Risk-parameter estimation in volatility models
Year of publication: |
2015
|
---|---|
Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 184.2015, 1, p. 158-173
|
Publisher: |
Elsevier |
Subject: | GARCH | Quantile regression | Quasi-maximum likelihood | Risk measures | Value-at-Risk |
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