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subject:"Panel"
subject:"Stochastic process"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of econometrics"
~person:"Zakoïan, Jean-Michel"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Panel
Stochastic process
Volatility
Estimation theory
9
Schätztheorie
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ARCH model
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ARCH-Modell
8
Estimation
4
Schätzung
4
Stochastischer Prozess
4
Volatilität
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Risikomaß
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Risk measure
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Time series analysis
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Zeitreihenanalyse
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Börsenkurs
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Dynamic portfolio
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Filtered historical simulation
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Maximum likelihood estimation
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Portfolio selection
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Share price
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Simulation
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Statistical test
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Statistischer Test
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VAR model
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VAR-Modell
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Accuracy of VaR estimation
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Aktienindex
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Analysis of variance
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Bootstrap approach
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Capital income
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Zakoïan, Jean-Michel
Todorov, Viktor
11
Su, Liangjun
10
Bai, Jushan
8
Li, Jia
8
Tauchen, George Eugene
8
Baltagi, Badi H.
7
Phillips, Peter C. B.
7
Andersen, Torben
6
Li, Kunpeng
6
Li, Yingying
6
Francq, Christian
5
Gao, Jiti
5
Hsiao, Cheng
5
Kim, Donggyu
5
Lee, Lung-fei
5
Mykland, Per A.
5
Peng, Bin
5
Feng, Guohua
4
Li, Guodong
4
Park, Joon Y.
4
Pesaran, M. Hashem
4
Robinson, Peter M.
4
Sarafidis, Vasilis
4
Weidner, Martin
4
Westerlund, Joakim
4
Yu, Jihai
4
Zhang, Lan
4
Arellano, Manuel
3
Aït-Sahalia, Yacine
3
Bollerslev, Tim
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Fernández-Val, Iván
3
Jin, Sainan
3
Kao, Chihwa
3
Li, Dong
3
Linton, Oliver
3
Meddahi, Nour
3
Moon, Hyungsik Roger
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of banking & finance
Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Série des documents de travail
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
6
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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