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subject:"Volatilität"
type:"article"
~person:"Zakoïan, Jean-Michel"
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Volatilität
Estimation theory
26
Schätztheorie
26
ARCH model
15
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15
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9
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9
Time series analysis
8
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8
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Maximum likelihood estimation
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Zakoïan, Jean-Michel
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Teräsvirta, Timo
9
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
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7
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7
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7
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6
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6
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5
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5
Jing, Bingyi
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
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4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Dufour, Jean-Marie
4
Elliott, Robert J.
4
Feng, Yuanhua
4
Fičura, Milan
4
Hwang, Eunju
4
Härdle, Wolfgang
4
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4
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4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Song, Yuping
4
Sucarrat, Genaro
4
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Journal of econometrics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
5
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1
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:
2
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:
3
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:
4
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:
5
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
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