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subject:"Volatility"
type_genre:"Article in journal"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"Regressionsanalyse"
~type_genre:"Bibliografie enthalten"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Regressionsanalyse
Estimation theory
46
Schätztheorie
46
Theorie
23
Theory
23
ARCH model
22
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Estimation
10
Schätzung
10
Time series analysis
10
Zeitreihenanalyse
10
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Risk measure
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Share price
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Stochastic process
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Stochastischer Prozess
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Volatilität
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France
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VAR model
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VAR-Modell
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1987-1993
2
Bootstrap approach
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Conditional heteroskedasticity
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Article
14
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Bibliografie enthalten
Graue Literatur
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9
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23
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
55
Härdle, Wolfgang
52
Linton, Oliver
46
Dette, Holger
38
Gao, Jiti
30
Chernozhukov, Victor
27
Francq, Christian
27
Cai, Zongwu
26
Otsu, Taisuke
22
Hafner, Christian M.
21
Croux, Christophe
20
Su, Liangjun
19
Arai, Yoichi
18
Hansen, Christian Bailey
18
Teräsvirta, Timo
18
Weidner, Martin
18
Yang, Lijian
18
Florens, Jean-Pierre
17
Koopman, Siem Jan
16
Kumar, Dilip
16
Li, Degui
16
Todorov, Viktor
16
Xiao, Zhijie
16
Chen, Songnian
15
Kapetanios, George
15
Rahbek, Anders
15
Tauchen, George Eugene
15
Belloni, Alexandre
14
Cattaneo, Matias D.
14
Li, Jia
14
Maheswaran, S.
14
Newey, Whitney K.
14
Racine, Jeffrey
14
Taylor, Robert
14
Andersen, Torben
13
Feng, Yuanhua
13
Jochmans, Koen
13
Koop, Gary
13
Li, Qi
13
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Journal of econometrics
7
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
23
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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
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
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
4
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:
5
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:
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
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
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
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
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
1
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