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person:"Berred, Alexandre M."
type_genre:"Amtsdruckschrift"
~person:"Casella, George"
~person:"Francq, Christian"
~person:"Ghysels, Eric"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Estimation theory
66
Schätztheorie
66
Theorie
32
Theory
32
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20
ARCH-Modell
20
Time series analysis
18
Zeitreihenanalyse
18
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Berred, Alexandre M.
Casella, George
Francq, Christian
Ghysels, Eric
Phillips, Peter C. B.
95
Baltagi, Badi H.
72
Lee, Lung-fei
68
Li, Qi
65
Linton, Oliver
65
Ullah, Aman
56
Gouriéroux, Christian
54
Newey, Whitney K.
53
Andrews, Donald W. K.
52
Tsionas, Efthymios G.
50
Su, Liangjun
48
Pesaran, M. Hashem
42
Gao, Jiti
41
Kumbhakar, Subal
41
Robinson, Peter M.
41
Wooldridge, Jeffrey M.
41
Ohtani, Kazuhiro
40
White, Halbert
37
McAleer, Michael
36
Simar, Léopold
36
Chen, Songnian
35
Horowitz, Joel
35
Parmeter, Christopher F.
35
Bera, Anil K.
34
Hsiao, Cheng
34
Zakoïan, Jean-Michel
33
Bai, Jushan
32
Cai, Zongwu
32
Fan, Yanqin
32
Hahn, Jinyong
32
Krämer, Walter
32
Lütkepohl, Helmut
32
Perron, Pierre
32
Dufour, Jean-Marie
31
Florens, Jean-Pierre
31
Chen, Xiaohong
29
Giles, David E. A.
29
Hausman, Jerry A.
29
Renault, Eric
29
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Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Journal of econometrics
16
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14
Econometric theory
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
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4
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4
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2
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1
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1
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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
1
Essays in honor of Peter C. B. Phillips
1
Handbook of financial time series
1
Journal of international money and finance
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ECONIS (ZBW)
66
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66
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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
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
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:
5
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:
6
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Ghysels, Eric
;
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 633-654
Persistent link: https://www.econbiz.de/10012483174
Saved in:
7
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
8
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:
9
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
10
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
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