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person:"Rombouts, Jeroen V. K."
~isPartOf:"Annals of economics and statistics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Francq, Christian"
~subject:"Forecasting model"
~subject:"Schätzung"
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Search: subject_exact:"GARCH model"
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Forecasting model
Schätzung
ARCH model
4
ARCH-Modell
4
Estimation theory
3
Risikomaß
3
Risk measure
3
Schätztheorie
3
Estimation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Measurement
2
Messung
2
Value-at-Risk
2
Volatility
2
Volatilität
2
Asymmetric Power GARCH
1
Bootstrap approach
1
Bootstrap-Verfahren
1
Distortion Risk Measures
1
Estimation Risk
1
GARCH
1
Liquidity
1
Liquidität
1
Non-Gaussian Quasi-Maximum Likelihood
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Prognoseverfahren
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Quasi-Maximum Likelihood
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Risiko
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Risikomanagement
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Risk
1
Risk management
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Risk measures
1
Theorie
1
Theory
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adequacy test for CCC-GARCH models
1
bootstrap
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leverage effect
1
quasi-maximum-likelihood estimation
1
variance-targeting estimator
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Rombouts, Jeroen V. K.
Francq, Christian
Zakoïan, Jean-Michel
3
Engle, Robert F.
2
Ghysels, Eric
2
Horváth, Lajos
2
Olmo, Jose
2
Trojani, Fabio
2
Aguilar, Mike
1
Ahoniemi, Katja
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Audrino, Francesco
1
Babikir, Ali
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Badescu, Alexandru
1
Barunik, Jozef
1
Caldeira, João F.
1
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1
Chen, Yi-ting
1
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1
Durham, Garland
1
Escanciano, J. Carlos
1
Fleming, Jeff
1
Fuertes, Ana María
1
Gagliardini, Patrick
1
Garcia, René
1
Geweke, John
1
Golosnoy, Vasyl
1
Haas, Markus
1
Halbleib, Roxana
1
Hao, Jinji
1
Hassan, Mohammed Elamin
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Jondeau, Eric
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Kasch-Haroutounian, Maria
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Kirby, Chris
1
Lanne, Markku
1
Mancini, Loriano
1
Mittnik, Stefan
1
Moura, Guilherme Valle
1
Mwambi, Henry
1
Nogales, Francisco J.
1
Okhrin, Irena
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Ortega, Juan-Pablo
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Annals of economics and statistics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
7
CORE discussion papers : DP
2
International journal of forecasting
2
CORE discussion paper : DP
1
Cahiers de recherche / HEC Montréal, Institut d'Economie Appliquée
1
Journal of applied econometrics
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
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
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1
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
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
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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