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subject:"India"
~accessRights:"restricted"
~person:"Francq, Christian"
~person:"Moosa, Imad A."
~subject:"Schätztheorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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India
Schätztheorie
Estimation theory
14
ARCH model
9
ARCH-Modell
9
Time series analysis
7
Zeitreihenanalyse
7
Estimation
6
Schätzung
6
Volatility
5
Volatilität
5
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
Capital income
2
Cointegration
2
Dynamic portfolio
2
Filtered historical simulation
2
Forecasting model
2
Kapitaleinkommen
2
Kointegration
2
Portfolio selection
2
Portfolio-Management
2
Prognoseverfahren
2
Risikomaß
2
Risk measure
2
Share price
2
Simulation
2
Statistical test
2
Statistischer Test
2
Stochastic process
2
Stochastischer Prozess
2
VAR model
2
VAR-Modell
2
ARCH models
1
ARMA
1
ARMA model
1
ARMA-Modell
1
Accuracy of VaR estimation
1
Analysis of variance
1
Autoregressive Conditional Duration model
1
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Aufsatz in Zeitschrift
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14
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English
14
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Francq, Christian
Moosa, Imad A.
Tsionas, Efthymios G.
41
Lee, Lung-fei
27
Gao, Jiti
26
Phillips, Peter C. B.
26
Linton, Oliver
25
Su, Liangjun
23
Parmeter, Christopher F.
22
Zhang, Xinyu
22
Kumbhakar, Subal
19
Cai, Zongwu
17
Tu, Yundong
17
Baltagi, Badi H.
16
Bera, Anil K.
15
Chen, Songnian
15
Li, Degui
15
Peng, Bin
14
Westerlund, Joakim
14
Li, Qi
13
Bai, Jushan
12
Escanciano, Juan Carlos
12
Jin, Fei
12
Li, Jia
12
Li, Kunpeng
12
Peng, Liang
12
Ullah, Aman
12
Wooldridge, Jeffrey M.
12
Hahn, Jinyong
11
Hsiao, Cheng
11
Otsu, Taisuke
11
Robinson, Peter M.
11
Simar, Léopold
11
Sun, Yiguo
11
Xiao, Zhijie
11
Zhou, Qiankun
11
Zhu, Ke
11
Demetrescu, Matei
10
Fan, Yanqin
10
Florens, Jean-Pierre
10
Hu, Yingyao
10
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Journal of econometrics
7
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Applied economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of international financial markets, institutions & money
1
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ECONIS (ZBW)
14
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1
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:
2
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:
3
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
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
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:
6
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:
7
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:
8
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:
9
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:
10
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
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