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subject:"Estimation theory"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Journal of econometrics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Monfort, Alain"
~person:"Zakoïan, Jean-Michel"
~subject:"Heteroscedasticity"
~subject:"Measurement"
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Estimation theory
Heteroscedasticity
Measurement
Schätztheorie
39
Theorie
18
Theory
18
ARCH model
16
ARCH-Modell
16
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Time series analysis
8
Zeitreihenanalyse
8
Estimation
6
Schätzung
6
Risikomaß
5
Risk measure
5
Stochastic process
5
Stochastischer Prozess
5
VAR model
5
VAR-Modell
5
Volatility
5
Volatilität
5
Börsenkurs
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Share price
3
Simulation
3
Autocorrelation
2
Autokorrelation
2
Core
2
Dynamic portfolio
2
Filtered historical simulation
2
Forecasting model
2
Heteroskedastizität
2
Induktive Statistik
2
Messung
2
Portfolio selection
2
Portfolio-Management
2
Prognoseverfahren
2
Quasi-maximum likelihood
2
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6
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Book / Working Paper
28
Article
11
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28
Working Paper
28
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26
Non-commercial literature
26
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13
Government document
13
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11
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English
38
French
1
Author
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Monfort, Alain
Zakoïan, Jean-Michel
Phillips, Peter C. B.
43
Gouriéroux, Christian
38
Andrews, Donald W. K.
32
Newey, Whitney K.
25
Francq, Christian
24
Robinson, Peter M.
24
Linton, Oliver
23
Chen, Songnian
21
Lee, Lung-fei
21
Robert, Christian P.
19
Chen, Xiaohong
18
Li, Qi
18
Su, Liangjun
18
Horowitz, Joel
17
Jasiak, Joann
17
White, Halbert
16
Cai, Zongwu
13
Fan, Yanqin
13
Gao, Jiti
13
Hong, Han
13
Imbens, Guido
13
Lewbel, Arthur
13
Bai, Jushan
12
Hsiao, Cheng
12
Park, Joon Y.
12
Pesaran, M. Hashem
12
Smith, Richard J.
12
Sun, Yixiao
12
Tauchen, George Eugene
12
Taylor, Robert
12
Aït-Sahalia, Yacine
11
Florens, Jean-Pierre
11
Scaillet, Olivier
11
Todorov, Viktor
11
Baltagi, Badi H.
10
Bertail, Patrice
10
Chib, Siddhartha
10
Gallant, A. Ronald
10
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
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
Econometric theory
8
Série des documents de travail
8
Annals of economics and statistics
3
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
1
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ECONIS (ZBW)
39
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1
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
6
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
7
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
8
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:
9
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
10
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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