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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Audrino, Francesco"
~person:"Horváth, Lajos"
~subject:"Prognoseverfahren"
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Volatility
Prognoseverfahren
Estimation theory
5
Schätztheorie
5
ARCH model
4
ARCH-Modell
4
Estimation
3
Forecasting model
3
Schätzung
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Maximum likelihood estimation
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Volatilität
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Zeitreihenanalyse
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adequacy test for CCC-GARCH models
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bootstrap
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leverage effect
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quasi-maximum-likelihood estimation
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variance-targeting estimator
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Audrino, Francesco
Horváth, Lajos
Francq, Christian
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Gouriéroux, Christian
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Jasiak, Joann
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Zakoïan, Jean-Michel
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
3
Working papers on finance
3
University of St. Gallen Department of Economics Discussion Paper
1
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ECONIS (ZBW)
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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:
2
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:
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
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
4
,
pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
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