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~language:"eng"
~person:"Francq, Christian"
~subject:"Börsenkurs"
~subject:"Estimation theory"
~subject:"Kapitaleinkommen"
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Börsenkurs
Estimation theory
Kapitaleinkommen
Risikomaß
10
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10
ARCH model
9
ARCH-Modell
9
Schätztheorie
8
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6
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6
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4
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4
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Accuracy of VaR estimation
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Francq, Christian
McAleer, Michael
21
Hammoudeh, Shawkat
17
Ardia, David
13
Stoja, Evarist
13
Polanski, Arnold
12
Bali, Turan G.
10
Allen, David E.
9
Zakoïan, Jean-Michel
9
Härdle, Wolfgang
8
Almeida, Caio
7
Asai, Manabu
7
Haas, Markus
7
Herrera, Rodrigo
7
Lönnbark, Carl
7
Mensi, Walid
7
Paolella, Marc S.
7
Scharth, Marcel
7
Chiang, Thomas C.
6
Demirtas, K. Ozgur
6
Fabozzi, Frank J.
6
Garcia, René
6
Hoogerheide, Lennart
6
Hoogerheide, Lennart F.
6
Jiang, Hao
6
Lucas, André
6
Manganelli, Simone
6
Mittnik, Stefan
6
Raunig, Burkhard
6
Ruenzi, Stefan
6
Scheicher, Martin
6
Weigert, Florian
6
Ardison, Kym
5
Bormann, Carsten
5
Cai, Zongwu
5
Caporin, Massimiliano
5
Daouia, Abdelaati
5
Escanciano, Juan Carlos
5
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5
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5
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Journal of econometrics
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Annals of economics and statistics
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
9
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
3
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:
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
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
Saved in:
6
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:
7
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
8
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:
9
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
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