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Estimation risk for the VaR of...
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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
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Makarova, Svetlana
3
Meintanis, Simos
3
Saidi, Abdessamad
3
Zakoian, J.M.
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Ahmad, Ali
2
Amendola, Alessandra
2
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2
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2
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2
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15
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8
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8
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7
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7
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5
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Computational Statistics & Data Analysis
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31
QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
28
(
2012
)
1
,
pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
Saved in:
32
Estimating the marginal law of a time series with applications to heavy tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
-
2011
Persistent link: https://www.econbiz.de/10009552653
Saved in:
33
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:
34
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:
35
A tour in the asymptotic theory of GARCH estimation
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755834
Saved in:
36
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:
37
Barlett's formula for non linear processes
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755836
Saved in:
38
Can one really estimate nonstationary GARCH models?
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755837
Saved in:
39
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:
40
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:
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