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subject:"Exchange rate"
subject:"Germany"
~person:"Francq, Christian"
~person:"Kumar, Dilip"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Exchange rate
Germany
ARCH model
Estimation theory
60
Schätztheorie
60
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39
Volatility
23
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23
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17
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17
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16
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Francq, Christian
Kumar, Dilip
Zakoïan, Jean-Michel
23
Teräsvirta, Timo
22
Winkelmann, Rainer
22
Lechner, Michael
21
Lütkepohl, Helmut
19
Diebold, Francis X.
17
Hafner, Christian M.
17
Rahbek, Anders
16
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15
Ardia, David
14
Engle, Robert F.
14
Wolters, Jürgen
14
Brandt, Michael W.
13
Sheppard, Kevin
13
Audrino, Francesco
12
Krämer, Walter
12
Linton, Oliver
11
Bauwens, Luc
10
McAleer, Michael
10
Shephard, Neil G.
10
Silvennoinen, Annastiina
10
Yang, Lijian
10
Bekaert, Geert
9
Pedersen, Rasmus Søndergaard
9
Pittis, Nikitas
9
Preminger, Arie
9
Trojani, Fabio
9
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9
Alizadeh, Sassan
8
Caporale, Guglielmo Maria
8
Feng, Yuanhua
8
Fiorentini, Gabriele
8
Franses, Philip Hans
8
Koopman, Siem Jan
8
Maheswaran, S.
8
Nelson, Daniel B.
8
Runde, Ralf
8
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10
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7
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3
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2
International review of economics & finance : IREF
2
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2
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ECONIS (ZBW)
40
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
4
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:
5
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
6
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:
7
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
8
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
9
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:
10
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
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