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person:"Bera, Anil K."
subject:"Theorie"
~person:"Ohtani, Kazuhiro"
~person:"Zakoïan, Jean-Michel"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Theorie
Volatility
Estimation theory
172
Schätztheorie
172
Theory
73
Zeitreihenanalyse
26
ARCH model
25
ARCH-Modell
25
Time series analysis
25
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15
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15
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14
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14
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14
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Bera, Anil K.
Ohtani, Kazuhiro
Zakoïan, Jean-Michel
Härdle, Wolfgang
71
Phillips, Peter C. B.
59
Pesaran, M. Hashem
57
Gouriéroux, Christian
53
Andrews, Donald W. K.
44
Franses, Philip Hans
43
Newey, Whitney K.
42
Swanson, Norman R.
42
McAleer, Michael
41
Giles, David E. A.
35
Imbens, Guido
35
Teräsvirta, Timo
32
Diebold, Francis X.
31
Heckman, James J.
30
Robinson, Peter M.
30
Horowitz, Joel
29
Baltagi, Badi H.
28
King, Maxwell L.
28
Kohn, Robert
27
Brännäs, Kurt
26
Dufour, Jean-Marie
26
Granger, C. W. J.
26
Li, Qi
26
Linton, Oliver
26
Lucas, André
26
Koopman, Siem Jan
25
Krämer, Walter
25
Ghysels, Eric
24
Maravall Herrero, Agustín
24
Stahlecker, Peter
24
Ullah, Aman
24
Monfort, Alain
23
Robert, Christian P.
23
Spokojnyj, Vladimir G.
23
Winkelmann, Rainer
23
Engle, Robert F.
22
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22
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Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Journal of econometrics
8
Office of Research working paper / University of Illinois at Urbana-Champaign, College of Commerce and Business Administration
8
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Econometric reviews
5
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4
Kobe University economic review
4
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2
Discussion paper / Department of Economics, University of Canterbury
2
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The economic studies quarterly : the journal of the Japan Association of Economics and Econometrics
2
Annales d'économie et de statistique
1
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1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometric advances in spatial modelling and methodology : essays in honour of Jean Paelinck
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic modelling
1
Journal de la Société de Statistique de Paris
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of productivity analysis
1
Série des documents de travail
1
The Manchester School of Economic and Social Studies
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The financial review : the official publication of the Eastern Finance Association
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1
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
8
Non redundancy of high order moment conditions for efficient GMM estimation of weak ar processes
Broze, Laurence
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2000
Persistent link: https://www.econbiz.de/10001514932
Saved in:
9
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
10
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:
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