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subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~person:"Francq, Christian"
~subject:"Großbritannien"
~subject:"Volatilität"
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Kapitaleinkommen
Großbritannien
Volatilität
Estimation
6
Schätzung
6
Volatility
5
ARCH model
4
ARCH-Modell
4
Estimation theory
4
Schätztheorie
4
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Risk measure
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Accuracy of VaR estimation
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Börsenkurs
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Confidence intervals for VaR
1
Dimension reduction
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Elliptical distribution
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Asai, Manabu
Francq, Christian
Todorov, Viktor
14
Bollerslev, Tim
8
Tauchen, George Eugene
7
Andersen, Torben
5
Kim, Donggyu
5
Li, Jia
5
Aït-Sahalia, Yacine
4
Xiu, Dacheng
4
Zakoïan, Jean-Michel
4
Fan, Jianqing
3
McAleer, Michael
3
Patton, Andrew J.
3
Taylor, Robert
3
Wang, Yazhen
3
Andreou, Elena
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Christensen, Kim
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Gallo, Giampiero M.
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hallin, Marc
2
Harvey, Andrew C.
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Kong, Xin-Bing
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Li, Yingying
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Meddahi, Nour
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Paolella, Marc S.
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Park, Joon Y.
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Pelger, Markus
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Pesaran, M. Hashem
2
Polak, Pawel
2
Quaedvlieg, Rogier
2
Thyrsgaard, Martin
2
Valkanov, Rossen I.
2
Wang, Bin
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Journal of econometrics
Econometric Institute research papers
6
Discussion paper / Tinbergen Institute
3
Econometric reviews
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The econometrics journal
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Asia-Pacific financial markets
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Econometrics : open access journal
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Handbook of financial time series
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International journal of finance & economics : IJFE
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International journal of forecasting
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International review of economics & finance : IREF
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
6
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1
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:
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
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
5
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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
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