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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~person:"Zakoïan, Jean-Michel"
~subject:"Kausalanalyse"
~subject:"Panel study"
~subject:"Stochastic process"
~type_genre:"Government document"
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Volatility
Kausalanalyse
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Estimation theory
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ARCH model
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ARCH-Modell
7
Estimation
4
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4
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Zakoïan, Jean-Michel
Su, Liangjun
11
Todorov, Viktor
10
Baltagi, Badi H.
7
Tauchen, George Eugene
7
Andersen, Torben
6
Bai, Jushan
6
Li, Jia
6
Li, Kunpeng
6
Francq, Christian
5
Gao, Jiti
5
Hsiao, Cheng
5
Kim, Donggyu
5
Lee, Lung-fei
5
Li, Yingying
5
Peng, Bin
5
Phillips, Peter C. B.
5
Li, Guodong
4
Mykland, Per A.
4
Park, Joon Y.
4
Robinson, Peter M.
4
Sarafidis, Vasilis
4
Westerlund, Joakim
4
Yu, Jihai
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Callaway, Brantly
3
Fan, Yanqin
3
Feng, Guohua
3
Fernández-Val, Iván
3
Ghysels, Eric
3
Jin, Sainan
3
Kao, Chihwa
3
Li, Dong
3
Linton, Oliver
3
Lu, Xun
3
Meddahi, Nour
3
Pesaran, M. Hashem
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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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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