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Contemporaneous asymetry in weak garch processes
Babsiri, Mohamed el - 1996
Persistent link: https://www.econbiz.de/10000936580
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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - 1997
Persistent link: https://www.econbiz.de/10000956285
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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - In: Journal of econometrics 101 (2001) 2, pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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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
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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
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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
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Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian; Monfort, Alain; Zakoïan, … - 2018 - Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
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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
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Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380
Persistent link: https://www.econbiz.de/10012482777