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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~language:"eng"
~person:"Francq, Christian"
~person:"Scaillet, Olivier"
~subject:"Estimation"
~subject:"Nonparametric statistics"
~subject:"Risk premium"
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Estimation
Nonparametric statistics
Risk premium
Nichtparametrisches Verfahren
4
Credit risk
2
Estimation theory
2
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2
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2
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2
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2
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adequacy test for CCC-GARCH models
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Francq, Christian
Scaillet, Olivier
Garcia, René
5
Almeida, Caio
4
Ardison, Kym
4
Vicente, Jose
4
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3
Olmo, Jose
3
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Journal of banking & finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
12
Research paper series / Swiss Finance Institute
12
Swiss Finance Institute Research Paper
9
FAME research paper series
8
Journal of econometrics
6
Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
5
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2
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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IRES discussion papers
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Swiss Finance Institute Research Paper 06-30
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ECONIS (ZBW)
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1
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Camponovo, Lorenzo
;
Scaillet, Olivier
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 377-387
Persistent link: https://www.econbiz.de/10011987504
Saved in:
2
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:
3
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
Saved in:
4
On the way to recovery : a nonparametric bias free estimation of recovery rate densities
Renault, Olivier
;
Scaillet, Olivier
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 2915-2931
Persistent link: https://www.econbiz.de/10002410710
Saved in:
5
Nonparametric tests for positive quadrant dependence
Denuit, Michel
;
Scaillet, Olivier
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
3
,
pp. 422-450
Persistent link: https://www.econbiz.de/10002214466
Saved in:
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