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~subject:"Estimation theory"
~person:"Zakoïan, Jean-Michel"
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Search: subject:"Value at Risk"
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Estimation theory
Risikomaß
11
Risk measure
11
ARCH model
9
ARCH-Modell
9
Schätztheorie
8
Estimation
6
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6
Maximum likelihood estimation
4
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Risk
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Accuracy of VaR estimation
1
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Zakoïan, Jean-Michel
Ardia, David
9
Francq, Christian
8
Huschens, Stefan
8
Daouia, Abdelaati
5
Gouriéroux, Christian
5
Hoogerheide, Lennart
5
Lönnbark, Carl
5
Pei, Pei
5
Stupfler, Gilles
5
Cai, Zongwu
4
Escanciano, Juan Carlos
4
Hoga, Yannick
4
Hoogerheide, Lennart F.
4
Hou, Yanxi
4
Härdle, Wolfgang
4
Höse, Steffi
4
Kondor, Imre
4
Kratz, Marie
4
Lucas, André
4
Manganelli, Simone
4
Peng, Liang
4
Taylor, James W.
4
Wang, Weining
4
Angelidis, Timotheos
3
Bluteau, Keven
3
Bormann, Carsten
3
Borowska, Agnieszka
3
Bräutigam, Marcel
3
Caccioli, Fabio
3
Ceretta, Paulo Sergio
3
De Luca, Giovanni
3
Dijk, Herman K. van
3
El Ghourabi, Mohamed
3
Gammoudi, Imed
3
Giacomini, Enzo
3
Gibson, Michael S.
3
Girard, Stéphane
3
Guillou, Armelle
3
Guillén, Montserrat
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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 : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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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
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
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:
4
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:
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
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
7
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:
8
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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