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subject:"Zeitreihenanalyse"
~person:"Zakoïan, Jean-Michel"
~source:"econis"
~subject:"Kapitaleinkommen"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Conference paper"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Kapitaleinkommen
Estimation theory
26
Schätztheorie
26
ARCH model
15
ARCH-Modell
15
Theorie
9
Theory
9
Time series analysis
8
Estimation
6
Schätzung
6
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Volatility
5
Volatilität
5
Börsenkurs
4
Share price
4
Stochastic process
4
Stochastischer Prozess
4
Autocorrelation
2
Autokorrelation
2
Bootstrap approach
2
Bootstrap-Verfahren
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Dynamic portfolio
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Filtered historical simulation
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Forecasting model
2
France
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Frankreich
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Measurement
2
Messung
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Portfolio selection
2
Portfolio-Management
2
Prognoseverfahren
2
Quasi-maximum likelihood
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Simulation
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2
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VAR model
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Aufsatz im Buch
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8
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5
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Graue Literatur
3
Non-commercial literature
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English
8
French
1
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Zakoïan, Jean-Michel
Phillips, Peter C. B.
29
Linton, Oliver
19
Leybourne, Stephen James
18
Taylor, Robert
18
Harvey, Andrew C.
17
Lütkepohl, Helmut
17
Teräsvirta, Timo
17
Gao, Jiti
16
Johansen, Søren
16
Chambers, Marcus J.
13
Hassler, Uwe
13
Kumar, Dilip
13
Perron, Pierre
13
Maheswaran, S.
12
Xiao, Zhijie
12
Baillie, Richard
11
Granger, C. W. J.
11
Kapetanios, George
11
Robinson, Peter M.
11
Tauchen, George Eugene
11
Hendry, David F.
10
Koop, Gary
10
Zhu, Ke
10
Bauwens, Luc
9
Chan, Ngai Hang
9
Demetrescu, Matei
9
Engle, Robert F.
9
Franses, Philip Hans
9
Ghysels, Eric
9
Harvey, David I.
9
Koopman, Siem Jan
9
Li, Jia
9
Li, Qi
9
Lucas, André
9
McAleer, Michael
9
McElroy, Tucker
9
Pesaran, M. Hashem
9
Sun, Yixiao
9
Westerlund, Joakim
9
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Published in...
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Journal of econometrics
4
Econometric theory
2
Handbook of financial time series
1
Journal de la Société de Statistique de Paris
1
Journal of empirical finance
1
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ECONIS (ZBW)
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
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
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:
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
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:
6
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Handbook of financial time series
,
(pp. 85-111)
.
2009
Persistent link: https://www.econbiz.de/10003833783
Saved in:
7
Quasi-indirect inference for diffusion processes
Broze, Laurence
- In:
Econometric theory
14
(
1998
)
2
,
pp. 161-186
Persistent link: https://www.econbiz.de/10001245312
Saved in:
8
Testing for continuous-time models of the short-term interest rate
Broze, Laurence
- In:
Journal of empirical finance
2
(
1995
)
3
,
pp. 199-223
Persistent link: https://www.econbiz.de/10001203345
Saved in:
9
Modèles ARCH : une revue de la littérature
Zakoïan, Jean-Michel
- In:
Journal de la Société de Statistique de Paris
133
(
1992
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10001128098
Saved in:
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