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person:"Stambaugh, Robert F."
subject:"Share price"
~person:"Engle, Robert F."
~person:"Francq, Christian"
~person:"Rahbek, Anders"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Share price
ARCH model
Estimation theory
56
Schätztheorie
56
ARCH-Modell
29
Theorie
17
Theory
17
Time series analysis
15
Zeitreihenanalyse
15
Estimation
12
Schätzung
12
Börsenkurs
9
Volatility
9
Volatilität
9
CAPM
6
Capital income
6
Kapitaleinkommen
6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Stochastic process
6
Stochastischer Prozess
6
Bootstrap approach
5
Bootstrap-Verfahren
5
Risikomaß
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Risk measure
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Autocorrelation
4
Autokorrelation
4
Cointegration
4
Induktive Statistik
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Kointegration
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Multivariate Analyse
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Multivariate analysis
4
Statistical inference
4
Statistical test
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Statistischer Test
4
VAR model
4
VAR-Modell
4
Asymptotic theory
3
Correlation
3
GARCH
3
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33
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Aufsatz in Zeitschrift
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33
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22
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English
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Stambaugh, Robert F.
Engle, Robert F.
Francq, Christian
Rahbek, Anders
Zakoïan, Jean-Michel
16
Kumar, Dilip
14
Maheswaran, S.
10
Tauchen, George Eugene
9
Li, Jia
8
Teräsvirta, Timo
8
Bauwens, Luc
7
Todorov, Viktor
7
Ardia, David
6
Kim, Donggyu
6
Ling, Shiqing
6
Linton, Oliver
6
McAleer, Michael
6
Shephard, Neil G.
6
Faff, Robert W.
5
Hafner, Christian M.
5
Horváth, Lajos
5
Jondeau, Eric
5
Krämer, Walter
5
Li, Guodong
5
Li, Wai Keung
5
Luger, Richard
5
Paolella, Marc S.
5
Sucarrat, Genaro
5
Wang, Yazhen
5
Zhu, Ke
5
Allen, David E.
4
Arvanitis, Stelios
4
Carnero, M. Angeles
4
Chan, Ngai Hang
4
Kim, Jong-Min
4
Li, Dong
4
Mills, Terence C.
4
Mykland, Per A.
4
Pedersen, Rasmus Søndergaard
4
Rockinger, Michael
4
Silvennoinen, Annastiina
4
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Journal of econometrics
13
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Annals of economics and statistics
1
Econometric reviews
1
Economics letters
1
Jingji-lunwen
1
Journal of empirical finance
1
Journal of financial economics
1
Journal of the American Statistical Association : JASA
1
The econometrics journal
1
The review of financial studies
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ECONIS (ZBW)
33
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1
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
2
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:
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
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
6
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
7
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:
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
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:
10
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
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