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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~person:"Zakoïan, Jean-Michel"
~subject:"Börsenkurs"
~subject:"Maximum likelihood estimation"
~subject:"Statistical test"
~type:"article"
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Volatility
Börsenkurs
Maximum likelihood estimation
Statistical test
Estimation theory
8
Schätztheorie
8
ARCH model
7
ARCH-Modell
7
Estimation
4
Schätzung
4
Stochastic process
4
Stochastischer Prozess
4
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Maximum-Likelihood-Schätzung
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VAR model
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VAR-Modell
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Accuracy of VaR estimation
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Capital income
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Compound Poisson process
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Conditional heteroskedasticity
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Confidence intervals for VaR
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Article in journal
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Zakoïan, Jean-Michel
Todorov, Viktor
10
Lee, Lung-fei
8
Francq, Christian
7
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Sun, Yixiao
6
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Kunpeng
5
Li, Yingying
5
Park, Joon Y.
5
Su, Liangjun
5
Andrews, Donald W. K.
4
Aït-Sahalia, Yacine
4
Hsiao, Cheng
4
Li, Dong
4
Li, Qi
4
Mykland, Per A.
4
Phillips, Peter C. B.
4
Robinson, Peter M.
4
Taylor, Robert
4
Varneskov, Rasmus Tangsgaard
4
White, Halbert
4
Zhang, Lan
4
Zhu, Ke
4
Bai, Jushan
3
Baltagi, Badi H.
3
Blasques, Francisco
3
Bollerslev, Tim
3
Cai, Zongwu
3
Chen, Xiaohong
3
Escanciano, Juan Carlos
3
Ghysels, Eric
3
Kristensen, Dennis
3
Lavergne, Pascal
3
Li, Guodong
3
Meddahi, Nour
3
Moreira, Marcelo J.
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of applied econometrics
1
Journal of economic dynamics & control
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Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
6
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1
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
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
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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