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subject:"Volatility"
type_genre:"Article in journal"
~language:"eng"
~person:"Zakoïan, Jean-Michel"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
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Estimation theory
23
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23
ARCH model
14
ARCH-Modell
14
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7
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7
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6
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6
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6
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5
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Article in journal
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Zakoïan, Jean-Michel
Kumar, Dilip
16
Maheswaran, S.
15
Francq, Christian
12
Li, Jia
12
Todorov, Viktor
12
Bera, Anil K.
11
Tauchen, George Eugene
11
Shi, Xiaoxia
10
Baltagi, Badi H.
9
Cai, Zongwu
9
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9
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9
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9
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9
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9
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8
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8
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8
Su, Liangjun
8
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8
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7
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7
Demetrescu, Matei
7
Escanciano, Juan Carlos
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Kleibergen, Frank
7
Li, Yingying
7
Mykland, Per A.
7
Sentana, Enrique
7
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6
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6
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6
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6
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6
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6
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6
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6
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Journal of econometrics
5
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
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
10
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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
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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
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:
8
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
9
Threshold heteroskedastic models
Zakoïan, Jean-Michel
- In:
Journal of economic dynamics & control
18
(
1994
)
5
,
pp. 931-955
Persistent link: https://www.econbiz.de/10001168038
Saved in:
10
Threshold arch models and asymmetries in volatility
Rabemananjara, R.
- In:
Journal of applied econometrics
8
(
1993
)
1
,
pp. 31-49
Persistent link: https://www.econbiz.de/10001139585
Saved in:
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