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person:"Croux, Christophe"
subject:"Volatility"
~person:"Gouriéroux, Christian"
~subject:"VAR-Modell"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
VAR-Modell
Zeitreihenanalyse
Estimation theory
118
Schätztheorie
118
Theorie
48
Theory
48
Time series analysis
28
Robust statistics
24
Robustes Verfahren
24
Regression analysis
16
Regressionsanalyse
16
VAR model
16
Estimation
13
Schätzung
13
Volatilität
12
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9
Nonparametric statistics
9
Schock
8
Shock
8
Correlation
7
Identification
7
Korrelation
7
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6
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6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
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Risikomanagement
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Risk management
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Econometrics
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Multivariate Analyse
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Risikomaß
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30
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English
44
Author
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Croux, Christophe
Gouriéroux, Christian
Lütkepohl, Helmut
55
Phillips, Peter C. B.
55
Gao, Jiti
49
Koopman, Siem Jan
42
Teräsvirta, Timo
40
Johansen, Søren
39
Nielsen, Morten Ørregaard
34
Linton, Oliver
33
Kilian, Lutz
30
Franses, Philip Hans
27
Kapetanios, George
26
Lucas, André
26
Inoue, Atsushi
25
Taylor, Robert
25
Koop, Gary
24
Sibbertsen, Philipp
24
Pesaran, M. Hashem
23
Maravall Herrero, Agustín
22
Sentana, Enrique
22
Swanson, Norman R.
22
Chambers, Marcus J.
20
Harvey, Andrew C.
20
Härdle, Wolfgang
20
Bauwens, Luc
19
Nielsen, Bent
19
Winker, Peter
19
Leybourne, Stephen James
18
Li, Degui
18
Peng, Bin
18
Staszewska-Bystrova, Anna
18
Andersen, Torben
17
Cavaliere, Giuseppe
17
Ghysels, Eric
17
McAleer, Michael
17
Tauchen, George Eugene
17
Brännäs, Kurt
16
Fiorentini, Gabriele
16
Kumar, Dilip
16
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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KBI
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Série des documents de travail
7
Journal of econometrics
4
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
4
Annals of economics and statistics
1
Discussion paper / Tinbergen Institute
1
Discussion papers of interdisciplinary research project 373
1
Econometric theory
1
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1
International journal of forecasting
1
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1
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1
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
The review of economic studies : RES
1
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ECONIS (ZBW)
44
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1
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:
2
Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
-
2017
Persistent link: https://www.econbiz.de/10012197831
Saved in:
3
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
-
2017
-
September 2016, revised version
Persistent link: https://www.econbiz.de/10012197832
Saved in:
4
Consistent pseudo-maximum likelihood estimators
Gouriéroux, Christian
;
Monfort, Alain
;
Renault, Eric
-
2017
Persistent link: https://www.econbiz.de/10012197835
Saved in:
5
Robust estimation of linear state space models
Crevits, Ruben
;
Croux, Christophe
-
2017
Persistent link: https://www.econbiz.de/10011799036
Saved in:
6
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:
7
Multi-class vector autoregressive models for multi-store sales data
Wilms, I.
;
Barbaglia, L.
;
Croux, Christophe
-
2016
Persistent link: https://www.econbiz.de/10011658937
Saved in:
8
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
-
2016
-
March 2016, revised version
Persistent link: https://www.econbiz.de/10011855307
Saved in:
9
Consistent pseudo-maximum likelihood estimators
Gouriéroux, Christian
;
Monfort, Alain
;
Renault, Eric
-
2016
Persistent link: https://www.econbiz.de/10012196271
Saved in:
10
A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian
;
Lu, Yang
-
2016
Persistent link: https://www.econbiz.de/10012196330
Saved in:
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