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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~subject:"Statistical test"
~subject:"Statistischer Test"
~subject:"Theorie"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Statistischer Test
Theorie
Estimation theory
41
Schätztheorie
41
ARCH model
26
ARCH-Modell
26
Theory
15
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Time series analysis
9
Zeitreihenanalyse
9
Estimation
8
Risikomaß
8
Risk measure
8
Schätzung
8
Volatilität
7
Börsenkurs
4
Share price
4
Autocorrelation
3
Autokorrelation
3
Forecasting model
3
Heteroscedasticity
3
Heteroskedastizität
3
Measurement
3
Messung
3
Prognoseverfahren
3
Statistical distribution
3
Statistische Verteilung
3
Stochastic process
3
Stochastischer Prozess
3
VAR model
3
VAR-Modell
3
ARMA model
2
ARMA-Modell
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Capital income
2
Conditional heteroskedasticity
2
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7
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1
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Article
12
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12
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Article in journal
Arbeitspapier
Aufsatz in Zeitschrift
12
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12
Non-commercial literature
12
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12
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6
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6
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English
24
Author
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Francq, Christian
Phillips, Peter C. B.
81
Härdle, Wolfgang
70
Pesaran, M. Hashem
62
Andrews, Donald W. K.
54
McAleer, Michael
45
Gouriéroux, Christian
43
Franses, Philip Hans
42
Newey, Whitney K.
41
Swanson, Norman R.
38
Sentana, Enrique
37
Bera, Anil K.
36
Dufour, Jean-Marie
34
Giles, David E. A.
34
Imbens, Guido
34
Baltagi, Badi H.
33
Horowitz, Joel
32
Teräsvirta, Timo
32
Robinson, Peter M.
31
Kleibergen, Frank
30
Zakoïan, Jean-Michel
30
Li, Qi
29
Heckman, James J.
28
Fiorentini, Gabriele
27
King, Maxwell L.
27
Diebold, Francis X.
26
Kohn, Robert
26
Linton, Oliver
26
Chernozhukov, Victor
25
Kiviet, J. F.
25
Lucas, André
25
White, Halbert
25
Ghysels, Eric
24
Maravall Herrero, Agustín
24
Ohtani, Kazuhiro
24
Perron, Pierre
24
Stahlecker, Peter
24
Granger, C. W. J.
23
Robert, Christian P.
23
Krämer, Walter
22
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Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Journal of econometrics
6
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
5
Econometric theory
2
CORE discussion paper : DP
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
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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ECONIS (ZBW)
24
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
7
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:
8
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:
9
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:
10
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
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