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subject:"Simulation"
~isPartOf:"Journal of econometrics"
~person:"Francq, Christian"
~person:"Phillips, Peter C. B."
~subject:"Analysis of variance"
~subject:"Maximum-Likelihood-Schätzung"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Simulation
Analysis of variance
Maximum-Likelihood-Schätzung
Estimation theory
42
Schätztheorie
42
Time series analysis
15
Zeitreihenanalyse
15
ARCH model
10
ARCH-Modell
10
Estimation
9
Schätzung
9
Regression analysis
7
Regressionsanalyse
7
Cointegration
6
Kointegration
6
Theorie
6
Theory
6
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Stochastic process
5
Stochastischer Prozess
5
Einheitswurzeltest
4
Endogeneity
4
Statistical test
4
Statistischer Test
4
Unit root test
4
Volatility
4
Volatilität
4
Börsenkurs
3
Maximum likelihood estimation
3
Panel
3
Panel study
3
Risikomaß
3
Risk measure
3
Share price
3
Statistical distribution
3
Statistische Verteilung
3
Bias
2
Cointegrated system
2
Dynamic portfolio
2
Filtered historical simulation
2
Fixed effects
2
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Aufsatz in Zeitschrift
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5
Conference paper
1
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English
5
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Francq, Christian
Phillips, Peter C. B.
Lee, Lung-fei
9
Bai, Jushan
5
Li, Kunpeng
5
Zakoïan, Jean-Michel
4
Blasques, Francisco
3
Hong, Han
3
Robinson, Peter M.
3
Urga, Giovanni
3
Xu, Xingbai
3
Zheng, Xinghua
3
Chen, Xiaohong
2
Giesecke, Kay
2
Hajivassiliou, Vassilis Argyrou
2
Hall, Alastair R.
2
Hillier, Grant H.
2
Huang, Danyang
2
Khalaf, Lynda
2
Kim, Donggyu
2
Komunjer, Ivana
2
Koopman, Siem Jan
2
Kristensen, Dennis
2
Li, Dong
2
Li, Yingying
2
Liao, Yuan
2
Lu, Lina
2
Martellosio, Federico
2
Nason, James Michael
2
Ng, Serena
2
Pesaran, M. Hashem
2
Poskitt, Donald Stephen
2
Su, Liangjun
2
Wang, Hansheng
2
Wang, Yazhen
2
Wooldridge, Jeffrey M.
2
Xiu, Dacheng
2
Zhu, Xuening
2
Allen, David E.
1
Amengual, Dante
1
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Journal of the American Statistical Association : JASA
1
Oxford bulletin of economics and statistics
1
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ECONIS (ZBW)
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1
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:
2
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:
3
Model selection in the presence of incidental parameters
Lee, Yoonseok
;
Phillips, Peter C. B.
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 474-489
Persistent link: https://www.econbiz.de/10011503635
Saved in:
4
First difference maximum likelihood and dynamic panel estimation
Han, Chirok
;
Phillips, Peter C. B.
- In:
Journal of econometrics
175
(
2013
)
1
,
pp. 35-45
Persistent link: https://www.econbiz.de/10009749365
Saved in:
5
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
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