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subject:"Volatility"
~person:"Francq, Christian"
~subject:"ARCH-Modell"
~subject:"Monte Carlo simulation"
~subject:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
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Schätzung
Estimation theory
43
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43
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27
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15
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15
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11
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11
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9
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Francq, Christian
Pesaran, M. Hashem
49
Linton, Oliver
46
Gao, Jiti
45
Kapetanios, George
36
Koopman, Siem Jan
32
Diebold, Francis X.
29
Hafner, Christian M.
28
Härdle, Wolfgang
27
Schorfheide, Frank
27
Zakoïan, Jean-Michel
27
Lechner, Michael
26
Marcellino, Massimiliano
25
Cai, Zongwu
24
Koop, Gary
24
Lütkepohl, Helmut
23
Teräsvirta, Timo
22
Baltagi, Badi H.
21
Swanson, Norman R.
21
Winkelmann, Rainer
21
Dufour, Jean-Marie
20
Hsu, Yu-Chin
19
McAleer, Michael
19
Rahbek, Anders
19
Tauchen, George Eugene
19
Todorov, Viktor
19
Audrino, Francesco
18
Chudik, Alexander
18
Fernández-Villaverde, Jesús
18
Kitagawa, Toru
18
Kristensen, Dennis
18
Li, Jia
18
Phillips, Peter C. B.
18
Sentana, Enrique
18
Engle, Robert F.
17
Kumbhakar, Subal
17
Weidner, Martin
17
Cavaliere, Giuseppe
16
Ghysels, Eric
16
Gouriéroux, Christian
16
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
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
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:
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
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:
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
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:
9
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:
10
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
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