"
~person:"Scaillet, Olivier"
~person:"Zakoïan, Jean-Michel"
~subject:"Heteroskedastizität"
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Search: subject_exact:"Estimation theory"
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Estimation theory
Heteroskedastizität
Schätztheorie
21
Theorie
16
Theory
16
ARCH model
7
ARCH-Modell
7
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Time series analysis
4
Zeitreihenanalyse
4
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Risikomaß
2
Risk measure
2
1987-1993
1
Autocorrelation
1
Autokorrelation
1
Börsenkurs
1
Core
1
Estimation
1
Forecast
1
Forecasting model
1
France
1
Frankreich
1
Heteroscedasticity
1
Interest rate
1
Markov chain
1
Markov-Kette
1
Mathematical programming
1
Mathematische Optimierung
1
Portfolio selection
1
Portfolio-Management
1
Prognose
1
Prognoseverfahren
1
Risikomanagement
1
Risk management
1
Schätzung
1
Sensitivity analysis
1
Sensitivitätsanalyse
1
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Book / Working Paper
21
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Arbeitspapier
21
Working Paper
21
Graue Literatur
20
Non-commercial literature
20
Amtsdruckschrift
12
Government document
12
Language
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English
Author
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Scaillet, Olivier
Zakoïan, Jean-Michel
Gouriéroux, Christian
24
Robert, Christian P.
19
Francq, Christian
13
Guégan, Dominique
11
Jasiak, Joann
11
Monfort, Alain
11
Bertail, Patrice
9
Comte, Fabienne
7
Cybakov, Aleksandr B.
7
Patilea, Valentin
7
Fermanian, Jean-David
6
Gautier, Eric
6
Guerre, Emmanuel
6
Hristache, Marian
6
Rousseau, Judith
6
Berred, Alexandre M.
5
Delecroix, Michel
5
Philippe, Anne
5
Robin, Jean-Marc
5
Bellec, Pierre
4
Billio, Monica
4
Bosq, Denis
4
Broze, Laurence
4
Butucea, Cristina
4
Clémençon, Stéphan
4
Darolles, Serge
4
Gayraud, Ghislaine
4
Ghysels, Eric
4
Lardjane, Salim
4
Lieberman, Offer
4
Mabon, Gwennae͏̈lle
4
Smith, Richard J.
4
Blundell, Richard W.
3
Casella, George
3
Dalalyan, Arnak S.
3
Dauxois, Jean-Yves
3
Doukhan, Paul
3
Hardouin, C.
3
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Journal of forecasting
Série des documents de travail / Centre de Recherche en Économie et Statistique
Journal of econometrics
12
Research paper series / Swiss Finance Institute
9
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
9
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
6
Econometric theory
6
Swiss Finance Institute Research Paper
5
CORE discussion paper : DP
4
Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
3
FAME research paper series
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Research paper / International Center for Financial Asset Management and Engineering
3
Annals of economics and statistics
2
Discussion paper
2
Documents de travail / THEMA
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
IRES discussion papers
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Journal of the American Statistical Association : JASA
2
Working paper series
2
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Economics letters
1
Handbook of financial time series
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Swiss Finance Institute Research Paper 06-30
1
Série des documents de travail
1
The econometrics journal
1
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ECONIS (ZBW)
21
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1
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
2
Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
-
2013
Persistent link: https://www.econbiz.de/10010348527
Saved in:
3
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
4
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935360
Saved in:
5
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
6
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
7
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
8
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
9
A fast subsampling method for nonlienar dynamic models
Hong, Han
;
Scaillet, Olivier
;
Tamer, Elie T.
-
2001
Persistent link: https://www.econbiz.de/10001637975
Saved in:
10
Sensitivity analysis of values at risk
Gouriéroux, Christian
;
Laurent, Jean-Paul
;
Scaillet, …
-
2000
Persistent link: https://www.econbiz.de/10001470592
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