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subject:"Volatility"
~person:"Gouriéroux, Christian"
~subject:"Nichtparametrisches Verfahren"
~type_genre:"Arbeitspapier"
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Volatility
Nichtparametrisches Verfahren
Estimation theory
45
Schätztheorie
45
Theorie
22
Theory
22
Time series analysis
13
Zeitreihenanalyse
13
Core
5
Volatilität
5
Estimation
4
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4
Maximum likelihood estimation
4
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4
Nonparametric statistics
4
Risikomanagement
4
Risikomaß
4
Risk management
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VAR model
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4
Composite Likelihood
3
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3
Pseudo Maximum Likelihood
3
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Shock
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2
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Composite Pseudo-Likelihood
2
Corporate Risk
2
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Impulse Response Functions
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Independent Component Analysis
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2
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Gouriéroux, Christian
Härdle, Wolfgang
39
Linton, Oliver
39
Gao, Jiti
37
Chen, Xiaohong
28
Newey, Whitney K.
23
Hoderlein, Stefan
21
Dette, Holger
20
Cai, Zongwu
19
Horowitz, Joel
19
Lewbel, Arthur
15
Mammen, Enno
14
Simar, Léopold
14
Van Keilegom, Ingrid
14
Chernozhukov, Victor
13
Feng, Yuanhua
13
Lee, Sokbae
13
Neumeyer, Natalie
13
Reiß, Markus
13
Florens, Jean-Pierre
12
Hu, Yingyao
12
Phillips, Peter C. B.
12
Breunig, Christoph
11
Ichimura, Hidehiko
11
Koopman, Siem Jan
11
Scaillet, Olivier
11
Fang, Ying
10
Gooijer, Jan G. de
10
Racine, Jeffrey
10
Sibbertsen, Philipp
10
Berg, Gerard J. van den
9
Bouezmarni, Taoufik
9
Hallin, Marc
9
Kristensen, Dennis
9
Otsu, Taisuke
9
Rothe, Christoph
9
Spokojnyj, Vladimir G.
9
Vella, Francis
9
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8
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Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Série des documents de travail
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
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ECONIS (ZBW)
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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:
2
A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian
;
Lu, Yang
-
2016
Persistent link: https://www.econbiz.de/10012196330
Saved in:
3
Semi-parametric estimation of noncausal vector autoregression
Gouriéroux, Christian
;
Jasiak, Joann
-
2015
Persistent link: https://www.econbiz.de/10011288580
Saved in:
4
Revisiting identification and estimation in structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
-
2014
-
rev. October 2014
Persistent link: https://www.econbiz.de/10010465167
Saved in:
5
A degeneracy in the analysis of volatility and covolatility effects
Gouriéroux, Christian
;
Jasiak, Joann
-
2006
Persistent link: https://www.econbiz.de/10003468054
Saved in:
6
(Non) consistency of the beta kernel estimator for recovery rate distribution
Gouriéroux, Christian
;
Monfort, Alain
-
2006
Persistent link: https://www.econbiz.de/10003468607
Saved in:
7
The wishart autoregressive of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
-
2004
Persistent link: https://www.econbiz.de/10002597955
Saved in:
8
Constrained nonparametric copulas
Gagliardini, Patrick
;
Gouriéroux, Christian
-
2002
Persistent link: https://www.econbiz.de/10001714340
Saved in:
9
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
-
1997
Persistent link: https://www.econbiz.de/10000980453
Saved in:
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