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subject:"Sampling"
subject:"Stichprobenerhebung"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Capital income"
~subject:"Statistical test"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Capital income
Statistical test
Statistische Verteilung
Estimation theory
43
Schätztheorie
43
ARCH-Modell
27
Theorie
15
Theory
15
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Estimation
8
Risikomaß
8
Risk measure
8
Schätzung
8
Volatility
7
Volatilität
7
Autocorrelation
4
Autokorrelation
4
Börsenkurs
4
Share price
4
Forecasting model
3
Heteroscedasticity
3
Heteroskedastizität
3
Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistischer Test
3
Stochastic process
3
Stochastischer Prozess
3
VAR model
3
VAR-Modell
3
ARMA model
2
ARMA-Modell
2
Bootstrap approach
2
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2
Conditional heteroskedasticity
2
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9
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19
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9
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9
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9
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English
28
Author
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Francq, Christian
Phillips, Peter C. B.
64
Linton, Oliver
34
Sentana, Enrique
32
Dufour, Jean-Marie
29
Andrews, Donald W. K.
27
Chernozhukov, Victor
25
White, Halbert
25
Teräsvirta, Timo
24
Zakoïan, Jean-Michel
24
Einmahl, John H. J.
23
McAleer, Michael
23
Fiorentini, Gabriele
22
Shi, Xiaoxia
22
Guggenberger, Patrik
21
Sun, Yixiao
21
Cai, Zongwu
20
Gao, Jiti
20
Koopman, Siem Jan
20
Pesaran, M. Hashem
20
Rahbek, Anders
20
Amengual, Dante
19
Kristensen, Dennis
19
Bera, Anil K.
18
Chen, Xiaohong
18
Horowitz, Joel
18
Khalaf, Lynda
18
Baltagi, Badi H.
17
Canay, Ivan A.
17
Kleibergen, Frank
17
Mykland, Per A.
17
Hafner, Christian M.
16
Hsu, Yu-Chin
16
Härdle, Wolfgang
16
Kitagawa, Toru
16
Ardia, David
15
Hallin, Marc
15
Kumar, Dilip
15
Engle, Robert F.
14
Hill, Jonathan B.
14
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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 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)
28
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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
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:
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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