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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:"Theorie"
~subject:"Theory"
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Estimation theory
Heteroscedasticity
Theorie
Theory
Schätztheorie
32
ARCH model
10
ARCH-Modell
10
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
8
Time series analysis
5
Zeitreihenanalyse
5
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Risikomaß
3
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3
Core
2
Estimation
2
Interest rate
2
Measurement
2
Messung
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1987-1993
1
ARCH Model
1
Asymmetric Power GARCH
1
Autocorrelation
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1
Bias
1
Big Data
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1
Composite Pseudo-Likelihood
1
Consistency
1
Credit risk
1
Derivat
1
Derivative
1
Distortion Risk Measures
1
Econometrics
1
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1
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28
Article
4
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English
31
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Monfort, Alain
Zakoïan, Jean-Michel
Gouriéroux, Christian
29
Andrews, Donald W. K.
21
Robert, Christian P.
19
Francq, Christian
15
Newey, Whitney K.
15
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
Chen, Xiaohong
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
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
13
Journal of econometrics
10
Econometric theory
8
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
Journal of applied econometrics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Themes in modern econometrics
3
Economics letters
2
Journal of the American Statistical Association : JASA
2
Les notes d'études et de recherche : NER
2
Working paper series
2
Annales d'économie et de statistique
1
Astin bulletin : the journal of the International Actuarial Association
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Empirical economics. - 1990. - VI, 260 S. - Enth. 10 Beitr.
1
Handbook of financial time series
1
Journal de la Société de Statistique de Paris
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
L'hétérogénéité en économétrie : numéro spécial
1
Mélanges économiques : essais en l'honneur de Edmond Malinvaud
1
Panel data econometrics : future directions : papers in honour of professor Pietro Balestra
1
Statistics and econometric models
1
The review of economic studies : RES
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ECONIS (ZBW)
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1
Consistent pseudo-maximum likelihood estimators
Gouriéroux, Christian
;
Monfort, Alain
;
Renault, Eric
- In:
Annals of economics and statistics
125/126
(
2017
),
pp. 187-218
Persistent link: https://www.econbiz.de/10011744364
Saved in:
2
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:
3
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:
4
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
5
Pitfalls in the estimation of continuous time interest rate models : the case of the CIR model
Gouriéroux, Christian
;
Monfort, Alain
- In:
Annals of economics and statistics
109/110
(
2013
),
pp. 25-61
Persistent link: https://www.econbiz.de/10009779723
Saved in:
6
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:
7
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:
8
Fourth order pseudo maximum likelihood methods
Holly, Alberto
;
Monfort, Alain
;
Rockinger, Michael
-
2010
Persistent link: https://www.econbiz.de/10009406538
Saved in:
9
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:
10
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
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