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Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755835
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Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755838
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Semiparametric single-index poisson regression model with unobserved heterogeneity
Foncel, Jérôme; Hristache, Marian; Patilea, Valentin - 2004
Persistent link: https://www.econbiz.de/10002115799
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Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935355
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2010
Persistent link: https://www.econbiz.de/10009406538
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Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - 2013
Persistent link: https://www.econbiz.de/10010348527
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Multi-level conditional VaR estimation in dynamic models
Francq, Christian; Zakoïan, Jean-Michel - 2014
Persistent link: https://www.econbiz.de/10010390368
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A nonparametric simulated maximum likelihood estimation method
Fermanian, Jean-David; Salanié, Bernard - 2001
Persistent link: https://www.econbiz.de/10001577508
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Pseudo maximum likelihood method, adjusted pseudo maximum likelihood method and covariance estimators
Broze, Laurence; Gouriéroux, Christian - 1995
Persistent link: https://www.econbiz.de/10000919516
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Estimating the marginal law of a time series with applications to heavy tailed distributions
Francq, Christian; Zakoïan, Jean-Michel - 2011
Persistent link: https://www.econbiz.de/10009552653