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subject:"Sampling"
subject:"Stichprobenerhebung"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Capital income"
~subject:"Statistische Verteilung"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Capital income
Statistische Verteilung
Volatilität
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
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
Statistical test
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
Bootstrap-Verfahren
2
Conditional heteroskedasticity
2
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English
29
Author
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Francq, Christian
Linton, Oliver
36
Koopman, Siem Jan
30
Phillips, Peter C. B.
30
Zakoïan, Jean-Michel
25
Diebold, Francis X.
24
Hafner, Christian M.
24
Härdle, Wolfgang
22
Teräsvirta, Timo
21
Brandt, Michael W.
20
McAleer, Michael
20
Mykland, Per A.
20
Todorov, Viktor
19
Rahbek, Anders
18
Einmahl, John H. J.
17
Gao, Jiti
17
Kumar, Dilip
17
Li, Jia
17
Li, Yingying
17
Sentana, Enrique
17
Maheswaran, S.
16
Tauchen, George Eugene
16
Ardia, David
15
Engle, Robert F.
15
Ghysels, Eric
15
Linton, Oliver B.
15
Lucas, André
15
Nelson, Daniel B.
15
White, Halbert
15
Audrino, Francesco
14
Chernozhukov, Victor
14
Sheppard, Kevin
14
Andersen, Torben
13
Aït-Sahalia, Yacine
13
Cavaliere, Giuseppe
13
Li, Degui
13
Fan, Jianqing
12
Fiorentini, Gabriele
12
Kim, Donggyu
12
Kristensen, Dennis
12
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
3
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
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ECONIS (ZBW)
29
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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
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
8
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:
9
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:
10
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:
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