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subject:"United States"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Liu, Zhi"
~person:"Zakoïan, Jean-Michel"
~subject:"Börsenkurs"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
Börsenkurs
Estimation theory
9
Schätztheorie
9
ARCH model
7
ARCH-Modell
7
Estimation
5
Schätzung
5
Volatilität
5
Stochastic process
4
Stochastischer Prozess
4
Time series analysis
4
Zeitreihenanalyse
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Risikomaß
3
Risk measure
3
Analysis of variance
2
Capital income
2
Dynamic portfolio
2
Filtered historical simulation
2
Kapitaleinkommen
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Portfolio selection
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Portfolio-Management
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Quasi-maximum likelihood
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Share price
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Simulation
2
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VAR model
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VAR-Modell
2
Varianzanalyse
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1
Aktienindex
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Autocorrelation
1
Autokorrelation
1
Bootstrap approach
1
Bootstrap-Verfahren
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Central limit theorem
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Compound Poisson process
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Liu, Zhi
Zakoïan, Jean-Michel
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
4
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Koopman, Siem Jan
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Xiu, Dacheng
3
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
LaFrance, Jeffrey T.
2
Li, Guodong
2
Li, Wai Keung
2
Mayer, Walter James
2
Mroz, Thomas A.
2
Patton, Andrew J.
2
Pope, Rulon D.
2
Potiron, Yoann
2
Rodrigues, Paulo M. M.
2
Shephard, Neil G.
2
Taylor, Robert
2
Wang, Bin
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
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Journal of econometrics
CORE discussion paper : DP
1
Econometric theory
1
Finance and stochastics
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic dynamics & control
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
1
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1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
5
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1
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:
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
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
4
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:
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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