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person:"Bera, Anil K."
subject:"Theorie"
~person:"Zakoïan, Jean-Michel"
~subject:"Heteroskedastizität"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Theorie
Heteroskedastizität
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Estimation theory
123
Schätztheorie
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Theory
47
ARCH model
25
ARCH-Modell
25
Zeitreihenanalyse
24
Time series analysis
23
Statistical test
15
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15
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14
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14
Maximum-Likelihood-Schätzung
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Bera, Anil K.
Zakoïan, Jean-Michel
Phillips, Peter C. B.
78
Härdle, Wolfgang
73
Pesaran, M. Hashem
58
Gouriéroux, Christian
53
Newey, Whitney K.
50
Andrews, Donald W. K.
49
Swanson, Norman R.
49
Franses, Philip Hans
43
McAleer, Michael
41
Lütkepohl, Helmut
36
Giles, David E. A.
35
Imbens, Guido
35
Robinson, Peter M.
32
Teräsvirta, Timo
32
Baltagi, Badi H.
31
Diebold, Francis X.
31
Heckman, James J.
30
Horowitz, Joel
29
King, Maxwell L.
29
Kohn, Robert
29
Linton, Oliver
28
Dufour, Jean-Marie
27
Sun, Yixiao
27
Brännäs, Kurt
26
Granger, C. W. J.
26
Koopman, Siem Jan
26
Li, Qi
26
Lucas, André
26
Ohtani, Kazuhiro
26
Krämer, Walter
25
Wooldridge, Jeffrey M.
25
Francq, Christian
24
Ghysels, Eric
24
Maravall Herrero, Agustín
24
Spokojnyj, Vladimir G.
24
Stahlecker, Peter
24
Ullah, Aman
24
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23
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Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Office of Research working paper / University of Illinois at Urbana-Champaign, College of Commerce and Business Administration
9
Journal of econometrics
6
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
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3
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3
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2
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2
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2
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2
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2
Annales d'économie et de statistique
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
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ECONIS (ZBW)
56
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
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:
3
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:
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
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:
10
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:
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