Christian Francq
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Christian |
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Francq |
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Centre de Recherche en Économie et Statistique (CREST)
Research profile
author of:
- Intrinsic Liquidity in Conditional Volatility Models (RePEc:adr:anecst:y:2016:i:123-124:p:225-245)
by Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan - Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels (RePEc:adr:anecst:y:2016:i:123-124:p:9-28)
by Christian Francq & Jean-Michel Zakoïan - Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (RePEc:aim:wpaimx:1845)
by Serge Darolles & Christian Francq & Sébastien Laurent - Virtual Historical Simulation for estimating the conditional VaR of large portfolios (RePEc:arx:papers:1909.04661)
by Christian Francq & Jean-Michel Zakoian - Diagnostic Checking in ARMA Models With Uncorrelated Errors (RePEc:bes:jnlasa:v:100:y:2005:p:532-544)
by Francq, Christian & Roy, Roch & Zakoian, Jean-Michel - Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (RePEc:bes:jnlasa:v:104:i:485:y:2009:p:313-324)
by Francq, Christian & Zakoïan, Jean-Michel - Combining Nonparametric and Optimal Linear Time Series Predictions (RePEc:bes:jnlasa:v:105:i:492:y:2010:p:1554-1565)
by Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel - Optimal predictions of powers of conditionally heteroscedastic processes (RePEc:bla:jorssb:v:75:y:2013:i:2:p:345-367)
by Christian Francq & Jean-Michel Zakoïan - Estimating multivariate volatility models equation by equation (RePEc:bla:jorssb:v:78:y:2016:i:3:p:613-635)
by Christian Francq & Jean-Michel Zakoïan - On Bartlett’s Formula for Non‐linear Processes (RePEc:bla:jtsera:v:18:y:1997:i:6:p:535-552)
by Alain Berlinet & Christian Francq - On White Noises Driven by Hidden Markov Chains (RePEc:bla:jtsera:v:18:y:1997:i:6:p:553-578)
by Christian Francq & Michel Roussignol - Conditional Heteroskedasticity Driven by Hidden Markov Chains (RePEc:bla:jtsera:v:22:y:2001:i:2:p:197-220)
by Christian Francq & Michel Roussignol & Jean‐Michel Zakoian - Efficient use of higher‐lag autocorrelations for estimating autoregressive processes (RePEc:bla:jtsera:v:23:y:2002:i:3:p:287-312)
by Laurence Broze & Christian Francq & Jean‐Michel Zakoïan - Large sample properties of parameter least squares estimates for time‐varying arma models (RePEc:bla:jtsera:v:25:y:2004:i:5:p:765-783)
by Christian Francq & Antony Gautier - Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations (RePEc:bla:jtsera:v:27:y:2006:i:6:p:843-855)
by Ahmed El Ghini & Christian Francq - Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors (RePEc:bla:jtsera:v:28:y:2007:i:3:p:454-470)
by Christian Francq & Hamdi Raïssi - Bartlett's formula for a general class of nonlinear processes (RePEc:bla:jtsera:v:30:y:2009:i:4:p:449-465)
by Christian Francq & Jean‐Michel Zakoïan - Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models (RePEc:bla:jtsera:v:32:y:2011:i:6:p:699-723)
by Christian Francq & Roch Roy & Abdessamad Saidi - Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (RePEc:bla:jtsera:v:37:y:2016:i:1:p:46-76)
by Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi - Poisson QMLE of Count Time Series Models (RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314)
by Ali Ahmad & Christian Francq - Stationarity and ergodicity of Markov switching positive conditional mean models (RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459)
by Abdelhakim Aknouche & Christian Francq - Optimal estimating function for weak location‐scale dynamic models (RePEc:bla:jtsera:v:44:y:2023:i:5-6:p:533-555)
by Christian Francq & Jean‐Michel Zakoïan - Linear‐representation Based Estimation of Stochastic Volatility Models (RePEc:bla:scjsta:v:33:y:2006:i:4:p:785-806)
by Christian Francq & Jean‐Michel Zakoïan - Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (RePEc:cor:louvco:2000033)
by BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel - Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (RePEc:cor:louvrp:1576)
by BROZE, Laurence & FRANCQ , Christian & ZAKOIAN, Jean-Michel - Efficient use of higher-lag autocorrelations for estimating autoregressive processes (RePEc:cor:louvrp:1580)
by BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel - Stationarity of Multivariate Markov-Switching ARMA Models (RePEc:crs:wpaper:2000-32)
by Christian Francq & Jean-Michel Zakoïan - Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations (RePEc:crs:wpaper:2000-47)
by Christian Francq & Jean-Michel Zakoïan - A Tour in the Asymptotic Theory of GARCH Estimation (RePEc:crs:wpaper:2008-03)
by Christian Francq & Jean-Michel Zakoïan - Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons (RePEc:crs:wpaper:2008-04)
by Christian Francq & Jean-Michel Zakoïan - Barlett’s Formula for Non Linear Processes (RePEc:crs:wpaper:2008-05)
by Christian Francq & Jean-Michel Zakoïan - Can One Really Estimate Nonstationary GARCH Models ? (RePEc:crs:wpaper:2008-06)
by Christian Francq & Jean-Michel Zakoïan - Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero (RePEc:crs:wpaper:2008-07)
by Christian Francq & Jean-Michel Zakoïan - Sup-Tests for Linearity in a General Nonlinear AR(1) Model (RePEc:crs:wpaper:2009-16)
by Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN - Merits and Drawbacks of Variance Targeting in GARCH Models (RePEc:crs:wpaper:2009-17)
by Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN - Combining Nonparametric and Optimal Linear Time Series Predictions (RePEc:crs:wpaper:2009-18)
by Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN - Properties of the QMLE and the Weighted LSE for LARCH(q) Models (RePEc:crs:wpaper:2009-19)
by Christian FRANCQ & Jean-Michel ZAKOIAN - Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions (RePEc:crs:wpaper:2011-30)
by Christian Francq & Jean-Michel Zakoïan - Optimal Predictions of Powers of Conditionally Heteroskedastic Processes (RePEc:crs:wpaper:2012-17)
by Christan Francq & Jean-Michel Zakoian - Inference in Non Stationary Asymmetric Garch Models (RePEc:crs:wpaper:2013-11)
by Christian Francq & Jean-Michel Zakoian - Multi-level Conditional VaR Estimation in Dynamic Models (RePEc:crs:wpaper:2014-01)
by Christian Francq & Jean-Michel Zakoian - Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models (RePEc:crs:wpaper:2022-06)
by Christian Francq & Jean-Michel Zakoïan - Inference on Multiplicative Component GARCH without any Small-Order Moment (RePEc:crs:wpaper:2022-09)
by Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian - Estimating dynamic systemic risk measures (RePEc:crs:wpaper:2022-11)
by Loïc Cantin & Christian Francq & Jean-Michel Zakoïan - Covariance Matrix Estimation for Estimators of Mixing Wold's Arma (RePEc:crs:wpaper:97-19)
by Christian Francq & Jean-Michel Zakoïan - Estimating Weak Garch Representations (RePEc:crs:wpaper:97-40)
by Christian Francq & Jean-Michel Zakoïan - Conditional Heteroskedasticity Driven by Hidden Markov Chains (RePEc:crs:wpaper:98-45)
by Christian Francq & Michel Roussignol & Jean-Michel Zakoïan - Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes (RePEc:crs:wpaper:99-56)
by Laurence Broze & Christian Francq & Jean-Michel Zakoïan - Linear-Representations Based Estimation of Switching-Regime GARCH Models (RePEc:crs:wpaper:99-57)
by Christian Francq & Jean-Michel Zakoïan - Estimating Weak Garch Representations (RePEc:cup:etheor:v:16:y:2000:i:05:p:692-728_16)
by Francq, Christian & Zakoïan, Jean-Michel - Comments On The Paper By Minxian Yang: “Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients” (RePEc:cup:etheor:v:18:y:2002:i:03:p:815-818_18)
by Francq, Christian & Zakoïan, Jean-Michel - A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size (RePEc:cup:etheor:v:21:y:2005:i:06:p:1165-1171_05)
by Francq, Christian & Zakoïan, Jean-Michel - Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process (RePEc:cup:etheor:v:22:y:2006:i:05:p:815-834_06)
by Francq, Christian & Zakoïan, Jean-Michel - Sup-Tests For Linearity In A General Nonlinear Ar(1) Model (RePEc:cup:etheor:v:26:y:2010:i:04:p:965-993_99)
by Francq, Christian & Horvath, Lajos & Zakoïan, Jean-Michel - Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models (RePEc:cup:etheor:v:28:y:2012:i:01:p:179-206_00)
by Francq, Christian & Zakoïan, Jean-Michel - Qml Inference For Volatility Models With Covariates (RePEc:cup:etheor:v:35:y:2019:i:01:p:37-72_00)
by Francq, Christian & Thieu, Le Quyen - Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders (RePEc:cup:etheor:v:37:y:2021:i:2:p:248-280_2)
by Aknouche, Abdelhakim & Francq, Christian - Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models (RePEc:cup:etheor:v:39:y:2023:i:5:p:1067-1092_7)
by Francq, Christian & Zakoian, Jean-Michel - Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models (RePEc:ecm:emetrp:v:80:y:2012:i:2:p:821-861)
by Christian Francq & Jean‐Michel Zakoïan - Special Issue on Nonlinear Modelling and Financial Econometrics (RePEc:eee:csdana:v:51:y:2006:i:4:p:2115-2117)
by Amendola, Alessandra & Francq, Christian & Koopman, Siem Jan - Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (RePEc:eee:csdana:v:52:y:2008:i:6:p:3027-3046)
by Francq, Christian & ZakoI¨an, Jean-Michel - Computing and estimating information matrices of weak ARMA models (RePEc:eee:csdana:v:56:y:2012:i:2:p:345-361)
by Boubacar Mainassara, Y. & Carbon, M. & Francq, C. - Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (RePEc:eee:ecolet:v:71:y:2001:i:3:p:317-322)
by Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel - Stationarity of multivariate Markov-switching ARMA models (RePEc:eee:econom:v:102:y:2001:i:2:p:339-364)
by Francq, C. & Zakoian, J. -M. - A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test (RePEc:eee:econom:v:142:y:2008:i:1:p:312-326)
by Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel - Inconsistency of the MLE and inference based on weighted LS for LARCH models (RePEc:eee:econom:v:159:y:2010:i:1:p:151-165)
by Francq, Christian & Zakoïan, Jean-Michel - Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (RePEc:eee:econom:v:165:y:2011:i:2:p:246-257)
by Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel - GARCH models without positivity constraints: Exponential or log GARCH? (RePEc:eee:econom:v:177:y:2013:i:1:p:34-46)
by Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel - Risk-parameter estimation in volatility models (RePEc:eee:econom:v:184:y:2015:i:1:p:158-173)
by Francq, Christian & Zakoïan, Jean-Michel - Tests for conditional ellipticity in multivariate GARCH models (RePEc:eee:econom:v:196:y:2017:i:2:p:305-319)
by Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G. - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:eee:econom:v:204:y:2018:i:2:p:223-247)
by Darolles, Serge & Francq, Christian & Laurent, Sébastien - Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (RePEc:eee:econom:v:205:y:2018:i:2:p:381-401)
by Francq, Christian & Zakoïan, Jean-Michel - Functional GARCH models: The quasi-likelihood approach and its applications (RePEc:eee:econom:v:209:y:2019:i:2:p:353-375)
by Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel - Virtual Historical Simulation for estimating the conditional VaR of large portfolios (RePEc:eee:econom:v:217:y:2020:i:2:p:356-380)
by Francq, Christian & Zakoïan, Jean-Michel - Testing the existence of moments for GARCH processes (RePEc:eee:econom:v:227:y:2022:i:1:p:47-64)
by Francq, Christian & Zakoïan, Jean-Michel - Quasi score-driven models (RePEc:eee:econom:v:234:y:2023:i:1:p:251-275)
by Blasques, F. & Francq, Christian & Laurent, Sébastien - Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models (RePEc:eee:econom:v:237:y:2023:i:2:s030440762100213x)
by Aknouche, Abdelhakim & Francq, Christian - Autoregressive conditional betas (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469)
by Blasques, F. & Francq, Christian & Laurent, Sébastien - Estimating structural VARMA models with uncorrelated but non-independent error terms (RePEc:eee:jmvana:v:102:y:2011:i:3:p:496-505)
by Boubacar Mainassara, Y. & Francq, C. - An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32)
by Francq, Christian & Sucarrat, Genaro - HAC estimation and strong linearity testing in weak ARMA models (RePEc:eee:jmvana:v:98:y:2007:i:1:p:114-144)
by Francq, Christian & Zakoïan, Jean-Michel - The L2-structures of standard and switching-regime GARCH models (RePEc:eee:spapps:v:115:y:2005:i:9:p:1557-1582)
by Francq, Christian & ZakoI¨an, Jean-Michel - Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284)
by Francq, Christian & Zakoian, Jean-Michel - Estimation of time-varying ARMA models with Markovian changes in regime (RePEc:eee:stapro:v:70:y:2004:i:4:p:243-251)
by Francq, Christian & Gautier, Antony - Inconsistency of the MLE and inference based on weighted LS for LARCH models (RePEc:hal:journl:hal-00732536)
by Christian Francq & Jean-Michel Zakoïan - Intrinsic Liquidity in Conditional Volatility Models (RePEc:hal:journl:hal-01500747)
by Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan - Poisson QMLE of Count Time Series Models (RePEc:hal:journl:hal-01533548)
by Ali Ahmad & Christian Francq - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-01980815)
by Serge Darolles & Christian Francq & Sébastien Laurent - Quasi score-driven models (RePEc:hal:journl:hal-04069143)
by F. Blasques & Christian Francq & Sébastien Laurent - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-04590180)
by Serge Darolles & Christian Francq & Sebastien Laurent - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-04590232)
by Serge Darolles & Christian Francq & Sébastien Laurent - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-04590251)
by Serge Darolles & Christian Francq & Sébastien Laurent - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-04590471)
by Serge Darolles & Christian Francq & Sébastien Laurent - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-04590522)
by Serge Darolles & Christian Francq & Sébastien Laurent - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:hal:journl:hal-04590533)
by Serge Darolles & Christian Francq & Sébastien Laurent - Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models (RePEc:hal:wpaper:hal-02898909)
by Christian Francq & Jean-Michel Zakoïan - Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (RePEc:hal:wpaper:halshs-01944656)
by Serge Darolles & Christian Francq & Sébastien Laurent - Variance Targeting Estimation of Multivariate GARCH Models (RePEc:oup:jfinec:v:14:y:2016:i:2:p:353-382.)
by Christian Francq & Lajos Horváth & Jean-Michel Zakoïan - An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (RePEc:oup:jfinec:v:16:y:2018:i:1:p:129-154.)
by Christian Francq & Genaro Sucarrat - Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models (RePEc:oup:jfinec:v:21:y:2023:i:5:p:1443-1482.)
by Christian Francq & Jean-Michel Zakoïan - Merits and Drawbacks of Variance Targeting in GARCH Models (RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656)
by Christian Francq & Lajos Horváth - Stationarity and ergodicity of Markov switching positive conditional mean models (RePEc:pra:mprapa:102503)
by Aknouche, Abdelhakim & Francq, Christian - Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models (RePEc:pra:mprapa:106542)
by Francq, Christian & Zakoian, Jean-Michel - Testing the existence of moments and estimating the tail index of augmented garch processes (RePEc:pra:mprapa:110511)
by Francq, Christian & Zakoian, Jean-Michel - Finite moments testing in a general class of nonlinear time series models (RePEc:pra:mprapa:121193)
by Francq, Christian & Zakoian, Jean-Michel - Bartlett's formula for a general class of non linear processes (RePEc:pra:mprapa:13224)
by Francq, Christian & Zakoian, Jean-Michel - Concepts and tools for nonlinear time series modelling (RePEc:pra:mprapa:15140)
by Amendola, Alessandra & Christian, Francq - Estimating structural VARMA models with uncorrelated but non-independent error terms (RePEc:pra:mprapa:15141)
by Boubacar Mainassara, Yacouba & Francq, Christian - Merits and drawbacks of variance targeting in GARCH models (RePEc:pra:mprapa:15143)
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel - Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models (RePEc:pra:mprapa:15147)
by Francq, Christian & Zakoian, Jean-Michel - Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space (RePEc:pra:mprapa:16669)
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel - Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons (RePEc:pra:mprapa:16672)
by Francq, Christian & Zakoian, Jean-Michel - Combining parametric and nonparametric approaches for more efficient time series prediction (RePEc:pra:mprapa:16893)
by Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel - On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses (RePEc:pra:mprapa:19740)
by Duchesne, Pierre & Francq, Christian - QML estimation of a class of multivariate GARCH models without moment conditions on the observed process (RePEc:pra:mprapa:20779)
by Francq, Christian & Zakoian, Jean-Michel - Optimal predictions of powers of conditionally heteroskedastic processes (RePEc:pra:mprapa:22155)
by Francq, Christian & Zakoian, Jean-Michel - Strict stationarity testing and estimation of explosive ARCH models (RePEc:pra:mprapa:22414)
by Francq, Christian & Zakoian, Jean-Michel - Computing and estimating information matrices of weak arma models (RePEc:pra:mprapa:27685)
by Boubacar Mainassara, Yacouba & Carbon, Michel & Francq, Christian - Portmanteau goodness-of-fit test for asymmetric power GARCH models (RePEc:pra:mprapa:27686)
by Carbon, Michel & Francq, Christian - Asymptotic properties of weighted least squares estimation in weak parma models (RePEc:pra:mprapa:28721)
by Francq, Christian & Roy, Roch & Saidi, Abdessamad - Garch models without positivity constraints: exponential or log garch? (RePEc:pra:mprapa:41373)
by Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel - Fourier--type estimation of the power garch model with stable--paretian innovations (RePEc:pra:mprapa:41667)
by Francq, Christian & Meintanis, Simos - Risk-parameter estimation in volatility models (RePEc:pra:mprapa:41713)
by Francq, Christian & Zakoian, Jean-Michel - Inference in non stationary asymmetric garch models (RePEc:pra:mprapa:44901)
by Francq, Christian & Zakoian, Jean-Michel - Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified (RePEc:pra:mprapa:51150)
by El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya - An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (RePEc:pra:mprapa:51783)
by Francq, Christian & Sucarrat, Genaro - Estimating multivariate GARCH and stochastic correlation models equation by equation (RePEc:pra:mprapa:54250)
by Francq, Christian & Zakoian, Jean-Michel - Variance targeting estimation of multivariate GARCH models (RePEc:pra:mprapa:57794)
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel - Poisson qmle of count time series models (RePEc:pra:mprapa:59804)
by Ahmad, Ali & Francq, Christian - Qml inference for volatility models with covariates (RePEc:pra:mprapa:63198)
by Francq, Christian & Thieu, Le Quyen - Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns (RePEc:pra:mprapa:67140)
by Francq, Christian & Sucarrat, Genaro - Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels (RePEc:pra:mprapa:67195)
by Francq, Christian & Zakoian, Jean-Michel - Tests for sphericity in multivariate garch models (RePEc:pra:mprapa:67411)
by Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos - Joint inference on market and estimation risks in dynamic portfolios (RePEc:pra:mprapa:68100)
by Francq, Christian & Zakoian, Jean-Michel - Asymptotics of Cholesky GARCH models and time-varying conditional betas (RePEc:pra:mprapa:83988)
by Darolles, Serges & Francq, Christian & Laurent, Sébastien - Functional GARCH models: the quasi-likelihood approach and its applications (RePEc:pra:mprapa:83990)
by Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel - Count and duration time series with equal conditional stochastic and mean orders (RePEc:pra:mprapa:90838)
by Aknouche, Abdelhakim & Francq, Christian - Virtual Historical Simulation for estimating the conditional VaR of large portfolios (RePEc:pra:mprapa:95965)
by Francq, Christian & Zakoian, Jean-Michel - Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models (RePEc:pra:mprapa:97382)
by Aknouche, Abdelhakim & Francq, Christian - Testing the existence of moments for GARCH processes (RePEc:pra:mprapa:98892)
by Francq, Christian & Zakoian, Jean-Michel - Stochastic unit-root bilinear processes (RePEc:sce:scecfa:63)
by Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan - Inference in GARCH when some coefficients are equal to zero (RePEc:sce:scecfa:64)
by Christian Francq & Jean-Michel Zakoïan - Consistent and asymptotically normal estimators for cyclically time-dependent linear models (RePEc:spr:aistmt:v:55:y:2003:i:1:p:41-68)
by Abdelouahab Bibi & Christian Francq - On the Identifiability of Minimal VARMA Representations (RePEc:spr:sistpr:v:1:y:1998:i:1:p:1-15)
by Alain Berlinet & Christian Francq - Goodness-of-fit tests for Log-GARCH and EGARCH models (RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2)
by Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan - Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions (RePEc:taf:jnlbes:v:31:y:2013:i:4:p:412-425)
by Christian Francq & Jean-Michel Zakoïan - Comment (RePEc:taf:jnlbes:v:32:y:2014:i:2:p:198-201)
by Christian Francq & Jean-Michel Zakoïan - Volatility Estimation When the Zero-Process is Nonstationary (RePEc:taf:jnlbes:v:41:y:2022:i:1:p:53-66)
by Christian Francq & Genaro Sucarrat - A New Class of Robust Observation-Driven Models (RePEc:tin:wpaper:20200073)
by Francisco Blasques & Christian Francq & Sébastien Laurent - Conditional heteroskedasticity driven by hidden Markov chains (RePEc:zbw:sfb373:199886)
by Francq, Christian & Roussignol, Michel & Zakoian, Jean-Michel