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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Croux, Christophe"
~person:"Horváth, Lajos"
~subject:"Correlation"
~subject:"Forecasting model"
~subject:"Schätztheorie"
~subject:"Statistical test"
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Volatility
Correlation
Forecasting model
Schätztheorie
Statistical test
Estimation theory
3
ARCH model
2
ARCH-Modell
2
Analysis of variance
1
Bootstrap approach
1
Bootstrap-Verfahren
1
CAPM
1
Estimation
1
Korrelation
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Prognoseverfahren
1
Risikomaß
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Risk measure
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Schätzung
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Varianzanalyse
1
Volatilität
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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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Croux, Christophe
Horváth, Lajos
Chen, Yi-ting
3
Francq, Christian
3
Audrino, Francesco
2
Corsi, Fulvio
2
Engle, Robert F.
2
Frederiksen, Per
2
Gallant, A. Ronald
2
Härdle, Wolfgang
2
Shephard, Neil G.
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Ahn, Seung Chan
1
Amengual, Dante
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Barndorff-Nielsen, Ole E.
1
Bennett, Christopher J.
1
Billio, Monica
1
Birke, Melanie
1
Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Bu, Ruijun
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Candelon, Bertrand
1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Chen, Jiaqin
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Colletaz, Gilbert
1
Conrad, Christian A.
1
Czado, Claudia
1
Czellar, Veronika
1
Denuit, Michel
1
Di, Jianing
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
KBI
24
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
9
Econometric theory
7
Journal of econometrics
2
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Tinbergen Institute
1
Discussion paper series / Center for Economic Studies, Leuven
1
Discussion papers of interdisciplinary research project 373
1
Energy economics
1
European journal of operational research : EJOR
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of forecasting
1
Journal of retailing
1
Metrika : international journal for theoretical and applied statistics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
The econometrics journal
1
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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
Outlyingness weighted covariation
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 657-684
Persistent link: https://www.econbiz.de/10009407333
Saved in:
3
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
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