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Estimation risk for the VaR of...
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Francq, Christian
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Zakoïan, Jean-Michel
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
2
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:
3
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:
4
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:
5
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
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6
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
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7
Inference on GARCH-MIDAS models without any small-order moment
Francq, Christian
;
Kandji, Baye Matar
;
Zakoïan, Jean-Michel
-
2024
Persistent link: https://www.econbiz.de/10015374582
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8
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
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9
Mixed causal-noncausal ar processes and the modelling of explosive bubbles
Fries, Sébastien
;
Zakoïan, Jean-Michel
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1234-1270
Persistent link: https://www.econbiz.de/10012149285
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10
Nonlinear financial econometrics JoE special issue introduction
Rombouts, Jeroen V. K.
;
Scaillet, Olivier
;
Veredas, David
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 203-206
Persistent link: https://www.econbiz.de/10012482746
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