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Estimation risk for the VaR of...
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Estimation theory
61
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Francq, Christian
208
Zakoïan, Jean-Michel
131
Zakoian, Jean-Michel
45
Broze, Laurence
16
Francq, C.
14
Scaillet, Olivier
11
Aknouche, Abdelhakim
7
Horvath, Lajos
7
Laurent, Sébastien
7
Regnard, Nazim
7
Horváth, Lajos
6
Roy, Roch
6
Wintenberger, Olivier
6
Zakoian, J.-M.
6
BROZE, Laurence
5
Dabo-Niang, Sophie
5
FRANCQ, Christian
5
Roussignol, Michel
5
Sucarrat, Genaro
5
ZAKOIAN, Jean-Michel
5
Boubacar Mainassara, Yacouba
4
Carbon, Michel
4
Zako an, Jean-Michel
4
Zakoi͏̈an, Jean-Michel
4
Babsiri, Mohamed el
3
Blasques, Francisco
3
Darolles, Serge
3
Gautier, Antony
3
Gouriéroux, Christian
3
Lepage, Guillaume
3
Makarova, Svetlana
3
Meintanis, Simos
3
Saidi, Abdessamad
3
Zakoian, J.M.
3
Ahmad, Ali
2
Amendola, Alessandra
2
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2
Bibi, Abdelouahab
2
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2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
24
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15
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8
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17
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15
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8
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7
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7
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5
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RePEc
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11
Non-redunance of high order moment conditions for efficient GMM estimation of weak AR processes
Broze, Laurence
;
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Economics letters
71
(
2001
)
3
,
pp. 317-322
Persistent link: https://www.econbiz.de/10001574253
Saved in:
12
Estimating stochastic volatility models : a new approach based on ARMA representations
Francq, Christian
;
Zakoïan, Jean-Michel
-
2000
Persistent link: https://www.econbiz.de/10001549029
Saved in:
13
Stationarity of multivariateMarkov-switching ARMA models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
102
(
2001
)
2
,
pp. 339-364
Persistent link: https://www.econbiz.de/10001580640
Saved in:
14
Covariance matrix estimation for estimators of mixing Wold's Arma
Francq, Christian
;
Zakoïan, Jean-Michel
-
1997
Persistent link: https://www.econbiz.de/10000968635
Saved in:
15
Diagnostic checking in ARMA models with uncorrelated errors
Francq, Christian
;
Roy, Roch
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
470
,
pp. 532-544
Persistent link: https://www.econbiz.de/10002929352
Saved in:
16
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:
17
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:
18
Sup-tests for linearity in a general nonlinear AR(1) model
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935353
Saved in:
19
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:
20
Combining nonparametric and optimal linear time series predictions
Dabo-Niang, Sophie
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935357
Saved in:
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