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~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Measurement"
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ARCH-Modell
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Risikomaß
11
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11
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9
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8
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8
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6
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4
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Zakoïan, Jean-Michel
McAleer, Michael
31
Wang, Ruodu
25
Righi, Marcelo Brutti
20
Rosazza Gianin, Emanuela
19
Allen, David E.
17
Caporin, Massimiliano
17
Paolella, Marc S.
17
Giot, Pierre
16
Stoja, Evarist
14
Chlebus, Marcin
12
Fabozzi, Frank J.
12
Ardia, David
11
Brandtner, Mario
11
Diebold, Francis X.
11
Landsman, Zinoviy
11
Mittnik, Stefan
11
Tsanakas, Andreas
11
Bellini, Fabio
10
Francq, Christian
10
Kürsten, Wolfgang
10
Mao, Tiantian
10
Singh, Abhay Kumar
10
Vanduffel, Steven
10
Bignozzi, Valeria
9
Bollerslev, Tim
9
Cai, Jun
9
Dhaene, Jan
9
Escanciano, Juan Carlos
9
Härdle, Wolfgang
9
Kim, Young Shin
9
Laurent, Sébastien
9
Lönnbark, Carl
9
Powell, Robert
9
Asai, Manabu
8
Bali, Turan G.
8
Chang, Chia-Lin
8
Degiannakis, Stavros
8
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8
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Journal of econometrics
3
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2
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2
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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
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
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:
7
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:
8
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
9
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:
10
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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