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subject:"Sampling"
subject:"Stichprobenerhebung"
~person:"Audrino, Francesco"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Share price"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Share price
Statistische Verteilung
Estimation theory
67
Schätztheorie
67
ARCH-Modell
39
Time series analysis
21
Zeitreihenanalyse
21
Theorie
16
Theory
16
Estimation
15
Schätzung
15
Forecasting model
12
Prognoseverfahren
12
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
USA
9
United States
9
Volatility
9
Volatilität
9
Risikomaß
8
Risk measure
8
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Multivariate Analyse
6
Multivariate analysis
6
Dynamic programming
5
Dynamische Optimierung
5
Autocorrelation
4
Autokorrelation
4
Bond market
4
Bootstrap approach
4
Bootstrap-Verfahren
4
Börsenkurs
4
Correlation
4
Korrelation
4
Market microstructure
4
Marktmikrostruktur
4
Rentenmarkt
4
US dollar
4
US-Dollar
4
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11
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21
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19
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16
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16
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16
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English
40
Author
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Audrino, Francesco
Francq, Christian
Linton, Oliver
30
Zakoïan, Jean-Michel
28
Phillips, Peter C. B.
25
Teräsvirta, Timo
21
McAleer, Michael
18
Einmahl, John H. J.
17
Engle, Robert F.
17
Koopman, Siem Jan
17
Kumar, Dilip
16
Mykland, Per A.
16
Rahbek, Anders
16
Ardia, David
15
Gao, Jiti
15
Hafner, Christian M.
15
Pesaran, M. Hashem
15
Bauwens, Luc
14
Chernozhukov, Victor
14
Lucas, André
14
Sentana, Enrique
14
Shephard, Neil G.
14
Krämer, Walter
13
Sheppard, Kevin
13
Kapetanios, George
12
Tauchen, George Eugene
12
Todorov, Viktor
12
Brakel, Jan A. van den
11
Maheswaran, S.
11
Silvennoinen, Annastiina
11
Wu, Ximing
11
Härdle, Wolfgang
10
Linton, Oliver B.
10
White, Halbert
10
Ait-Sahalia, Yacine
9
Aït-Sahalia, Yacine
9
Carnero, M. Angeles
9
Fiorentini, Gabriele
9
Ghysels, Eric
9
Harvey, Andrew C.
9
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Working papers on finance
3
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Working paper series
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 the American Statistical Association : JASA
1
University of St. Gallen Department of Economics Discussion Paper
1
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ECONIS (ZBW)
40
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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