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~subject:"Maximum likelihood estimation"
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Maximum likelihood estimation
Estimation theory
63
Schätztheorie
63
Theorie
61
Theory
61
ARCH model
46
ARCH-Modell
45
Time series analysis
32
Zeitreihenanalyse
32
Maximum-Likelihood-Schätzung
16
Estimation
14
Schätzung
14
GARCH
12
Risikomaß
11
Risk measure
11
Stochastic process
11
Stochastischer Prozess
11
Volatility
11
Volatilität
11
Börsenkurs
9
Induktive Statistik
9
Share price
9
Statistical inference
9
ARMA model
7
ARMA-Modell
7
Quasi Maximum Likelihood Estimation
7
Quasi-maximum likelihood
7
Rationale Erwartung
6
Statistical distribution
6
Statistical test
6
Statistische Verteilung
6
Statistischer Test
6
Value-at-Risk
6
Autocorrelation
5
Autokorrelation
5
Capital income
5
EGARCH
5
France
5
Frankreich
5
Heteroscedasticity
5
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9
Article
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English
16
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Zakoïan, Jean-Michel
13
Francq, Christian
12
Gouriéroux, Christian
2
Horváth, Lajos
2
Li, Dong
2
Ling, Shiqing
2
Broze, Laurence
1
Monfort, Alain
1
Sucarrat, Genaro
1
Wintenberger, Olivier
1
Zakoïan, Jean-Michael
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Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
1
Série des documents de travail
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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ECONIS (ZBW)
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Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
2
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
3
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
4
Estimating the marginal law of a time series with applications to heavy tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
-
2011
Persistent link: https://www.econbiz.de/10009552653
Saved in:
5
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
6
Estimating the marginal law of a time series with applications to heavy-tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 412-425
Persistent link: https://www.econbiz.de/10010337860
Saved in:
7
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
8
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
9
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
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
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