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~person:"Angelidis, Timotheos"
~person:"Francq, Christian"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Quantile Loss Function"
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Search: subject:"Value at Risk"
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ARCH model
Estimation theory
Quantile Loss Function
Risikomaß
21
Risk measure
21
ARCH-Modell
13
Schätztheorie
11
Forecasting model
7
Prognoseverfahren
7
Value-at-Risk
7
Volatility
7
Volatilität
7
Estimation
6
GARCH
6
Schätzung
6
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Measurement
4
Messung
4
Risk measures
4
Theorie
4
Theory
4
VAR model
4
VAR-Modell
4
Aktienmarkt
3
Filtered historical simulation
3
Greece
3
Griechenland
3
Risikomanagement
3
Risk management
3
Stock market
3
Backtesting
2
Börsenkurs
2
Capital income
2
Dynamic portfolio
2
Kapitaleinkommen
2
Liquidity
2
Liquidität
2
Portfolio selection
2
Portfolio-Management
2
Quantile regression
2
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4
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Article
11
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7
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10
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3
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English
17
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Angelidis, Timotheos
Francq, Christian
McAleer, Michael
17
Paolella, Marc S.
17
Giot, Pierre
15
Chlebus, Marcin
14
Ardia, David
13
Lönnbark, Carl
12
Degiannakis, Stavros
11
Zakoïan, Jean-Michel
10
Hoogerheide, Lennart
9
Mittnik, Stefan
9
Caporin, Massimiliano
8
Chang, Chia-Lin
8
Huschens, Stefan
8
Laurent, Sébastien
8
Bauwens, Luc
7
Dijk, Herman K. van
7
Floros, Christos
7
Hoogerheide, Lennart F.
7
Olmo, Jose
7
Su, Jung-bin
7
Tian, Maoxi
7
Ñíguez, Trino-Manuel
7
Alexander, Carol
6
Billio, Monica
6
Chen, Cathy W. S.
6
Degiannakis, Stavros Antonios
6
Fabozzi, Frank J.
6
Gouriéroux, Christian
6
Haas, Markus
6
Huang, Zhuo
6
Härdle, Wolfgang
6
Karmakar, Madhusudan
6
Kim, Young Shin
6
Lazar, Emese
6
Liu, Hung-Chun
6
McMillan, David G.
6
Perote, Javier
6
Weiß, Gregor
6
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Department of Economics, University of Peloponnese
1
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Journal of econometrics
3
Annals of economics and statistics
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Financial institutions and services series
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international financial markets, institutions & money
1
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
1
New econometric modelling research
1
Review of quantitative finance and accounting
1
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ECONIS (ZBW)
17
RePEc
1
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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
Backtesting VaR Models : A Τwo-Stage Procedure
Angelidis, Timotheos
-
2018
Academics and practitioners have extensively studied
Value-at-Risk
(VaR) to propose a unique risk management technique …
Persistent link: https://www.econbiz.de/10012910117
Saved in:
4
A Robust VaR Model under Different Time Periods and Weighting Schemes
Angelidis, Timotheos
-
2018
This paper analyses several volatility models by examining their ability to forecast the
Value-at-Risk
(VaR) for two …
Persistent link: https://www.econbiz.de/10012910130
Saved in:
5
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:
6
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:
7
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:
8
Intrinsic liquidity in conditional volatility models
Darolles, Serge
;
LeFol, Gaëlle
;
Francq, Christian
; …
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 225-245
Persistent link: https://www.econbiz.de/10011592745
Saved in:
9
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:
10
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
1
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