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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:"Monfort, Alain"
~person:"Zakoïan, Jean-Michel"
~subject:"Heteroscedasticity"
~subject:"Measurement"
~subject:"Theorie"
~type:"book"
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Estimation theory
Heteroscedasticity
Measurement
Theorie
Schätztheorie
28
Theory
17
ARCH model
8
ARCH-Modell
8
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Time series analysis
4
Zeitreihenanalyse
4
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Core
2
Risikomaß
2
Risk measure
2
VAR model
2
VAR-Modell
2
1987-1993
1
Autocorrelation
1
Autokorrelation
1
Börsenkurs
1
Credit risk
1
Derivat
1
Derivative
1
Econometrics
1
Economic model
1
Estimation
1
Forecasting model
1
France
1
Frankreich
1
Heteroskedastizität
1
Interest rate
1
Kreditrisiko
1
Markov chain
1
Markov-Kette
1
Messung
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
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Article
4
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Arbeitspapier
28
Working Paper
28
Graue Literatur
26
Non-commercial literature
26
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13
Government document
13
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English
27
French
1
Author
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Monfort, Alain
Zakoïan, Jean-Michel
Gouriéroux, Christian
26
Robert, Christian P.
19
Francq, Christian
13
Jasiak, Joann
11
Guégan, Dominique
10
Bertail, Patrice
9
Comte, Fabienne
7
Cybakov, Aleksandr B.
7
Patilea, Valentin
7
Fermanian, Jean-David
6
Gautier, Eric
6
Guerre, Emmanuel
6
Hristache, Marian
6
Rousseau, Judith
6
Scaillet, Olivier
6
Berred, Alexandre M.
5
Darolles, Serge
5
Delecroix, Michel
5
Philippe, Anne
5
Robin, Jean-Marc
5
Bellec, Pierre
4
Billio, Monica
4
Bosq, Denis
4
Broze, Laurence
4
Butucea, Cristina
4
Clémençon, Stéphan
4
Gayraud, Ghislaine
4
Ghysels, Eric
4
Lardjane, Salim
4
Lieberman, Offer
4
Mabon, Gwennae͏̈lle
4
Smith, Richard J.
4
Blundell, Richard W.
3
Casella, George
3
Crépon, Bruno
3
Dalalyan, Arnak S.
3
Dauxois, Jean-Yves
3
Doukhan, Paul
3
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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
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
13
Série des documents de travail
8
Banque de France Working Paper
3
CORE discussion paper : DP
3
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
3
Themes in modern econometrics
3
Les notes d'études et de recherche : NER
2
Working paper series
2
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Statistics and econometric models
1
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ECONIS (ZBW)
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1
Revisiting identification and estimation in structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
-
2014
-
rev. October 2014
Persistent link: https://www.econbiz.de/10010465167
Saved in:
2
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
3
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:
4
Fourth order pseudo maximum likelihood methods
Holly, Alberto
;
Monfort, Alain
;
Rockinger, Michael
-
2010
Persistent link: https://www.econbiz.de/10009406538
Saved in:
5
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:
6
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:
7
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
8
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
Saved in:
9
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
10
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
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