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subject:"Indien"
subject:"Sparen"
~person:"Francq, Christian"
~subject:"ARCH-Modell"
~subject:"Theory"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Indien
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25
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7
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Francq, Christian
Andrews, Donald W. K.
32
Phillips, Peter C. B.
31
Newey, Whitney K.
28
Gouriéroux, Christian
25
Li, Qi
25
Baltagi, Badi H.
24
McAleer, Michael
24
Pesaran, M. Hashem
23
Krämer, Walter
22
Ohtani, Kazuhiro
22
Zakoïan, Jean-Michel
22
Horowitz, Joel
20
King, Maxwell L.
20
Giles, David E. A.
19
Ullah, Aman
19
Lee, Lung-fei
18
Robinson, Peter M.
18
Wooldridge, Jeffrey M.
18
Granger, C. W. J.
17
Lütkepohl, Helmut
17
Linton, Oliver
16
Srivastava, Virendra K.
16
Hahn, Jinyong
15
Maddala, Gangadharrao S.
15
Schmidt, Peter
15
Teräsvirta, Timo
15
Dufour, Jean-Marie
14
Hendry, David F.
14
Kelejian, Harry H.
14
Smith, Richard J.
14
Bai, Jushan
13
Bera, Anil K.
13
Franses, Philip Hans
13
Ghysels, Eric
13
Godfrey, L. G.
13
Hill, Rufus Carter
13
Kumar, Dilip
13
Orme, Chris D.
13
Perron, Pierre
13
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Journal of econometrics
10
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2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Economics letters
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ECONIS (ZBW)
20
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1
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:
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
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:
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
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:
8
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
9
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:
10
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:
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