Merits and drawbacks of variance targeting in GARCH models

Journal of Financial Econometrics

Volumn 9, Issue 4, 2011, Pages 619-656

  Francq, Christian ^a   Horváth, Lajos ^b   Zakoïan, Jean Michel ^a  

^a CREST   (France)

^b UNIVERSITY OF UTAH   (United States)

Author keywords

Consistency and asymptotic normality; GARCH; Heteroskedastic time series; Quasi maximum likelihood estimation; Value at risk; Variance targeting estimator

Indexed keywords

EID: 80053192102     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr004     Document Type: Article

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