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Zakoïan, Jean-Michel’ AUTHOR PAGE
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E-Mail: zakoian@ensae.fr
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webpage: http://www.crest.fr/ses.php?user=3078
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Affiliation: Université Lille
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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...
Estimation Adjusted VaR 2012
Gourieroux, Christian
Zakoïan, Jean-Michel
 
Standard risk measures, such as the Value-at-Risk (VaR), or the Expected Shortfall, have to be estimated and their estimated counterparts are subject ...
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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