Merits and Drawbacks of Variance Targeting in GARCH Models

Christian Francq (), L. Horvath and J.-M. Zakoian
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Christian Francq: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris
L. Horvath: HMS - Harvard Medical School [Boston]

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Date: 2011-07-18
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Published in Journal of Financial Econometrics, 2011, 9 (4), pp.619-656. ⟨10.1093/jjfinec/nbr004⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417564

DOI: 10.1093/jjfinec/nbr004

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