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type_genre:"Bibliography included"
type_genre:"Publication in honor of a person"
~person:"Francq, Christian"
~subject:"ARCH-Modell"
~subject:"Geldpolitik"
~subject:"Statistische Methodenlehre"
~type_genre:"Article in journal"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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ARCH-Modell
Geldpolitik
Statistische Methodenlehre
Estimation theory
41
Schätztheorie
41
ARCH model
26
Theorie
15
Theory
15
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Time series analysis
9
Zeitreihenanalyse
9
Estimation
8
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8
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8
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8
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7
Volatilität
7
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4
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3
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VAR model
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VAR-Modell
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Francq, Christian
Zakoïan, Jean-Michel
22
Teräsvirta, Timo
18
Lütkepohl, Helmut
17
Rahbek, Anders
15
Bauwens, Luc
13
Hafner, Christian M.
13
Linton, Oliver
13
McAleer, Michael
13
Kumar, Dilip
12
Audrino, Francesco
10
Sheppard, Kevin
10
White, Halbert
10
Winker, Peter
10
Robert, Christian P.
9
Angrist, Joshua D.
8
Engle, Robert F.
8
Kilian, Lutz
8
Pedersen, Rasmus Søndergaard
8
Preminger, Arie
8
Silvennoinen, Annastiina
8
Andrews, Donald W. K.
7
Ardia, David
7
Carnero, M. Angeles
7
Dufour, Jean-Marie
7
Ghysels, Eric
7
Hall, Alastair R.
7
Ling, Shiqing
7
Lucas, André
7
Shephard, Neil G.
7
Trojani, Fabio
7
Bera, Anil K.
6
Cavaliere, Giuseppe
6
Giraitis, Liudas
6
Horváth, Lajos
6
King, Maxwell L.
6
Krämer, Walter
6
Maheswaran, S.
6
Phillips, Peter C. B.
6
Ploberger, Werner
6
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Journal of econometrics
10
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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
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ECONIS (ZBW)
26
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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
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:
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
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:
5
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:
6
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:
7
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:
8
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:
9
Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian
;
Jiménez-Gamero, M. D.
;
Meintanis, S. G.
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
Saved in:
10
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:
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