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Francq, C_hristian’ AUTHOR PAGE
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E-Mail: christian.francq@univ-lille3.fr
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webpage: http://perso.univ-lille3.fr/~cfrancq/
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Affiliation: Université Lille
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Consistent Estimation of the Value-at-Risk when the Error Distribution of the Volatility Model is Misspecified 2013
 el Ghourabi, Mohamed Francq, C_hristian Telmoudi, Fedya

A two-step approach for conditional Value at Risk (VaR) estimation is considered. In the first step, a generalized-quasi-maximum likelihood estimator ...
GARCH Models: Structure, Statistical Inference and Financial Applications 2010
 Francq, C_hristian Zakoïan, Jean-Michel

This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most...
Risk-Parameter Estimation in Volatility Models 2012
 Francq, C_hristian Zakoïan, Jean-Michel

This paper introduces the concept of risk parameter in conditional volatility models of the form $\epsilon_t=\sigma_t(\theta_0)\eta_t$ and develops st...
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