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~person:"Francq, Christian"
~person:"Imbens, Guido"
~person:"Linton, Oliver"
~subject:"ARCH model"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
115
Schätztheorie
115
Nichtparametrisches Verfahren
42
Nonparametric statistics
42
Theorie
27
Theory
27
ARCH-Modell
23
Time series analysis
22
Zeitreihenanalyse
22
Regression analysis
21
Regressionsanalyse
21
Estimation
17
Schätzung
17
Volatility
10
Volatilität
10
Statistical distribution
7
Statistical test
7
Statistische Verteilung
7
Statistischer Test
7
Matching
6
Börsenkurs
5
Capital income
5
Causality analysis
5
Correlation
5
Induktive Statistik
5
Kapitaleinkommen
5
Kausalanalyse
5
Korrelation
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Semiparametric estimation
5
Share price
5
Statistical inference
5
Stochastic process
5
Stochastischer Prozess
5
Bootstrap approach
4
Bootstrap-Verfahren
4
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23
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Article in journal
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23
Arbeitspapier
14
Graue Literatur
14
Non-commercial literature
14
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14
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1
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English
23
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Francq, Christian
Imbens, Guido
Linton, Oliver
Zakoïan, Jean-Michel
14
Kumar, Dilip
12
Rahbek, Anders
8
Teräsvirta, Timo
8
Ardia, David
6
Ling, Shiqing
6
Maheswaran, S.
6
Bauwens, Luc
5
Hafner, Christian M.
5
Horváth, Lajos
5
Li, Guodong
5
McAleer, Michael
5
Sucarrat, Genaro
5
Zhu, Ke
5
Arvanitis, Stelios
4
Carnero, M. Angeles
4
Kim, Jong-Min
4
Li, Dong
4
Li, Wai Keung
4
Paolella, Marc S.
4
Pedersen, Rasmus Søndergaard
4
Silvennoinen, Annastiina
4
Zhang, Rongmao
4
Amado, Cristina
3
Asai, Manabu
3
Blazsek, Szabolcs
3
Chan, Ngai Hang
3
Elliott, Robert J.
3
Engle, Robert F.
3
Escribano, Álvaro
3
Feng, Yuanhua
3
Iglesias, Emma M.
3
Jensen, Søren Tolver
3
Jondeau, Eric
3
Jung, Hojin
3
Kim, Donggyu
3
Kokoszka, Piotr
3
Kristensen, Dennis
3
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Journal of econometrics
10
Econometric theory
7
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 business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
1
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ECONIS (ZBW)
23
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1
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:
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
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:
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
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:
8
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:
9
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:
10
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:
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