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subject:"Deutschland"
subject:"Forecasting model"
~language:"eng"
~person:"Bauwens, Luc"
~person:"Dijk, Dick van"
~person:"Francq, Christian"
~person:"Hendry, David F."
~person:"Koop, Gary"
~person:"Sheppard, Kevin"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Book section"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Estimation theory
191
Schätztheorie
191
Theorie
73
Theory
73
Time series analysis
71
Zeitreihenanalyse
71
ARCH-Modell
48
Prognoseverfahren
43
Estimation
32
Schätzung
32
Bayes-Statistik
27
Bayesian inference
27
Volatility
24
Volatilität
24
Regression analysis
16
Regressionsanalyse
16
VAR model
16
VAR-Modell
16
Börsenkurs
15
Correlation
15
Korrelation
15
Share price
15
Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
Cointegration
10
Kointegration
10
Modellierung
10
Scientific modelling
10
Statistical theory
10
Statistische Methodenlehre
10
Forecasting
9
Risikomaß
9
Risk measure
9
Multivariate Analyse
8
Multivariate analysis
8
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8
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8
USA
8
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33
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44
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41
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Bauwens, Luc
Dijk, Dick van
Francq, Christian
Hendry, David F.
Koop, Gary
Sheppard, Kevin
Teräsvirta, Timo
23
Zakoïan, Jean-Michel
23
Swanson, Norman R.
21
Lütkepohl, Helmut
20
Lechner, Michael
18
Linton, Oliver
17
Marcellino, Massimiliano
17
Hafner, Christian M.
15
Cai, Zongwu
14
Huber, Florian
14
Koopman, Siem Jan
14
Rahbek, Anders
14
Corradi, Valentina
12
Hyndman, Rob J.
12
Härdle, Wolfgang
12
Kumar, Dilip
12
Audrino, Francesco
11
Clark, Todd E.
11
Krämer, Walter
11
Rossi, Barbara
11
Athanasopoulos, George
10
Gao, Jiti
10
Kapetanios, George
10
McCracken, Michael W.
10
Shephard, Neil G.
10
Vahid, Farshid
10
Winkelmann, Rainer
10
Franses, Philip Hans
9
Ling, Shiqing
9
McAleer, Michael
9
Ooms, Marius
9
Peng, Liang
9
Preminger, Arie
9
Silvennoinen, Annastiina
9
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Nuffield College
1
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Journal of econometrics
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Discussion paper / Tinbergen Institute
5
International journal of forecasting
5
Economics discussion papers
4
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4
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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Handbook of financial time series
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National Institute economic review : journal of the National Institute of Economic and Social Research
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Oxford bulletin of economics and statistics
1
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The Oxford handbook of economic forecasting
1
The econometrics of economic policy
1
The review of economic studies
1
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1
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ECONIS (ZBW)
85
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61
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Francq, Christian
;
Lepage, Guillaume
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
165
(
2011
)
2
,
pp. 246-257
Persistent link: https://www.econbiz.de/10009409634
Saved in:
62
A new class of multivariate skew densities, with application to GARCH models
Bauwens, Luc
;
Laurent, Sébastien
-
2002
Persistent link: https://www.econbiz.de/10001672395
Saved in:
63
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001618448
Saved in:
64
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001620854
Saved in:
65
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-238
Persistent link: https://www.econbiz.de/10003870045
Saved in:
66
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
67
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935360
Saved in:
68
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Handbook of financial time series
,
(pp. 85-111)
.
2009
Persistent link: https://www.econbiz.de/10003833783
Saved in:
69
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
70
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
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