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~institution:"Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)"
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GARCH
2
Compound Poisson process
1
Distortion Risk Measures
1
Dynamic Conditional Correlations
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Quasi Maximum Likelihood Estimator
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Quasi Maximum Likelihood estimation
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Quasi maximum likelihood estimation
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Quasi-Maximum Likelihood
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Quasi-maximum likelihood estimation
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Regular vine
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Zakoian, Jean-Michel
4
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1
Franck, Christian Francq
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Francq, Christan
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Francq, Christian
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
21
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6
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Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
Francq, Christan
;
Zakoian, Jean-Michel
-
Centre de Recherche en Économie et Statistique …
-
2012
estimating this prediction is to estimate the volatility in a first step, for instance by Gaussian
quasi-maximum
likelihood
(QML …
Persistent link: https://www.econbiz.de/10010575235
Saved in:
2
Dynamic Asset Correlations Based on Vines
Poignard, Benjamin
;
Fermanian, Jean-David
-
Centre de Recherche en Économie et Statistique …
-
2015
describe a
quasi-maximum
likelihood
(QML) estimation procedure. Compared to other usual techniques, particularly for the …
Persistent link: https://www.econbiz.de/10011167313
Saved in:
3
Multi-level Conditional VaR Estimation in Dynamic Models
Franck, Christian Francq
;
Zakoian, Jean-Michel
-
Centre de Recherche en Économie et Statistique …
-
2014
conditional heteroskedastic models. The volatility is estimated by
Quasi-Maximum
Likelihood
(QML) in a first step, and the …
Persistent link: https://www.econbiz.de/10010796244
Saved in:
4
Inference in Non Stationary Asymmetric Garch Models
Francq, Christian
;
Zakoian, Jean-Michel
-
Centre de Recherche en Économie et Statistique …
-
2013
met. This allows us to establish the asymptotic normality of the
quasi-maximum
likelihood
estimator (QMLE) of the …
Persistent link: https://www.econbiz.de/10010857716
Saved in:
5
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
Li, Dong
;
Ling, Shiqing
;
Zakoian, Jean-Michel
-
Centre de Recherche en Économie et Statistique …
-
2013
-order MTDAR model. We study the
Quasi-Maximum
Likelihood
Estimator (QMLE) of the MTDAR model. The estimated thresholds are shown …
Persistent link: https://www.econbiz.de/10010747015
Saved in:
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