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person:"Jondeau, Eric"
~accessRights:"restricted"
~person:"Zakoïan, Jean-Michel"
~subject:"Schätztheorie"
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Search: subject_exact:"ARCH-Modell"
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ARCH model
7
ARCH-Modell
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Estimation theory
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5
Volatility
5
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5
Capital income
3
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VAR-Modell
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Aggregation
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Jondeau, Eric
Zakoïan, Jean-Michel
Francq, Christian
9
Kumar, Dilip
8
Ardia, David
6
Sucarrat, Genaro
5
Kim, Jong-Min
4
Li, Dong
4
Ling, Shiqing
4
Rahbek, Anders
4
Zhu, Ke
4
Arvanitis, Stelios
3
Bauwens, Luc
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Blazsek, Szabolcs
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Carnero, M. Angeles
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Escribano, Álvaro
3
Hafner, Christian M.
3
Jung, Hojin
3
Kim, Donggyu
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Li, Guodong
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Licht, Adrian
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Luger, Richard
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Lütkepohl, Helmut
3
Otranto, Edoardo
3
Pedersen, Rasmus Søndergaard
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Teräsvirta, Timo
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Wu, Xinyu
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Zhang, Rongmao
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Ñíguez, Trino-Manuel
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Anatolyev, Stanislav
2
Berens, Tobias
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Bluteau, Keven
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Cavaliere, Giuseppe
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Chen, Cathy W. S.
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De Luca, Giovanni
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Engle, Robert F.
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Gozgor, Giray
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Journal of econometrics
4
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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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:
2
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
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3
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:
4
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:
5
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:
6
The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
- In:
Journal of empirical finance
32
(
2015
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
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