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subject:"Exchange rate"
subject:"Rationale Erwartung"
~person:"Francq, Christian"
~subject:"Bootstrap-Verfahren"
~subject:"Maximum-Likelihood-Schätzung"
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Exchange rate
Rationale Erwartung
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43
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43
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27
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Francq, Christian
Andrews, Donald W. K.
23
Lee, Lung-fei
22
Nielsen, Morten Ørregaard
22
Cavaliere, Giuseppe
21
Chen, Xiaohong
21
MacKinnon, James G.
21
Koopman, Siem Jan
20
Pesaran, M. Hashem
20
Lütkepohl, Helmut
19
Härdle, Wolfgang
17
Pouzo, Demian
17
Rahbek, Anders
17
Diebold, Francis X.
16
Kilian, Lutz
14
Webb, Matthew
14
Brandt, Michael W.
13
Phillips, Peter C. B.
13
Zakoïan, Jean-Michel
13
Corradi, Valentina
12
Taylor, Robert
12
Chernozhukov, Victor
11
Fiorentini, Gabriele
11
Sentana, Enrique
11
Swanson, Norman R.
11
Blasques, Francisco
10
Camponovo, Lorenzo
10
Hayakawa, Kazuhiko
10
McAleer, Michael
10
Otsu, Taisuke
10
Psaradakis, Zacharias G.
10
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9
Kitagawa, Toru
9
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9
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9
Simar, Léopold
9
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8
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8
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8
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4
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3
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2
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1
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1
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ECONIS (ZBW)
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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
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
3
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
4
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:
5
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
6
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
Saved in:
7
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
8
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:
9
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
10
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:
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