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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~isPartOf:"Working paper series"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Heteroscedasticity"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Heteroscedasticity
Statistical inference
Zeitreihenanalyse
Estimation theory
7
Schätztheorie
7
Statistical distribution
2
Statistische Verteilung
2
Time series analysis
2
APARCH
1
Asymmetric Student-t distribution
1
Beta-t-GARCH
1
Conditional heteroskedasticity
1
Estimation
1
Heteroskedastizität
1
Induktive Statistik
1
LAN in time series
1
Measurement
1
Messung
1
Quadratic mean differentiability
1
Risiko
1
Risikomaß
1
Risk
1
Risk measure
1
Schätzung
1
Systemic risk
1
Systemrisiko
1
Theorie
1
Theory
1
Volatility
1
Volatilität
1
conditional CoVaR and Delta-CoVaR
1
empirical distribution of bivariate residuals
1
model-free estimation risk
1
multivariate risks
1
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4
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English
5
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Francq, Christian
Gao, Jiti
50
Peng, Bin
19
Nielsen, Morten Ørregaard
17
Hyndman, Rob J.
14
Linton, Oliver
12
Johansen, Søren
11
Martin, Gael M.
11
Phillips, Peter C. B.
10
Poskitt, Donald Stephen
10
Dong, Chaohua
9
Yang, Yanrong
9
Taylor, Robert
8
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Kohn, Robert
7
Li, Degui
7
Chan, Ngai Hang
6
Kristensen, Dennis
6
Saikkonen, Pentti
6
Tjostheim, Dag
6
Yan, Yayi
6
Canepa, Alessandra
5
Cheng, Tingting
5
Christensen, Kim
5
Horváth, Lajos
5
Pan, Guangming
5
Podolskij, Mark
5
Politis, Dimitris N.
5
Sarafidis, Vasilis
5
Zakoïan, Jean-Michel
5
Zhang, Xibin
5
Andersen, Torben
4
Frazier, David T.
4
Grose, Simone D.
4
Jiang, Bin
4
Kanaya, Shin
4
Leybourne, Stephen James
4
Liu, Fei
4
MacKinnon, James G.
4
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
Working paper series
Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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
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:
3
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:
4
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
5
Estimating weak GARCH representations
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
16
(
2000
)
5
,
pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
Saved in:
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