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subject:"Prognoseverfahren"
subject:"Theorie"
~person:"Brännäs, Kurt"
~person:"Zakoïan, Jean-Michel"
~subject:"Risk measure"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
Theorie
Risk measure
Estimation theory
90
Schätztheorie
90
Theory
48
Time series analysis
35
Zeitreihenanalyse
35
ARCH model
24
ARCH-Modell
24
Estimation
19
Schätzung
19
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Schweden
11
Sweden
11
Forecasting model
9
Risikomaß
8
Autocorrelation
7
Autokorrelation
7
Börsenkurs
7
Share price
7
Simulation
7
Volatility
7
Volatilität
7
Stochastic process
6
Stochastischer Prozess
6
Arbeitslosigkeit
4
France
4
Frankreich
4
Heteroscedasticity
4
Heteroskedastizität
4
Measurement
4
Messung
4
Statistical distribution
4
Statistische Verteilung
4
Unemployment
4
Dauer
3
Duration
3
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3
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6
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2
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Book / Working Paper
36
Article
21
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Graue Literatur
36
Non-commercial literature
36
Arbeitspapier
29
Working Paper
29
Article in journal
18
Aufsatz in Zeitschrift
18
Amtsdruckschrift
7
Government document
7
Aufsatz im Buch
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English
55
French
2
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Brännäs, Kurt
Zakoïan, Jean-Michel
Härdle, Wolfgang
71
Pesaran, M. Hashem
64
Phillips, Peter C. B.
64
Gouriéroux, Christian
53
Swanson, Norman R.
52
Franses, Philip Hans
46
Andrews, Donald W. K.
44
Newey, Whitney K.
42
Baltagi, Badi H.
37
McAleer, Michael
36
Giles, David E. A.
35
Imbens, Guido
35
Koop, Gary
32
Diebold, Francis X.
31
Heckman, James J.
31
Robinson, Peter M.
30
Horowitz, Joel
29
Ullah, Aman
29
King, Maxwell L.
27
Li, Qi
26
Marcellino, Massimiliano
26
Ohtani, Kazuhiro
26
White, Halbert
26
Winkelmann, Rainer
26
Bera, Anil K.
25
Granger, C. W. J.
25
Kohn, Robert
25
Krämer, Walter
25
Linton, Oliver
25
Dufour, Jean-Marie
24
Hendry, David F.
24
Kapetanios, George
24
Maravall Herrero, Agustín
24
Stahlecker, Peter
24
West, Kenneth D.
24
Francq, Christian
23
Hahn, Jinyong
23
Lucas, André
23
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Umeå universitet
9
Umeå Universitet / Institutionen för Nationalekonomi
3
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Umeå economic studies
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Journal of econometrics
3
CORE discussion paper : DP
2
Count data autoregression modelling
2
Econometric theory
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
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 financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
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)
57
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
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:
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
Simultaneity in the multivariate count data autoregressive model
Brännäs, Kurt
-
2013
Persistent link: https://www.econbiz.de/10010227357
Saved in:
5
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:
6
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:
7
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
8
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
9
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
10
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
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