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subject:"Regressionsanalyse"
type_genre:"Collection of articles written by one author"
~person:"Chan, Ngai Hang"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"VAR model"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Regressionsanalyse
ARCH-Modell
VAR model
Estimation theory
42
Schätztheorie
42
ARCH model
17
Time series analysis
14
Zeitreihenanalyse
14
Theorie
11
Theory
11
Estimation
8
Schätzung
8
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
Stochastic process
6
Stochastischer Prozess
6
Börsenkurs
5
Regression analysis
5
Risikomaß
5
Risk measure
5
Share price
5
Statistical test
5
Statistischer Test
5
Volatility
5
Volatilität
5
Autocorrelation
4
Autokorrelation
4
Forecasting model
4
Prognoseverfahren
4
France
3
Frankreich
3
Portfolio selection
3
Portfolio-Management
3
Analysis of variance
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Cointegration
2
Dynamic portfolio
2
Filtered historical simulation
2
Heteroscedasticity
2
Heteroskedastizität
2
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Undetermined
9
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Article
21
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Collection of articles written by one author
Article in journal
Aufsatz in Zeitschrift
21
Arbeitspapier
8
Graue Literatur
8
Non-commercial literature
8
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8
Aufsatz im Buch
1
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English
21
Author
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Chan, Ngai Hang
Zakoïan, Jean-Michel
Linton, Oliver
21
Phillips, Peter C. B.
20
Francq, Christian
18
Su, Liangjun
17
Chen, Songnian
14
Cai, Zongwu
13
Kumar, Dilip
12
Lütkepohl, Helmut
12
Tu, Yundong
12
Westerlund, Joakim
12
Li, Qi
11
Tsionas, Efthymios G.
11
Xiao, Zhijie
11
Kapetanios, George
10
Rahbek, Anders
10
Sun, Yiguo
10
Escanciano, Juan Carlos
9
Florens, Jean-Pierre
9
Galvão Júnior, Antônio Fialho
9
Otsu, Taisuke
9
Parmeter, Christopher F.
9
Teräsvirta, Timo
9
Wang, Hansheng
9
Yu, Ping
9
Baltagi, Badi H.
8
Chernozhukov, Victor
8
Gao, Jiti
8
Hansen, Bruce E.
8
Hansen, Christian Bailey
8
Henderson, Daniel J.
8
Li, Degui
8
Ling, Shiqing
8
Peng, Liang
8
Racine, Jeffrey
8
Ullah, Aman
8
Wang, Qiying
8
Yang, Lijian
8
Anatolyev, Stanislav
7
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Journal of econometrics
8
Econometric theory
6
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
Insurance / Mathematics & economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
1
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ECONIS (ZBW)
21
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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
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
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
Subgroup analysis of zero-inflated Poisson regression model with applications to insurance data
Chen, Kun
;
Huang, Rui
;
Chan, Ngai Hang
;
Yau, Chun Yip
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 8-18
Persistent link: https://www.econbiz.de/10012058680
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
Threshold estimation via group orthogonal greedy algorithm
Chan, Ngai Hang
;
Ing, Ching-Kang
;
Li, Yuanbo
;
Yau, Chun Yip
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 334-345
Persistent link: https://www.econbiz.de/10011704208
Saved in:
8
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:
9
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:
10
LASSO estimation of threshold autoregressive models
Chan, Ngai Hang
;
Yau, Chun Yip
;
Zhang, Rong-Mao
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 285-296
Persistent link: https://www.econbiz.de/10011504532
Saved in:
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