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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~subject:"Cointegration"
~subject:"Time series analysis"
~subject:"USA"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Cointegration
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USA
Estimation theory
41
Schätztheorie
41
ARCH model
26
ARCH-Modell
26
Theorie
15
Theory
15
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
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9
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8
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8
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8
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13
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Francq, Christian
Phillips, Peter C. B.
74
Gao, Jiti
54
Johansen, Søren
44
Koopman, Siem Jan
42
Lütkepohl, Helmut
40
Nielsen, Morten Ørregaard
38
Teräsvirta, Timo
38
Franses, Philip Hans
32
Linton, Oliver
29
Pesaran, M. Hashem
28
Taylor, Robert
28
Lucas, André
27
Kapetanios, George
25
Koop, Gary
25
Sibbertsen, Philipp
25
Maravall Herrero, Agustín
23
Swanson, Norman R.
23
Chambers, Marcus J.
22
Gouriéroux, Christian
22
Peng, Bin
22
Bauwens, Luc
21
Härdle, Wolfgang
21
Cavaliere, Giuseppe
20
Diebold, Francis X.
20
Ghysels, Eric
19
Harvey, Andrew C.
19
Leybourne, Stephen James
19
McAleer, Michael
19
Sentana, Enrique
19
Hassler, Uwe
18
Perron, Pierre
18
Hyndman, Rob J.
17
Li, Degui
17
Nielsen, Bent
17
Rahbek, Anders
17
Robinson, Peter M.
17
Tauchen, George Eugene
17
Wagner, Martin
17
Boswijk, Herman Peter
16
Caporale, Guglielmo Maria
16
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Journal of econometrics
6
Econometric theory
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
13
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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
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
3
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:
4
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
5
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:
6
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
7
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:
8
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:
9
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:
10
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:
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