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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:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Monfort, Alain"
~person:"Zakoïan, Jean-Michel"
~subject:"Heteroscedasticity"
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Estimation theory
Heteroscedasticity
Schätztheorie
29
Theorie
18
Theory
18
ARCH model
9
ARCH-Modell
9
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
Induktive Statistik
1
Interest rate
1
Kreditrisiko
1
Markov chain
1
Markov-Kette
1
Measurement
1
Messung
1
Monte Carlo simulation
1
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Book / Working Paper
28
Article
1
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Arbeitspapier
28
Working Paper
28
Graue Literatur
26
Non-commercial literature
26
Amtsdruckschrift
13
Government document
13
Article in journal
1
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English
28
French
1
Author
All
Monfort, Alain
Zakoïan, Jean-Michel
Gouriéroux, Christian
27
Andrews, Donald W. K.
21
Robert, Christian P.
19
Newey, Whitney K.
15
Francq, Christian
14
Jasiak, Joann
11
Phillips, Peter C. B.
11
Guégan, Dominique
10
Bertail, Patrice
9
Smith, Richard J.
9
Horowitz, Joel
8
Imbens, Guido
8
Comte, Fabienne
7
Cybakov, Aleksandr B.
7
Gautier, Eric
7
Guerre, Emmanuel
7
Patilea, Valentin
7
Robinson, Peter M.
7
Scaillet, Olivier
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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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
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)
29
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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
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:
5
Fourth order pseudo maximum likelihood methods
Holly, Alberto
;
Monfort, Alain
;
Rockinger, Michael
-
2010
Persistent link: https://www.econbiz.de/10009406538
Saved in:
6
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:
7
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:
8
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
9
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:
10
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
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