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subject:"Regressionsanalyse"
subject:"Ökonometrie"
~isPartOf:"CEMMAP working papers / Centre for Microdata Methods and Practice"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Francq, Christian"
~subject:"ARCH-Modell"
~subject:"Forecasting model"
~subject:"IV-Schätzung"
~subject:"Induktive Statistik"
~subject:"Statistische Methodenlehre"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatzsammlung"
~type_genre:"Non-commercial literature"
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Regressionsanalyse
Ökonometrie
ARCH-Modell
Forecasting model
IV-Schätzung
Induktive Statistik
Statistische Methodenlehre
Estimation theory
15
Schätztheorie
15
ARCH model
12
Time series analysis
5
Volatility
5
Volatilität
5
Zeitreihenanalyse
5
Estimation
4
Schätzung
4
Börsenkurs
3
Risikomaß
3
Risk measure
3
Share price
3
Stochastic process
3
Stochastischer Prozess
3
Dynamic portfolio
2
Filtered historical simulation
2
Portfolio selection
2
Portfolio-Management
2
Quasi-maximum likelihood
2
Simulation
2
Statistical test
2
Statistischer Test
2
VAR model
2
VAR-Modell
2
Accuracy of VaR estimation
1
Aktienindex
1
Analysis of variance
1
Autoregressive Conditional Duration model
1
Beta risk
1
Betafaktor
1
Bootstrap approach
1
Bootstrap-Verfahren
1
CAPM
1
Capital income
1
Conditional Monte Carlo test
1
Conditional betas
1
Conditional heteroskedasticity
1
Confidence intervals for VaR
1
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13
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Article in journal
Aufsatz im Buch
Aufsatzsammlung
Non-commercial literature
Aufsatz in Zeitschrift
13
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English
13
Author
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Francq, Christian
Linton, Oliver
29
Chernozhukov, Victor
25
Horowitz, Joel
21
Phillips, Peter C. B.
17
Weidner, Martin
15
Lee, Sokbae
14
Hansen, Christian Bailey
13
Kitagawa, Toru
13
Newey, Whitney K.
13
Canay, Ivan A.
12
Su, Liangjun
12
Chen, Songnian
11
Li, Qi
11
Belloni, Alexandre
10
Rosen, Adam M.
10
Shi, Xiaoxia
10
Bugni, Federico A.
9
Robinson, Peter M.
9
Wang, Qiying
9
White, Halbert
9
Zakoïan, Jean-Michel
9
Cai, Zongwu
8
Chen, Xiaohong
8
Chesher, Andrew
8
Fan, Yanqin
8
Florens, Jean-Pierre
8
Gao, Jiti
7
Jansson, Michael
7
Jochmans, Koen
7
Li, Degui
7
Sasaki, Yuya
7
Sun, Yiguo
7
Zhu, Ke
7
Arai, Yoichi
6
Cattaneo, Matias D.
6
Graham, Bryan S.
6
Hahn, Jinyong
6
Hoderlein, Stefan
6
Lee, Ji Hyung
6
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CEMMAP working papers / Centre for Microdata Methods and Practice
Econometric theory
Journal of econometrics
Journal of risk and financial management : JRFM
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
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
Working paper series
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ECONIS (ZBW)
13
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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
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:
5
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:
6
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:
7
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
8
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
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
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
Saved in:
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