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subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~person:"Francq, Christian"
~person:"Meddahi, Nour"
~subject:"Großbritannien"
~subject:"Volatilität"
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Kapitaleinkommen
Großbritannien
Volatilität
Estimation
6
Schätzung
6
Estimation theory
5
Schätztheorie
5
ARCH model
4
ARCH-Modell
4
Volatility
4
Capital income
3
Risikomaß
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Risk measure
3
Dynamic portfolio
2
Filtered historical simulation
2
Measurement
2
Messung
2
Portfolio selection
2
Portfolio-Management
2
Simulation
2
Time series analysis
2
VAR model
2
VAR-Modell
2
Zeitreihenanalyse
2
Accuracy of VaR estimation
1
Analysis of variance
1
Börsenkurs
1
CAPM
1
Confidence intervals for VaR
1
Elliptical distribution
1
Equilibrium asset pricing
1
Estimation risk
1
Forecasting model
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Functional QMLE
1
Functional time series
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GARCH
1
High-dimensional estimation
1
High-frequency data
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High-frequency volatility models
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Francq, Christian
Meddahi, Nour
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
Asai, Manabu
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.
2
Kong, Xin-Bing
2
Li, Yingying
2
Paolella, Marc S.
2
Park, Joon Y.
2
Pelger, Markus
2
Pesaran, M. Hashem
2
Polak, Pawel
2
Quaedvlieg, Rogier
2
Thyrsgaard, Martin
2
Valkanov, Rossen I.
2
Wang, Bin
2
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
AFA 2013 San Diego Meetings Paper
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
IDEI working papers
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
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Staff working paper / Bank of Canada
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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
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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
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:
6
The long and the short of the risk-return trade-off
Bonomo, Marco Antonio
;
Garcia, René
;
Meddahi, Nour
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 580-592
Persistent link: https://www.econbiz.de/10011499780
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