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person:"Jondeau, Eric"
~person:"Zakoïan, Jean-Michel"
~subject:"Schätztheorie"
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Search: subject_exact:"ARCH-Modell"
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57
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Jondeau, Eric
Zakoïan, Jean-Michel
Francq, Christian
27
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19
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16
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16
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
5
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:
6
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
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
The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
- In:
Journal of empirical finance
32
(
2015
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
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:
11
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
12
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
13
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:
14
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Francq, Christian
;
Lepage, Guillaume
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
165
(
2011
)
2
,
pp. 246-257
Persistent link: https://www.econbiz.de/10009409634
Saved in:
15
Entropy densities : with an application to autoregressive conditional skewness and kurtosis
Rockinger, Michael
;
Jondeau, Eric
-
2001
Persistent link: https://www.econbiz.de/10001539613
Saved in:
16
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:
17
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935360
Saved in:
18
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Handbook of financial time series
,
(pp. 85-111)
.
2009
Persistent link: https://www.econbiz.de/10003833783
Saved in:
19
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
20
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
21
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
22
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
23
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
24
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
25
Entropy densities with an application to autoregressive conditional skewness and kurtosis
Rockinger, Michael
;
Jondeau, Eric
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 119-142
Persistent link: https://www.econbiz.de/10001633716
Saved in:
26
Gram-Charlier densities
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of economic dynamics & control
25
(
2001
)
10
,
pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
Saved in:
27
Estimating weak GARCH representations
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
16
(
2000
)
5
,
pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
Saved in:
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