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subject:"Exchange rate"
subject:"Volatilität"
~person:"Francq, Christian"
~subject:"Heteroskedastizität"
~subject:"Stochastischer Prozess"
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Exchange rate
Volatilität
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Estimation theory
43
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43
ARCH model
27
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27
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15
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11
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Francq, Christian
Phillips, Peter C. B.
47
Koopman, Siem Jan
25
Sun, Yixiao
23
Swanson, Norman R.
21
Todorov, Viktor
19
Li, Jia
17
Diebold, Francis X.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Tauchen, George Eugene
16
Cavaliere, Giuseppe
15
Li, Yingying
15
Teräsvirta, Timo
15
Härdle, Wolfgang
14
Maheswaran, S.
14
Taylor, Robert
14
Brandt, Michael W.
13
Lucas, André
13
McAleer, Michael
13
Nielsen, Morten Ørregaard
13
Sentana, Enrique
13
Hafner, Christian M.
12
Kim, Donggyu
12
Spokojnyj, Vladimir G.
12
Bollerslev, Tim
11
Ghysels, Eric
11
Linton, Oliver
11
Mancino, Maria Elvira
11
Newey, Whitney K.
11
Reiß, Markus
11
Zakoïan, Jean-Michel
11
Andersen, Torben
10
Andrews, Donald W. K.
10
Caporale, Guglielmo Maria
10
Chao, John C.
10
Silvennoinen, Annastiina
10
Christopeit, Norbert
9
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9
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Journal of econometrics
5
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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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
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:
4
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
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