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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
1
Efficiency of estimators
1
Ergodicity
1
GARCH models
1
GEV distribution
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GPD
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Inconsistency of estimators
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Least-absolute deviations estimation
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Local power of tests
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MTDAR model
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Multivariate GARCH
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Non stationarity
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Partial Correlations
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Prediction
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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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Score test
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Strict stationarity
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Value-at-Risk
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alpha-stable distribution
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composite likelihood
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pseudo-likelihood
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quasi-marginal maximum likelihood
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stock returns distributions
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Zakoian, Jean-Michel
4
Francq, Christian
2
Fermanian, Jean-David
1
Franck, Christian Francq
1
Francq, Christan
1
Li, Dong
1
Ling, Shiqing
1
Poignard, Benjamin
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Zakoïan, Jean-Michel
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
International Monetary Fund (IMF)
227
International Monetary Fund
186
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
54
Institute for the Study of Labor (IZA)
34
HAL
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T. M. C. Asser Instituut <'s-Gravenhage>
22
EconWPA
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C.E.P.R. Discussion Papers
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CESifo
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School of Economics and Management, University of Aarhus
11
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
10
Cowles Foundation for Research in Economics, Yale University
10
Department of Economics, Oxford University
10
School of Economics, Singapore Management University
9
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
8
Instituto Valenciano de Investigaciones Económicas (IVIE)
8
Society for Computational Economics - SCE
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Université Paris-Dauphine (Paris IX)
7
Agricultural and Applied Economics Association - AAEA
6
Department of Economics and Related Studies, University of York
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Industrial Relations Section, Department of Economics
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Mathematica Policy Research
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Tilburg University, Center for Economic Research
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Centro Studi di Economia e Finanza (CSEF)
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Department of Economics and Business, Universitat Pompeu Fabra
5
Department of Economics, University of California-San Diego (UCSD)
5
East Asian Bureau of Economic Research (EABER)
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Economics Group, Nuffield College, University of Oxford
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Erasmus University Rotterdam, Econometric Institute
5
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Institutionen för Nationalekonomi, Umeå Universitet
5
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5
Barcelona Graduate School of Economics (Barcelona GSE)
4
Département de Sciences Économiques, Université de Montréal
4
European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
4
National Research University Higher School of Economics
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Tinbergen Institute
4
Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
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Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
6
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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:
6
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
Francq, Christian
;
Zakoïan, Jean-Michel
-
Centre de Recherche en Économie et Statistique …
-
2011
Persistent link: https://www.econbiz.de/10010548483
Saved in:
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