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subject:"Exchange rate"
subject:"United Kingdom"
~person:"Trojani, Fabio"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
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Exchange rate
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ARCH model
Estimation theory
63
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63
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32
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24
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24
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14
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Trojani, Fabio
Zakoïan, Jean-Michel
Francq, Christian
27
Teräsvirta, Timo
19
Hafner, Christian M.
17
Rahbek, Anders
17
Ardia, David
14
Diebold, Francis X.
14
Engle, Robert F.
14
Brandt, Michael W.
13
Kumar, Dilip
13
Sheppard, Kevin
13
Audrino, Francesco
12
Härdle, Wolfgang
12
Linton, Oliver
11
Bauwens, Luc
10
Caporale, Guglielmo Maria
10
McAleer, Michael
10
Shephard, Neil G.
10
Silvennoinen, Annastiina
10
Bekaert, Geert
9
Pedersen, Rasmus Søndergaard
9
Pittis, Nikitas
9
Preminger, Arie
9
Alizadeh, Sassan
8
Bollerslev, Tim
8
Burkhauser, Richard V.
8
Fiorentini, Gabriele
8
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8
Jenkins, Stephen
8
Koopman, Siem Jan
8
Ling, Shiqing
8
Lütkepohl, Helmut
8
Maheswaran, S.
8
Nelson, Daniel B.
8
Shin, Yongcheol
8
Carnero, M. Angeles
7
Cavaliere, Giuseppe
7
Feng, Yuanhua
7
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3
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
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
Saved in:
4
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
5
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
Saved in:
6
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:
7
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
Saved in:
8
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
Saved in:
9
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
10
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674253
Saved in:
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