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subject:"Estimation theory"
~isPartOf:"Annals of economics and statistics"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Chen, Xiaohong"
~person:"Zakoïan, Jean-Michel"
~subject:"Heteroscedasticity"
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Estimation theory
Heteroscedasticity
Schätztheorie
23
Theorie
14
Theory
14
ARCH model
9
ARCH-Modell
9
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Time series analysis
4
Zeitreihenanalyse
4
Estimation
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Risikomaß
3
Risk measure
3
Schätzung
3
1987-1993
1
Asymmetric Power GARCH
1
Autocorrelation
1
Autokorrelation
1
Bootstrap approach
1
Bootstrap-Verfahren
1
Börsenkurs
1
Consumer demand theory
1
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1
Estimation Risk
1
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1
France
1
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1
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1
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1
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1
Induktive Statistik
1
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1
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1
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1
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1
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1
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Book / Working Paper
16
Article
7
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16
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16
Graue Literatur
15
Non-commercial literature
15
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7
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7
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7
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English
23
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Chen, Xiaohong
Zakoïan, Jean-Michel
Gouriéroux, Christian
29
Andrews, Donald W. K.
21
Robert, Christian P.
19
Francq, Christian
15
Newey, Whitney K.
15
Monfort, Alain
14
Phillips, Peter C. B.
12
Jasiak, Joann
11
Guégan, Dominique
10
Bertail, Patrice
9
Horowitz, Joel
9
Smith, Richard J.
9
Imbens, Guido
8
Scaillet, Olivier
8
Comte, Fabienne
7
Cybakov, Aleksandr B.
7
Gautier, Eric
7
Guerre, Emmanuel
7
Patilea, Valentin
7
Robinson, Peter M.
7
Chesher, Andrew
6
Dufour, Jean-Marie
6
Fermanian, Jean-David
6
Hristache, Marian
6
Rousseau, Judith
6
Berred, Alexandre M.
5
Blundell, Richard W.
5
Chernozhukov, Victor
5
Darolles, Serge
5
Delecroix, Michel
5
Kitamura, Yuichi
5
Lewbel, Arthur
5
Matzkin, Rosa L.
5
Philippe, Anne
5
Ploberger, Werner
5
Robin, Jean-Marc
5
Stock, James H.
5
Vuong, Quang H.
5
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Annals of economics and statistics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Journal of econometrics
21
Cowles Foundation discussion paper
18
Cowles Foundation Discussion Paper
16
CEMMAP working papers / Centre for Microdata Methods and Practice
14
Econometric theory
10
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
7
Discussion paper / Department of Economics, University of California San Diego
4
CORE discussion paper : DP
3
Yale Economics Department working papers
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Quantitative economics : QE ; journal of the Econometric Society
2
Working paper series
2
Annales d'économie et de statistique
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
1
Discussion papers / CEPR
1
Econometrics papers
1
Economics letters
1
Handbook of econometrics : volume 6B
1
Handbook of econometrics ; Vol. 6B
1
Handbook of financial time series
1
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of economic literature
1
Journal of empirical finance
1
LSE STICERD Research Paper
1
NBER Working Paper
1
NBER working paper series
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Série des documents de travail
1
The American economic review
1
University of Chicago, Becker Friedman Institute for Economics Working Paper
1
Working paper series economics and econometrics
1
Yale Economics Department Working Paper
1
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ECONIS (ZBW)
23
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1
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:
2
Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
Chen, Xiaohong
;
Pouzo, Demian
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
3
,
pp. 1013-1079
Persistent link: https://www.econbiz.de/10011378588
Saved in:
3
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
4
Local identification of nonparametric and semiparametric models
Chen, Xiaohong
;
Chernozhukov, Victor
;
Lee, Sokbae
; …
- In:
Econometrica : journal of the Econometric Society, an …
82
(
2014
)
2
,
pp. 785-809
Persistent link: https://www.econbiz.de/10010404421
Saved in:
5
Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
-
2013
Persistent link: https://www.econbiz.de/10010348527
Saved in:
6
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
7
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:
8
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:
9
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
10
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
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