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subject:"Simulation"
~isPartOf:"Journal of econometrics"
~person:"Blasques, Francisco"
~person:"Francq, Christian"
~person:"Hillier, Grant H."
~subject:"Maximum-Likelihood-Schätzung"
~subject:"VAR model"
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Search: subject_exact:"Estimation theory"
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Simulation
Maximum-Likelihood-Schätzung
VAR model
Estimation theory
17
Schätztheorie
17
ARCH model
10
ARCH-Modell
10
Time series analysis
6
Zeitreihenanalyse
6
Maximum likelihood estimation
5
Börsenkurs
4
Estimation
4
Schätzung
4
Share price
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Volatility
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Volatilität
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Risikomaß
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Risk measure
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Asymptotic normality
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Autocorrelation
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Autokorrelation
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Dynamic portfolio
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Filtered historical simulation
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Forecasting model
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Group interaction
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Invertibility
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Portfolio selection
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Portfolio-Management
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Prognoseverfahren
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Quasi-maximum likelihood
2
Regional economics
2
Regionalökonomik
2
Spatial autoregression
2
Statistical test
2
Statistischer Test
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VAR-Modell
2
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Blasques, Francisco
Francq, Christian
Hillier, Grant H.
Lee, Lung-fei
10
Inoue, Atsushi
5
Li, Kunpeng
5
Kilian, Lutz
4
Zakoïan, Jean-Michel
4
Bai, Jushan
3
Hong, Han
3
Pesaran, M. Hashem
3
Poskitt, Donald Stephen
3
Robinson, Peter M.
3
Urga, Giovanni
3
Xu, Xingbai
3
Chen, Xiaohong
2
Chevillon, Guillaume
2
Giesecke, Kay
2
Gouriéroux, Christian
2
Hajivassiliou, Vassilis Argyrou
2
Hall, Alastair R.
2
Huang, Danyang
2
Khalaf, Lynda
2
Kim, Donggyu
2
Komunjer, Ivana
2
Koopman, Siem Jan
2
Kristensen, Dennis
2
Laurent, Sébastien
2
Li, Dong
2
Lu, Lina
2
Martellosio, Federico
2
Mavroeidis, Sophocles
2
Meitz, Mika
2
Monfort, Alain
2
Nason, James Michael
2
Petrova, Katerina
2
Phillips, Peter C. B.
2
Saikkonen, Pentti
2
Su, Liangjun
2
Taylor, Robert
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Journal of econometrics
Discussion paper / Tinbergen Institute
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
CEMMAP working papers / Centre for Microdata Methods and Practice
1
Journal of the American Statistical Association : JASA
1
Tinbergen Institute Discussion Paper 14-029/III
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Tinbergen Institute Discussion Paper 16-082/III
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1
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
2
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:
3
Adjusted QMLE for the spatial autoregressive parameter
Martellosio, Federico
;
Hillier, Grant H.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 488-506
Persistent link: https://www.econbiz.de/10012483409
Saved in:
4
Penalized indirect inference
Blasques, Francisco
;
Duplinskiy, Artem
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 34-54
Persistent link: https://www.econbiz.de/10012110237
Saved in:
5
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:
6
Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
Hillier, Grant H.
;
Martellosio, Federico
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 402-422
Persistent link: https://www.econbiz.de/10012110309
Saved in:
7
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
8
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:
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