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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 series"
~person:"Carter, Chris K."
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Statistische Verteilung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Statistische Verteilung
Zeitreihenanalyse
Estimation theory
12
Schätztheorie
12
Theorie
6
Theory
6
Time series analysis
5
Simulation
2
Statistical distribution
2
APARCH
1
Asymmetric Student-t distribution
1
Beta-t-GARCH
1
Conditional heteroskedasticity
1
Estimation
1
Heteroscedasticity
1
Heteroskedastizität
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Induktive Statistik
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LAN in time series
1
Measurement
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Messung
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Quadratic mean differentiability
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Risiko
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Risikomaß
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Risk
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Risk measure
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Schätzung
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Statistical inference
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Systemic risk
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Systemrisiko
1
Volatility
1
Volatilität
1
conditional CoVaR and Delta-CoVaR
1
empirical distribution of bivariate residuals
1
model-free estimation risk
1
multivariate risks
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Carter, Chris K.
Francq, Christian
Nielsen, Morten Ørregaard
14
Johansen, Søren
11
Linton, Oliver
8
Phillips, Peter C. B.
8
Teräsvirta, Timo
8
Kohn, Robert
7
Kristensen, Dennis
7
Taylor, Robert
7
Cavaliere, Giuseppe
6
Saikkonen, Pentti
6
Zakoïan, Jean-Michel
6
Canepa, Alessandra
5
Chan, Ngai Hang
5
Gao, Jiti
5
Horváth, Lajos
5
Politis, Dimitris N.
5
Kanaya, Shin
4
Leybourne, Stephen James
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Zhang, Rongmao
4
Asai, Manabu
3
Chambers, Marcus J.
3
Christensen, Kim
3
Grassi, Stefano
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hualde, Javier
3
Jentsch, Carsten
3
Kokoszka, Piotr
3
Li, Degui
3
Ling, Shiqing
3
Musolesi, Antonio
3
Nielsen, Bent
3
Parra-Alvarez, Juan Carlos
3
Peng, Liang
3
Podolskij, Mark
3
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CREATES research paper
Econometric theory
Journal of time series econometrics
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
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ECONIS (ZBW)
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
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
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:
6
Diagnostics for time series analysis
Gerlach, Richard
;
Carter, Chris K.
;
Kohn, Robert
-
1997
Persistent link: https://www.econbiz.de/10000965127
Saved in:
7
Semiparametric Bayesian inference for time series with mixed spectra
Carter, Chris K.
;
Kohn, Robert
-
1995
Persistent link: https://www.econbiz.de/10000912047
Saved in:
8
Markov chain Monte Carlo in conditionally Gaussian state space models
Carter, Chris K.
;
Kohn, Robert
-
1994
Persistent link: https://www.econbiz.de/10000887142
Saved in:
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