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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Pelletier, Denis"
~person:"Rodrigues, Paulo M. M."
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
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Volatility
ARCH-Modell
Estimation theory
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Estimation
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adequacy test for CCC-GARCH models
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Pelletier, Denis
Rodrigues, Paulo M. M.
Zakoïan, Jean-Michel
Francq, Christian
2
Horváth, Lajos
2
Andreou, Alena
1
Audrino, Francesco
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Balter, Janine
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Bos, Charles S.
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Caldeira, João F.
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Di, Jianing
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
7
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Econometric theory
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Handbook of financial time series
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Journal of financial econometrics
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Journal of the American Statistical Association : JASA
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Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
2
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:
3
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
4
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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