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person:"Rombouts, Jeroen V. K."
~isPartOf:"Annals of economics and statistics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Francq, Christian"
~subject:"Schätzung"
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Schätzung
ARCH model
4
ARCH-Modell
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Estimation theory
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Risikomaß
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Risk measure
3
Schätztheorie
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Estimation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
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Measurement
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Messung
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Value-at-Risk
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Volatility
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Asymmetric Power GARCH
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Bootstrap approach
1
Bootstrap-Verfahren
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Distortion Risk Measures
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Estimation Risk
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Forecasting model
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GARCH
1
Liquidity
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Liquidität
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Non-Gaussian Quasi-Maximum Likelihood
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Prognoseverfahren
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Risiko
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Risikomanagement
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Risk
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Risk management
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Risk measures
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Theorie
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Theory
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adequacy test for CCC-GARCH models
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bootstrap
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leverage effect
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quasi-maximum-likelihood estimation
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variance-targeting estimator
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Rombouts, Jeroen V. K.
Francq, Christian
Ghysels, Eric
2
Olmo, Jose
2
Trojani, Fabio
2
Zakoïan, Jean-Michel
2
Aguilar, Mike
1
Ahoniemi, Katja
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Audrino, Francesco
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Babikir, Ali
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Barunik, Jozef
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Chen, Yi-ting
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Gagliardini, Patrick
1
Garcia, René
1
Haas, Markus
1
Hao, Jinji
1
Hassan, Mohammed Elamin
1
Horváth, Lajos
1
Jondeau, Eric
1
Kasch-Haroutounian, Maria
1
Lanne, Markku
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Mancini, Loriano
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Mittnik, Stefan
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Moura, Guilherme Valle
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Mwambi, Henry
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Renault, Eric
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1
Rodrigues, Paulo M. M.
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Annals of economics and statistics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
6
CORE discussion paper : DP
1
CORE discussion papers : DP
1
Cahiers de recherche / HEC Montréal, Institut d'Economie Appliquée
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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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:
2
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
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