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Estimation risk for the VaR of...
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Estimation theory
61
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47
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31
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4
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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
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
15
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
8
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4
HAL
2
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2
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
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17
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15
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8
Econometric Theory
7
Journal of Time Series Analysis
7
CORE Discussion Papers RP
6
Journal of Econometrics
6
Journal of the American Statistical Association : JASA
5
CORE discussion paper : DP
4
Economics Papers from University Paris Dauphine
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Computational Statistics & Data Analysis
3
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3
Journal of the American Statistical Association
3
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Computing in Economics and Finance 2006
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Energy economics
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Journal of Business & Economic Statistics
2
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2
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Stochastic Processes and their Applications
2
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RePEc
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BASE
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51
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
52
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:
53
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
Saved in:
54
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
Saved in:
55
Inference on multiplicative component GARCH without any small-order moment
Francq, Christian
;
Kandji, Baye Matar
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206984
Saved in:
56
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
57
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
Saved in:
58
Testing for continuous-time models of the short-term interest rate
Broze, Laurence
;
Scaillet, Olivier
;
Zakoïan, Jean-Michel
-
1994
-
Rev
Persistent link: https://www.econbiz.de/10000902196
Saved in:
59
Quasi indirect inference for diffusion processes
Broze, Laurence
-
1995
Persistent link: https://www.econbiz.de/10000908427
Saved in:
60
Quasi indirect inference for diffusion processes
Broze, Laurence
;
Scaillet, Olivier
;
Zakoïan, Jean-Michel
-
1994
Persistent link: https://www.econbiz.de/10000908837
Saved in:
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