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subject:"Germany"
~person:"Gouriéroux, Christian"
~person:"Ohtani, Kazuhiro"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"Theory"
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Search: subject_exact:"Estimation theory"
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Germany
ARCH-Modell
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Estimation theory
188
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188
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99
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36
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36
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24
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Gouriéroux, Christian
Ohtani, Kazuhiro
Zakoïan, Jean-Michel
Härdle, Wolfgang
74
Pesaran, M. Hashem
57
Phillips, Peter C. B.
55
Andrews, Donald W. K.
47
Franses, Philip Hans
44
McAleer, Michael
43
Newey, Whitney K.
42
Teräsvirta, Timo
39
Francq, Christian
36
Lechner, Michael
36
Giles, David E. A.
35
Imbens, Guido
35
Swanson, Norman R.
35
Lütkepohl, Helmut
33
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33
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32
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31
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30
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29
Baltagi, Badi H.
28
Engle, Robert F.
28
Linton, Oliver
28
Diebold, Francis X.
27
Brännäs, Kurt
26
King, Maxwell L.
26
Li, Qi
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Stahlecker, Peter
26
Bera, Anil K.
25
Dufour, Jean-Marie
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Granger, C. W. J.
25
Kohn, Robert
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Maravall Herrero, Agustín
24
Ullah, Aman
24
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23
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23
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Duration transition and count data models
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Econometric advances in spatial modelling and methodology : essays in honour of Jean Paelinck
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Handbook of financial time series
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Journal de la Société de Statistique de Paris
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ECONIS (ZBW)
117
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
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
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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