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person:"Croux, Christophe"
subject:"Volatility"
~person:"Gouriéroux, Christian"
~subject:"Core"
~subject:"Multivariate analysis"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Core
Multivariate analysis
Zeitreihenanalyse
Estimation theory
42
Schätztheorie
42
Theorie
19
Theory
19
Time series analysis
8
VAR model
8
VAR-Modell
8
Estimation
5
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5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Schock
4
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4
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3
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3
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3
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Risikomanagement
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2
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33
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33
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32
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32
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Croux, Christophe
Gouriéroux, Christian
Phillips, Peter C. B.
30
Linton, Oliver
19
Leybourne, Stephen James
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Li, Jia
12
McAleer, Michael
12
Todorov, Viktor
12
Xiao, Zhijie
12
Fan, Jianqing
11
Ghysels, Eric
11
Koopman, Siem Jan
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Hafner, Christian M.
10
Koop, Gary
10
Li, Qi
10
Lucas, André
10
Robinson, Peter M.
10
Zakoïan, Jean-Michel
10
Chen, Xiaohong
9
Franses, Philip Hans
9
Harvey, David I.
9
Hendry, David F.
9
Kapetanios, George
9
Nelson, Daniel B.
9
Nielsen, Morten Ørregaard
9
Sun, Yixiao
9
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Journal of econometrics
3
Annals of economics and statistics
1
Econometric theory
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of empirical finance
1
Journal of forecasting
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The review of economic studies : RES
1
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ECONIS (ZBW)
11
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1
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:
2
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
3
Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
Saved in:
4
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
5
Consistent pseudo-maximum likelihood estimators
Gouriéroux, Christian
;
Monfort, Alain
;
Renault, Eric
- In:
Annals of economics and statistics
125/126
(
2017
),
pp. 187-218
Persistent link: https://www.econbiz.de/10011744364
Saved in:
6
Forecasting using sparse cointegration
Wilms, Ines
;
Croux, Christophe
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1256-1267
Persistent link: https://www.econbiz.de/10011622146
Saved in:
7
Robust forecasting with exponential and Holt-Winters smoothing
Gelper, Sarah
;
Fried, Roland
;
Croux, Christophe
- In:
Journal of forecasting
29
(
2010
)
3
,
pp. 285-300
Persistent link: https://www.econbiz.de/10003962570
Saved in:
8
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
9
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
10
Sensitivity analysis of values at risk
Gouriéroux, Christian
;
Laurent, Jean-Paul
;
Scaillet, …
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
Saved in:
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