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~person:"Francq, Christian"
~person:"Serletis, Apostolos"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Oil price
Schätztheorie
ARCH model
74
ARCH-Modell
74
Volatility
29
Volatilität
29
Estimation theory
27
Theorie
25
Theory
25
Estimation
14
Schätzung
14
Ölpreis
12
Time series analysis
11
Zeitreihenanalyse
11
VAR model
10
VAR-Modell
10
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Risikomaß
9
Risk measure
9
Financial market
7
Finanzmarkt
7
Börsenkurs
6
GARCH
6
GARCH-in-Mean model
6
Induktive Statistik
6
Share price
6
Statistical inference
6
Capital income
5
Inflation expectations
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Inflationserwartung
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Kapitaleinkommen
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Markov chain
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Markov-Kette
5
Spillover effect
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Spillover-Effekt
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Forecasting model
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English
39
Author
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Francq, Christian
Serletis, Apostolos
Ma, Feng
58
McAleer, Michael
38
Gupta, Rangan
34
Zhang, Yaojie
30
Chang, Chia-Lin
27
Bouri, Elie
26
Engle, Robert F.
25
Kumar, Dilip
24
Zakoïan, Jean-Michel
23
Wang, Yudong
21
Liang, Chao
19
Teräsvirta, Timo
19
Kang, Sang Hoon
18
Wei, Yu
18
Hammoudeh, Shawkat
17
Hafner, Christian M.
16
Nguyen, Duc Khuong
16
Rahbek, Anders
16
Yoon, Seong-min
16
Mensi, Walid
15
Sheppard, Kevin
15
Ardia, David
14
Chiang, Thomas C.
14
Ji, Qiang
14
McMillan, David G.
14
Brooks, Robert
13
Filis, George
13
Salisu, Afees A.
13
Xuan Vinh Vo
13
Audrino, Francesco
12
Bauwens, Luc
12
Caporale, Guglielmo Maria
12
Guesmi, Khaled
12
Manera, Matteo
12
Li, Yan
11
Linton, Oliver
11
Lu, Xinjie
11
Wang, Jiqian
11
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Energy economics
4
Macroeconomic dynamics
4
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Behavioral Finance and Asset Prices : The Influence of Investor's Emotions
1
Discussion paper / Department of Business and Management Science
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economics and finance : JEF
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Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
39
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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 and dependence in energy markets
Liu, Jinan
;
Serletis, Apostolos
- In:
Journal of economics and finance : JEF
47
(
2023
)
1
,
pp. 15-37
Persistent link: https://www.econbiz.de/10014227687
Saved in:
4
Oil price uncertainty : panel evidence from the G7 and BRICS countries
Serletis, Apostolos
;
Xu, Libo
- In:
Behavioral Finance and Asset Prices : The Influence of …
,
(pp. 3-21)
.
2023
Persistent link: https://www.econbiz.de/10014282544
Saved in:
5
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:
6
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:
7
Oil prices and the renewable energy sector
Kyritsis, Evangelos
;
Serletis, Apostolos
-
2017
Persistent link: https://www.econbiz.de/10011752693
Saved in:
8
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:
9
150 years of the oil price-macroeconomy relationship
Serletis, Apostolos
;
Mehmandosti, Elaheh Asadi
- In:
Macroeconomic dynamics
23
(
2019
)
3
,
pp. 1302-1311
Persistent link: https://www.econbiz.de/10012126896
Saved in:
10
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:
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