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person:"Bera, Anil K."
subject:"Theorie"
~person:"Zakoïan, Jean-Michel"
~subject:"Risikomaß"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Theorie
Risikomaß
Volatility
Estimation theory
123
Schätztheorie
123
Theory
47
ARCH model
25
ARCH-Modell
25
Zeitreihenanalyse
24
Time series analysis
23
Statistical test
15
Statistischer Test
15
Estimation
14
Maximum likelihood estimation
14
Maximum-Likelihood-Schätzung
14
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13
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12
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11
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57
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Bera, Anil K.
Zakoïan, Jean-Michel
Härdle, Wolfgang
73
Phillips, Peter C. B.
59
Pesaran, M. Hashem
57
Gouriéroux, Christian
56
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
King, Maxwell L.
29
Baltagi, Badi H.
28
Francq, Christian
28
Koopman, Siem Jan
28
Kohn, Robert
27
Linton, Oliver
27
Brännäs, Kurt
26
Dufour, Jean-Marie
26
Granger, C. W. J.
26
Li, Qi
26
Lucas, André
26
Ohtani, Kazuhiro
26
Krämer, Walter
25
Spokojnyj, Vladimir G.
25
Ghysels, Eric
24
Maravall Herrero, Agustín
24
Monfort, Alain
24
Stahlecker, Peter
24
Ullah, Aman
24
Robert, Christian P.
23
Winkelmann, Rainer
23
Engle, Robert F.
22
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Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Office of Research working paper / University of Illinois at Urbana-Champaign, College of Commerce and Business Administration
8
Journal of econometrics
6
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Econometric reviews
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
Journal of quantitative economics : official journal of the Indian Econometric Society
2
Annales d'économie et de statistique
1
Annals of economics and statistics
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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Journal de la Société de Statistique de Paris
1
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1
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ECONIS (ZBW)
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
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:
3
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:
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
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
8
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:
9
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
10
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:
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