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person:"Berred, Alexandre M."
type_genre:"Amtsdruckschrift"
~person:"Delecroix, Michel"
~person:"Francq, Christian"
~person:"Ghysels, Eric"
~person:"Monfort, Alain"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammelwerk"
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Search: subject_exact:"Estimation theory"
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Estimation theory
83
Schätztheorie
83
Theorie
46
Theory
46
Time series analysis
22
Zeitreihenanalyse
22
ARCH model
19
ARCH-Modell
19
Estimation
13
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13
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13
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13
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7
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Berred, Alexandre M.
Delecroix, Michel
Francq, Christian
Ghysels, Eric
Monfort, Alain
Phillips, Peter C. B.
91
Baltagi, Badi H.
65
Lee, Lung-fei
65
Linton, Oliver
63
Li, Qi
59
Andrews, Donald W. K.
50
Newey, Whitney K.
49
Ullah, Aman
49
Tsionas, Efthymios G.
48
Gouriéroux, Christian
47
Su, Liangjun
44
Kumbhakar, Subal
39
Pesaran, M. Hashem
39
Robinson, Peter M.
39
Gao, Jiti
38
Ohtani, Kazuhiro
38
Wooldridge, Jeffrey M.
38
McAleer, Michael
36
Chen, Songnian
35
Simar, Léopold
35
White, Halbert
35
Bera, Anil K.
33
Horowitz, Joel
33
Parmeter, Christopher F.
33
Hahn, Jinyong
32
Lütkepohl, Helmut
32
Perron, Pierre
32
Zakoïan, Jean-Michel
32
Hsiao, Cheng
31
Krämer, Walter
31
Bai, Jushan
30
Cai, Zongwu
30
Fan, Yanqin
30
Giles, David E. A.
29
Chen, Xiaohong
28
Westerlund, Joakim
28
Florens, Jean-Pierre
27
Schmidt, Peter
27
Zhang, Xinyu
27
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Série des documents de travail / Centre de Recherche en Économie et Statistique
23
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
19
Journal of econometrics
18
Econometric theory
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Annals of economics and statistics
3
Annales d'économie et de statistique
2
Economics letters
2
International economic review
2
Journal of applied econometrics
2
Journal of the American Statistical Association : JASA
2
Astin bulletin : the journal of the International Actuarial Association
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of international money and finance
1
L' Actualité économique : revue trimest.
1
L'hétérogénéité en économétrie : numéro spécial
1
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
1
Special section on small-sample properties of generalized method of moments (GMM)
1
The review of economic studies : RES
1
The review of economics and statistics
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ECONIS (ZBW)
83
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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
Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
The review of economic studies : RES
87
(
2020
)
4
,
pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
Saved in:
8
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:
9
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:
10
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
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