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subject:"Sampling"
~person:"Zakoïan, Jean-Michel"
~subject:"Time series analysis"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Sampling
Time series analysis
Volatilität
Estimation theory
32
Schätztheorie
32
Theorie
16
Theory
16
ARCH model
14
ARCH-Modell
14
Zeitreihenanalyse
9
Estimation
7
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7
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5
Maximum likelihood estimation
5
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5
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5
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5
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4
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
31
Leybourne, Stephen James
18
Linton, Oliver
18
Kumar, Dilip
17
Harvey, Andrew C.
16
Taylor, Robert
16
Teräsvirta, Timo
16
Ghysels, Eric
15
Lütkepohl, Helmut
15
Maheswaran, S.
15
Gao, Jiti
14
Johansen, Søren
14
Chambers, Marcus J.
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Francq, Christian
12
Li, Jia
12
Mykland, Per A.
12
Todorov, Viktor
12
Xiao, Zhijie
12
Gouriéroux, Christian
11
Koopman, Siem Jan
11
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Koop, Gary
10
Lucas, André
10
Nielsen, Morten Ørregaard
10
Robinson, Peter M.
10
Aït-Sahalia, Yacine
9
Baltagi, Badi H.
9
Fan, Jianqing
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
Kapetanios, George
9
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Journal of econometrics
5
Econometric theory
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Journal de la Société de Statistique de Paris
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
12
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
7
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
8
Efficient use of high order autocorrelations for estimating autoregressive processes
Broze, Laurence
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
1999
Persistent link: https://www.econbiz.de/10001430412
Saved in:
9
Quasi-indirect inference for diffusion processes
Broze, Laurence
- In:
Econometric theory
14
(
1998
)
2
,
pp. 161-186
Persistent link: https://www.econbiz.de/10001245312
Saved in:
10
Multivariate ARMA models with generalized autoregressive linear innovation
Francq, Christian
;
Zakoïan, Jean-Michel
-
1995
Persistent link: https://www.econbiz.de/10000910561
Saved in:
1
2
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