Merits and drawbacks of variance targeting in GARCH models
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- Christian Francq & Lajos Horváth, 2011. "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 9(4), pages 619-656.
- Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Merits and Drawbacks of Variance Targeting in GARCH Models," Working Papers 2009-17, Center for Research in Economics and Statistics.
References listed on IDEAS
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More about this item
Keywords
Consistency and Asymptotic Normality; GARCH; Heteroskedastic Time Series; Quasi Maximum Likelihood Estimation; Value-at-Risk; Variance Targeting Estimator.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-05-16 (Econometrics)
- NEP-ETS-2009-05-16 (Econometric Time Series)
- NEP-ORE-2009-05-16 (Operations Research)
- NEP-RMG-2009-05-16 (Risk Management)
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