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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Wang, Jying-Nan"
~person:"Zakoïan, Jean-Michel"
~subject:"Estimation"
~subject:"Zustandsraummodell"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Zustandsraummodell
Estimation theory
42
Schätztheorie
42
ARCH model
17
ARCH-Modell
17
Time series analysis
16
Zeitreihenanalyse
16
Volatilität
14
Schätzung
11
Theorie
11
Theory
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Börsenkurs
7
Forecasting model
7
Prognoseverfahren
7
Risikomaß
7
Risk measure
7
Share price
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Stochastic process
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Stochastischer Prozess
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Monte Carlo simulation
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Analysis of variance
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Autokorrelation
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Capital income
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Kalman filter
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Kapitaleinkommen
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Simulation
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State space model
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Statistical test
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Statistischer Test
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Value-at-Risk
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Varianzanalyse
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Aktienindex
2
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Article
18
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Article in journal
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18
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Koopman, Siem Jan
Wang, Jying-Nan
Zakoïan, Jean-Michel
Kumar, Dilip
16
Kumbhakar, Subal
15
Maheswaran, S.
15
Su, Liangjun
13
Tauchen, George Eugene
13
Gao, Jiti
12
Li, Jia
12
Linton, Oliver
12
Todorov, Viktor
12
Francq, Christian
9
Ghysels, Eric
9
Kapetanios, George
9
Baltagi, Badi H.
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Koop, Gary
8
Lee, Lung-fei
8
Li, Qi
8
Liu, Zhi
8
Phillips, Peter C. B.
8
Ramírez, Miguel D.
8
Teräsvirta, Timo
8
Tsionas, Efthymios G.
8
Andersen, Torben
7
Bollerslev, Tim
7
Cai, Zongwu
7
Gouriéroux, Christian
7
Hafner, Christian M.
7
Jochmans, Koen
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Park, Joon Y.
7
Bauwens, Luc
6
Demetrescu, Matei
6
Egger, Peter
6
Fan, Jianqing
6
Härdle, Wolfgang
6
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Journal of econometrics
8
Econometric reviews
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
International journal of economics and finance
1
International journal of economics and financial issues : IJEFI
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
18
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1
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
2
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:
3
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:
4
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
Saved in:
5
How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index
Wang, Jying-Nan
;
Hsu, Yuan-Teng
;
Liu, Hung-Chun
- In:
International journal of economics and financial issues …
4
(
2014
)
3
,
pp. 651-656
Persistent link: https://www.econbiz.de/10010526918
Saved in:
6
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:
7
Analyzing the downside risk of exchange-traded funds : do the volatility estimators matter?
Wang, Jying-Nan
;
Chen, Lu-Jui
;
Liu, Hung-Chun
;
Hsu, …
- In:
International journal of economics and finance
8
(
2016
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10011422541
Saved in:
8
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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
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
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