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subject:"Sampling"
subject:"Stichprobenerhebung"
~person:"Francq, Christian"
~person:"Hafner, Christian M."
~person:"Trojani, Fabio"
~subject:"ARCH model"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Statistische Verteilung
Estimation theory
96
Schätztheorie
96
ARCH-Modell
51
Theorie
27
Theory
27
Time series analysis
22
Zeitreihenanalyse
22
Estimation
21
Schätzung
21
Volatility
19
Volatilität
19
Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
Multivariate Analyse
12
Multivariate analysis
12
Correlation
8
Forecasting model
8
Korrelation
8
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Prognoseverfahren
8
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8
Risk measure
8
Portfolio selection
6
Portfolio-Management
6
Stochastic process
6
Stochastischer Prozess
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USA
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United States
6
Autocorrelation
5
Autokorrelation
5
Börsenkurs
5
Dynamic programming
5
Dynamische Optimierung
5
Linear algebra
5
Lineare Algebra
5
Share price
5
Yield curve
5
Zinsstruktur
5
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Free
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Article
27
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23
Graue Literatur
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Non-commercial literature
22
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2
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English
52
Author
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Francq, Christian
Hafner, Christian M.
Trojani, Fabio
Phillips, Peter C. B.
25
Zakoïan, Jean-Michel
24
Linton, Oliver
20
Teräsvirta, Timo
19
Einmahl, John H. J.
17
McAleer, Michael
17
Rahbek, Anders
16
Ardia, David
15
Chernozhukov, Victor
14
Koopman, Siem Jan
14
Kumar, Dilip
14
Engle, Robert F.
13
Lucas, André
13
Mykland, Per A.
13
Sheppard, Kevin
13
Audrino, Francesco
12
Brakel, Jan A. van den
11
Wu, Ximing
11
Bauwens, Luc
10
Härdle, Wolfgang
10
Linton, Oliver B.
10
Shephard, Neil G.
10
Silvennoinen, Annastiina
10
White, Halbert
10
Aït-Sahalia, Yacine
9
Carnero, M. Angeles
9
Fiorentini, Gabriele
9
Gao, Jiti
9
Horowitz, Joel
9
Imbens, Guido
9
Ling, Shiqing
9
Pedersen, Rasmus Søndergaard
9
Sentana, Enrique
9
Andrews, Donald W. K.
8
Bandi, Federico M.
8
Chen, Xiaohong
8
Corradi, Valentina
8
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Econometrisch Instituut <Rotterdam>
1
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
CORE discussion papers : DP
4
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
3
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
CORE discussion paper : DP
2
Econometric Institute research papers
2
Working paper series
2
Working papers on finance
2
Annals of economics and statistics
1
Econometric analysis of financial and economic time series ; part a
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics papers
1
Economics letters
1
Finance research letters
1
Handbook of financial time series
1
Journal of the American Statistical Association : JASA
1
The econometrics journal
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ECONIS (ZBW)
52
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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
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:
4
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
5
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:
6
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:
7
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
8
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:
9
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
10
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
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