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subject:"Deutschland"
subject:"Forecasting model"
~language:"eng"
~person:"Bauwens, Luc"
~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"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Estimation theory
164
Schätztheorie
164
Time series analysis
64
Zeitreihenanalyse
64
Theorie
63
Theory
63
ARCH-Modell
45
Prognoseverfahren
35
Estimation
30
Schätzung
30
Bayes-Statistik
25
Bayesian inference
25
Volatility
20
Volatilität
20
VAR model
16
VAR-Modell
16
Börsenkurs
14
Correlation
14
Korrelation
14
Share price
14
Regression analysis
13
Regressionsanalyse
13
Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
Modellierung
10
Scientific modelling
10
Forecasting
9
Statistical theory
9
Statistische Methodenlehre
9
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8
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8
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8
Risk measure
8
Stochastic process
8
Stochastischer Prozess
8
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7
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7
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7
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26
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21
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Article
39
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35
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37
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35
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Bauwens, Luc
Francq, Christian
Hendry, David F.
Koop, Gary
Sheppard, Kevin
Teräsvirta, Timo
23
Zakoïan, Jean-Michel
23
Swanson, Norman R.
21
Lütkepohl, Helmut
19
Lechner, Michael
18
Linton, Oliver
17
Marcellino, Massimiliano
17
Cai, Zongwu
14
Hafner, Christian M.
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
Rossi, Barbara
11
Athanasopoulos, George
10
Gao, Jiti
10
Kapetanios, George
10
Krämer, Walter
10
Vahid, Farshid
10
Winkelmann, Rainer
10
Dijk, Dick van
9
Ling, Shiqing
9
McAleer, Michael
9
McCracken, Michael W.
9
Preminger, Arie
9
Shephard, Neil G.
9
Silvennoinen, Annastiina
9
Wolters, Jürgen
9
Baltagi, Badi H.
8
Chevillon, Guillaume
8
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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
Economics discussion papers
4
International journal of forecasting
4
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4
Department of Economics discussion paper series / University of Oxford
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National Institute economic review : journal of the National Institute of Economic and Social Research
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ECONIS (ZBW)
74
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31
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:
32
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:
33
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
Saved in:
34
Unpredictability in economic analysis, econometric modeling and forecasting
Hendry, David F.
;
Mizon, Grayham E.
-
2013
Persistent link: https://www.econbiz.de/10009747341
Saved in:
35
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531527
Saved in:
36
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009532730
Saved in:
37
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
38
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
39
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
40
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
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