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subject:"Exchange rate"
subject:"Rationale Erwartung"
~person:"Francq, Christian"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Risk measure"
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Exchange rate
Rationale Erwartung
Maximum-Likelihood-Schätzung
Risk measure
Estimation theory
43
Schätztheorie
43
ARCH model
27
ARCH-Modell
27
Theorie
15
Theory
15
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
9
Estimation
8
Risikomaß
8
Schätzung
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Volatility
7
Volatilität
7
Autocorrelation
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Börsenkurs
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Forecasting model
3
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Measurement
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Messung
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Prognoseverfahren
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Statistical distribution
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Statistical test
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Statistischer Test
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3
Stochastischer Prozess
3
VAR model
3
VAR-Modell
3
ARMA model
2
ARMA-Modell
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13
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Francq, Christian
Koopman, Siem Jan
23
Lee, Lung-fei
22
Pesaran, M. Hashem
20
Diebold, Francis X.
16
Zakoïan, Jean-Michel
15
Brandt, Michael W.
13
Lucas, André
13
Härdle, Wolfgang
12
Fiorentini, Gabriele
11
Gouriéroux, Christian
11
Sentana, Enrique
11
Blasques, Francisco
10
Hayakawa, Kazuhiko
10
McAleer, Michael
10
Phillips, Peter C. B.
10
Ardia, David
9
Nielsen, Morten Ørregaard
9
Pfaffermayr, Michael
9
Alizadeh, Sassan
8
Christopeit, Norbert
8
Jin, Fei
8
Magnus, Jan R.
8
Sargent, Thomas J.
8
Christiano, Lawrence J.
7
Fair, Ray C.
7
Hurn, Stan
7
Kukacka, Jiri
7
Massmann, Michael
7
Pittis, Nikitas
7
Tsionas, Efthymios G.
7
Vigfusson, Robert J.
7
West, Kenneth D.
7
Winkelmann, Rainer
7
Bao, Yong
6
Cai, Zongwu
6
Caporale, Guglielmo Maria
6
Cavaliere, Giuseppe
6
Cheung, Yin-Wong
6
Huschens, Stefan
6
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Journal of econometrics
4
Série des documents de travail / Centre de Recherche en Économie et Statistique
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Journal of the American Statistical Association : JASA
1
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ECONIS (ZBW)
13
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
4
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:
5
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:
6
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:
7
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
8
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
Saved in:
9
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:
10
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:
1
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