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~person:"Francq, Christian"
~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
42
ARCH-Modell
42
Estimation theory
27
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17
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17
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11
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11
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9
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Francq, Christian
Ma, Feng
53
McAleer, Michael
38
Gupta, Rangan
30
Zhang, Yaojie
29
Chang, Chia-Lin
27
Engle, Robert F.
25
Kumar, Dilip
24
Zakoïan, Jean-Michel
23
Bouri, Elie
21
Wang, Yudong
20
Teräsvirta, Timo
19
Kang, Sang Hoon
18
Wei, Yu
18
Hammoudeh, Shawkat
17
Liang, Chao
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
McMillan, David G.
14
Brooks, Robert
13
Ji, Qiang
13
Xuan Vinh Vo
13
Audrino, Francesco
12
Bauwens, Luc
12
Caporale, Guglielmo Maria
12
Filis, George
12
Guesmi, Khaled
12
Manera, Matteo
12
Serletis, Apostolos
12
Li, Yan
11
Linton, Oliver
11
Lu, Xinjie
11
Salisu, Afees A.
11
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10
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7
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2
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2
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1
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ECONIS (ZBW)
27
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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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