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~person:"Francq, Christian"
~subject:"Aktienmarkt"
~subject:"Measurement"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Measurement
Oil price
Schätztheorie
ARCH model
42
ARCH-Modell
42
Estimation theory
27
Theorie
17
Theory
17
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
9
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9
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9
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9
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GARCH model
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3
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VAR model
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Francq, Christian
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
24
Wang, Yudong
21
Liang, Chao
19
Teräsvirta, Timo
19
Hammoudeh, Shawkat
18
Kang, Sang Hoon
18
Wei, Yu
18
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
Serletis, Apostolos
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
Annals of economics and statistics
2
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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
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ECONIS (ZBW)
28
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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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