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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
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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
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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
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Estimating dynamic systemic risk measures
Cantin, Loïc; Francq, Christian; Zakoïan, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10013206985