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subject:"Prognoseverfahren"
subject:"Theorie"
~person:"Brännäs, Kurt"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
Theorie
ARCH model
Estimation theory
90
Schätztheorie
90
Theory
48
Time series analysis
35
Zeitreihenanalyse
35
ARCH-Modell
24
Estimation
19
Schätzung
19
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Schweden
11
Sweden
11
Forecasting model
9
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8
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8
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Measurement
4
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4
Unemployment
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3
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38
Article
29
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31
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English
65
French
2
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Brännäs, Kurt
Zakoïan, Jean-Michel
Härdle, Wolfgang
70
Phillips, Peter C. B.
65
Pesaran, M. Hashem
64
Swanson, Norman R.
52
Gouriéroux, Christian
51
Franses, Philip Hans
48
Andrews, Donald W. K.
47
McAleer, Michael
44
Newey, Whitney K.
42
Teräsvirta, Timo
40
Baltagi, Badi H.
37
Francq, Christian
36
Giles, David E. A.
35
Imbens, Guido
35
Linton, Oliver
34
Koop, Gary
32
Diebold, Francis X.
31
Heckman, James J.
31
Lütkepohl, Helmut
31
Robinson, Peter M.
31
Krämer, Walter
30
Horowitz, Joel
29
Ullah, Aman
29
Engle, Robert F.
28
Bera, Anil K.
26
Dufour, Jean-Marie
26
King, Maxwell L.
26
Li, Qi
26
Marcellino, Massimiliano
26
Ohtani, Kazuhiro
26
Winkelmann, Rainer
26
Bauwens, Luc
25
Granger, C. W. J.
25
Kohn, Robert
25
Hendry, David F.
24
Kapetanios, George
24
Lucas, André
24
Maravall Herrero, Agustín
24
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Umeå universitet
9
Umeå Universitet / Institutionen för Nationalekonomi
4
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Umeå economic studies
16
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Journal of econometrics
7
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Econometric theory
3
CORE discussion paper : DP
2
Count data autoregression modelling
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion paper / Tinbergen Institute
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / IZA
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Handbook of financial time series
1
International journal of forecasting
1
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of forecasting
1
Journal of the American Statistical Association : JASA
1
Meddelanden från Svenska Handelshögskolan
1
Proceedings of the Second Würzburg-Umeå Conference in Statistics : Bayerische Julius-Maximilians-Universität Würzburg, May 18 - 21, 1992
1
Statistical papers
1
Working paper series
1
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ECONIS (ZBW)
67
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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
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:
3
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:
4
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:
5
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:
6
Simultaneity in the multivariate count data autoregressive model
Brännäs, Kurt
-
2013
Persistent link: https://www.econbiz.de/10010227357
Saved in:
7
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:
8
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:
9
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:
10
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
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