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  • Search: subject:"variance-targeting estimator"
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Year of publication
Subject
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Quasi Maximum Likelihood Estimation 2 Variance Targeting Estimator 2 ARCH model 1 ARCH-Modell 1 Adequacy Test for CCC-GARCH models 1 Bootstrap 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Capital income 1 Consistency and Asymptotic Normality 1 Estimation 1 Estimation theory 1 GARCH 1 Heteroskedastic Time Series 1 Kapitaleinkommen 1 Leverage Effect 1 Schätztheorie 1 Schätzung 1 Time series analysis 1 Value-at-Risk 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 adequacy test for CCC-GARCH models 1 bootstrap 1 leverage effect 1 quasi-maximum-likelihood estimation 1 variance-targeting estimator 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Francq, Christian 3 Horvath, Lajos 2 Zakoian, Jean-Michel 2 Horváth, Lajos 1 Zakoïan, Jean-Michel 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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MPRA Paper 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014
We establish the strong consistency and the asymptotic normality of the variance-targeting estimator (VTE) of the …
Persistent link: https://www.econbiz.de/10011112445
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Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2009
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...
Persistent link: https://www.econbiz.de/10005014739
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