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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Zakoïan, Jean-Michel"
~subject:"Schätzung"
~subject:"Statistical distribution"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
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USA
Estimation theory
50
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50
ARCH model
23
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23
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23
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23
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14
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14
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11
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
54
Gao, Jiti
46
Linton, Oliver
45
Pesaran, M. Hashem
44
Diebold, Francis X.
33
Koopman, Siem Jan
33
Kapetanios, George
32
Härdle, Wolfgang
27
Cai, Zongwu
26
Koop, Gary
25
Swanson, Norman R.
25
McAleer, Michael
23
Einmahl, John H. J.
22
Marcellino, Massimiliano
22
Heckman, James J.
21
Sentana, Enrique
21
Winkelmann, Rainer
20
Hsu, Yu-Chin
19
Kumbhakar, Subal
19
Lucas, André
19
Tauchen, George Eugene
19
Todorov, Viktor
19
Baltagi, Badi H.
18
Ghysels, Eric
18
Hafner, Christian M.
18
Li, Jia
17
Linton, Oliver B.
17
Su, Liangjun
17
Teräsvirta, Timo
17
Angrist, Joshua D.
16
Chudik, Alexander
16
Fernández-Villaverde, Jesús
16
Gouriéroux, Christian
16
Hsiao, Cheng
16
Jochmans, Koen
16
Kumar, Dilip
16
Li, Yingying
16
Lütkepohl, Helmut
16
Park, Joon Y.
16
Dufour, Jean-Marie
15
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7
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
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2
Annals of economics and statistics
1
CORE discussion paper : DP
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
15
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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
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:
4
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
10
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
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