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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~subject:"Cointegration"
~subject:"Time series analysis"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Estimation theory
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18
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7
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Francq, Christian
Phillips, Peter C. B.
39
Leybourne, Stephen James
18
Linton, Oliver
18
Taylor, Robert
18
Johansen, Søren
17
Lütkepohl, Helmut
17
Harvey, Andrew C.
16
Kumar, Dilip
16
Teräsvirta, Timo
16
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15
Perron, Pierre
15
Gao, Jiti
14
Hassler, Uwe
14
Maheswaran, S.
14
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13
Baltagi, Badi H.
12
Ghysels, Eric
12
Koop, Gary
12
Li, Jia
12
Robinson, Peter M.
12
Todorov, Viktor
12
Xiao, Zhijie
12
Baillie, Richard
11
Koopman, Siem Jan
11
Li, Qi
11
McAleer, Michael
11
Nielsen, Morten Ørregaard
11
Zhu, Ke
11
Bauwens, Luc
10
Cavaliere, Giuseppe
10
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10
Granger, C. W. J.
10
Hendry, David F.
10
Lucas, André
10
Paruolo, Paolo
10
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10
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10
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10
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Journal of econometrics
6
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
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:
2
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:
3
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:
4
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:
5
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:
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
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:
10
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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