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subject:"Regressionsanalyse"
subject:"Ökonometrie"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Francq, Christian"
~person:"Koopman, Siem Jan"
~subject:"Estimation theory"
~subject:"Estimation"
~subject:"Forecasting model"
~type_genre:"Article in journal"
~type_genre:"Aufsatzsammlung"
~type_genre:"Bibliografie"
~type_genre:"Non-commercial literature"
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Regressionsanalyse
Ökonometrie
Estimation theory
Estimation
Forecasting model
Schätztheorie
4
ARCH model
2
ARCH-Modell
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Schätzung
2
Volatility
2
Volatilität
2
ARMA
1
ARMA model
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ARMA-Modell
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Analysis of variance
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Bootstrap-Verfahren
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EGARCH
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Prognoseverfahren
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Risk measure
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Statistical test
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Statistischer Test
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Varianzanalyse
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adequacy test for CCC-GARCH models
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bootstrap
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exponential Chi-squared
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leverage effect
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log-GARCH
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quasi-maximum likelihood
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quasi-maximum-likelihood estimation
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Article in journal
Aufsatzsammlung
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Non-commercial literature
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4
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English
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Francq, Christian
Koopman, Siem Jan
Chen, Yi-ting
3
Audrino, Francesco
2
Corsi, Fulvio
2
Engle, Robert F.
2
Frederiksen, Per
2
Gallant, A. Ronald
2
Horváth, Lajos
2
Härdle, Wolfgang
2
Shephard, Neil G.
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Ahn, Seung Chan
1
Amengual, Dante
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Barndorff-Nielsen, Ole E.
1
Bennett, Christopher J.
1
Billio, Monica
1
Birke, Melanie
1
Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Bu, Ruijun
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Candelon, Bertrand
1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Chen, Jiaqin
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Colletaz, Gilbert
1
Conrad, Christian A.
1
Croux, Christophe
1
Czado, Claudia
1
Czellar, Veronika
1
Denuit, Michel
1
Di, Jianing
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Tinbergen Institute
31
Journal of econometrics
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Econometric theory
5
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
5
Discussion paper / Center for Economic Research, Tilburg University
3
Econometric reviews
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of the American Statistical Association : JASA
2
Working paper series
2
Advances in econometrics
1
Annals of economics and statistics
1
CORE discussion paper : DP
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
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
NBP working paper
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
Working paper / Norges Bank
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ECONIS (ZBW)
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1
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
2
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:
3
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
4
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
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