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person:"Croux, Christophe"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Dufour, Jean-Marie"
~person:"Francq, Christian"
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Volatility
Estimation theory
13
Schätztheorie
13
ARCH model
10
ARCH-Modell
10
Volatilität
5
Börsenkurs
4
Estimation
4
Schätzung
4
Share price
4
Stochastic process
4
Stochastischer Prozess
4
Time series analysis
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Zeitreihenanalyse
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Monte Carlo simulation
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Risikomaß
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Risk measure
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Statistical test
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Capital income
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Kapitaleinkommen
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Portfolio selection
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Quasi-maximum likelihood
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Simulation
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VAR model
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VAR-Modell
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Accuracy of VaR estimation
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Aktienindex
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Analysis of variance
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Autoregressive Conditional Duration model
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Croux, Christophe
Dufour, Jean-Marie
Francq, Christian
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Guodong
2
Li, Wai Keung
2
Patton, Andrew J.
2
Potiron, Yoann
2
Wang, Bin
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Xiu, Dacheng
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Zhang, Congshan
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Zhang, Zhiyuan
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Zheng, Xinghua
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Zheng, Xu
2
Zhu, Ke
2
Zu, Yang
2
Ahn, Dong-Hyun
1
Ahsan, Nazmul
1
Amengual, Dante
1
Andreou, Elena
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Journal of econometrics
KBI
4
Econometric analysis of financial and economic time series ; part a
1
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
The econometrics journal
1
Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A
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ECONIS (ZBW)
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1
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
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2
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:
3
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:
4
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
5
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
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