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subject:"Börsenkurs"
~person:"Feng, Yuanhua"
~person:"Francq, Christian"
~person:"Li, Jia"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Börsenkurs
Risikomaß
Estimation theory
89
Schätztheorie
89
Time series analysis
34
Zeitreihenanalyse
34
ARCH model
33
ARCH-Modell
33
Theorie
32
Theory
32
Volatility
29
Volatilität
29
Estimation
25
Schätzung
25
Nichtparametrisches Verfahren
23
Nonparametric statistics
23
Share price
16
Regression analysis
14
Regressionsanalyse
14
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Risk measure
9
Capital income
8
Kapitaleinkommen
8
Stochastic process
8
Stochastischer Prozess
8
Statistical test
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Statistischer Test
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Deutschland
6
Germany
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Induktive Statistik
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Statistical inference
6
ARMA model
5
ARMA-Modell
5
High-frequency data
5
Aktienindex
4
Autocorrelation
4
Autokorrelation
4
Bootstrap approach
4
Bootstrap-Verfahren
4
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Article
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Aufsatz in Zeitschrift
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English
24
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Feng, Yuanhua
Francq, Christian
Li, Jia
Zakoïan, Jean-Michel
13
Kapetanios, George
12
Pesaran, M. Hashem
12
Ardia, David
11
Linton, Oliver
11
Tauchen, George Eugene
10
Maheswaran, S.
9
Todorov, Viktor
9
Bailey, Natalia
8
Escanciano, Juan Carlos
8
Hautsch, Nikolaus
8
Allen, David E.
7
Faff, Robert W.
7
Huschens, Stefan
7
Koopman, Siem Jan
7
Malec, Peter
7
Runde, Ralf
7
Teräsvirta, Timo
7
Bauwens, Luc
6
Engle, Robert F.
6
Gao, Jiti
6
Gouriéroux, Christian
6
Hoogerheide, Lennart F.
6
Kim, Donggyu
6
Krämer, Walter
6
Kumar, Dilip
6
Lucas, André
6
Abberger, Klaus
5
Bibinger, Markus
5
Cai, Zongwu
5
Daouia, Abdelaati
5
Hoogerheide, Lennart
5
Härdle, Wolfgang
5
Luger, Richard
5
Lönnbark, Carl
5
Pei, Pei
5
Sentana, Enrique
5
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Journal of econometrics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Annals of economics and statistics
1
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
1
Econometric theory
1
Economic modelling
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of risk
1
Risk measurement, econometrics and neural networks : selected articles of the 6th Econometric-Workshop in Karlsruhe, Germany
1
Working paper series
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ECONIS (ZBW)
24
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
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
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
5
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
6
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
7
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
8
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:
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
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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