Risk-parameter estimation in volatility models
Year of publication: |
2015
|
---|---|
Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 1, p. 158-173
|
Subject: | GARCH | Quantile regression | Quasi-maximum likelihood | Risk measures | Value-at-Risk | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Risiko | Risk | Messung | Measurement | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Kapitaleinkommen | Capital income |
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