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~isPartOf:"Journal of econometrics"
~isPartOf:"The European journal of finance"
~language:"eng"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"Statistische Verteilung"
~type_genre:"Article in journal"
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ARCH-Modell
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9
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Zakoïan, Jean-Michel
Francq, Christian
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Journal of econometrics
The European journal of finance
Econometric theory
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ECONIS (ZBW)
9
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1
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
Saved in:
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
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:
6
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:
7
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Francq, Christian
;
Lepage, Guillaume
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
165
(
2011
)
2
,
pp. 246-257
Persistent link: https://www.econbiz.de/10009409634
Saved in:
8
A class of stochastic unit-root bilinear processes : mixing properties and unit-root test
Francq, Christian
;
Makarova, Svetlana D.
;
Zakoïan, …
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 312-326
Persistent link: https://www.econbiz.de/10003608201
Saved in:
9
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
Saved in:
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