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Estimation risk for the VaR of...
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Francq, Christian
208
Zakoïan, Jean-Michel
131
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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
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5
Dabo-Niang, Sophie
5
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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
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Darolles, Serge
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Gautier, Antony
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3
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Makarova, Svetlana
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Saidi, Abdessamad
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2
Amendola, Alessandra
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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:
22
GARCH models : structure, statistical inference and financial applications
Francq, Christian
;
Zakoïan, Jean-Michel
-
2010
Persistent link: https://www.econbiz.de/10003954916
Saved in:
23
Sup-tests for linearity in a general nonlinear AR(1) model
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Econometric theory
26
(
2010
)
4
,
pp. 965-993
Persistent link: https://www.econbiz.de/10003993816
Saved in:
24
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:
25
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:
26
Estimating the marginal law of a time series with applications to heavy-tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 412-425
Persistent link: https://www.econbiz.de/10010337860
Saved in:
27
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:
28
Inference in non stationary asymmetric GARCH models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2013
Persistent link: https://www.econbiz.de/10010348528
Saved in:
29
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
30
Inconsistency of the MLE and inference based on weighted LS for LARCH models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 151-165
Persistent link: https://www.econbiz.de/10008839933
Saved in:
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