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subject:"Estimation"
subject:"Theorie"
~accessRights:"restricted"
~person:"Diebold, Francis X."
~person:"Zakoïan, Jean-Michel"
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Estimation
Theorie
Estimation theory
9
Schätztheorie
9
ARCH model
5
ARCH-Modell
5
Schätzung
5
Time series analysis
4
Zeitreihenanalyse
4
Stochastic process
3
Stochastischer Prozess
3
Volatility
3
Volatilität
3
Bootstrap approach
2
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2
Dynamic portfolio
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Filtered historical simulation
2
Portfolio selection
2
Portfolio-Management
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Simulation
2
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VAR-Modell
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Accuracy of VaR estimation
1
Analysis of variance
1
Autocorrelation
1
Autokorrelation
1
Capital income
1
Compound Poisson process
1
Conditional heteroskedasticity
1
Confidence intervals for VaR
1
Currency derivative
1
Dynamic regressions
1
Efficiency comparisons
1
Efficient market hypothesis
1
Effizienzmarkthypothese
1
Elliptical distribution
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Diebold, Francis X.
Zakoïan, Jean-Michel
Gao, Jiti
10
Kumbhakar, Subal
10
Li, Jia
9
Marcellino, Massimiliano
9
Todorov, Viktor
8
Linton, Oliver
7
Su, Liangjun
7
Tauchen, George Eugene
7
Tsionas, Efthymios G.
7
Winkelmann, Rainer
7
Baltagi, Badi H.
6
Jochmans, Koen
6
Kapetanios, George
6
Kim, Donggyu
6
Kumar, Dilip
6
Lee, Lung-fei
6
Schorfheide, Frank
6
Wang, Taining
6
Westerlund, Joakim
6
Francq, Christian
5
Herbst, Edward P.
5
Hsiao, Cheng
5
Park, Joon Y.
5
Parmeter, Christopher F.
5
Sentana, Enrique
5
Sun, Yiguo
5
Yao, Feng
5
Zhou, Qiankun
5
Abadie, Alberto
4
Cai, Zongwu
4
Egger, Peter
4
Escanciano, Juan Carlos
4
Gouriéroux, Christian
4
Hsu, Yu-Chin
4
Härdle, Wolfgang
4
Iaria, Alessandro
4
Inoue, Atsushi
4
Lesage, James P.
4
Liu, Zhi
4
Phillips, Peter C. B.
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Journal of econometrics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international money and finance
1
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ECONIS (ZBW)
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1
A new test for market efficiency and uncovered interest parity
Baillie, Richard
;
Diebold, Francis X.
;
Kapetanios, George
; …
- In:
Journal of international money and finance
130
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
Saved in:
2
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:
3
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:
4
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:
5
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:
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