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Number of items: 33.

13224

Francq, Christian and Zakoian, Jean-Michel (2009): Bartlett's formula for a general class of non linear processes.

15141

Boubacar Mainassara, Yacouba and Francq, Christian (2009): Estimating structural VARMA models with uncorrelated but non-independent error terms.

15143

Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2009): Merits and drawbacks of variance targeting in GARCH models.

15147

Francq, Christian and Zakoian, Jean-Michel (2009): Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models.

16668

Amendola, Alessandra and Francq, Christian (2009): Concepts and tools for nonlinear time series modelling. Forthcoming in: Handbook of Computational Econometrics (July 2009)

16669

Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2008): Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space.

16672

Francq, Christian and Zakoian, Jean-Michel (2008): Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.

16893

Dabo-Niang, Sophie and Francq, Christian and Zakoian, Jean-Michel (2009): Combining parametric and nonparametric approaches for more efficient time series prediction.

19740

Duchesne, Pierre and Francq, Christian (2010): On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses.

20779

Francq, Christian and Zakoian, Jean-Michel (2010): QML estimation of a class of multivariate GARCH models without moment conditions on the observed process.

22155

Francq, Christian and Zakoian, Jean-Michel (2010): Optimal predictions of powers of conditionally heteroskedastic processes.

22414

Francq, Christian and Zakoian, Jean-Michel (2010): Strict stationarity testing and estimation of explosive ARCH models.

27685

Boubacar Mainassara, Yacouba and Carbon, Michel and Francq, Christian (2010): Computing and estimating information matrices of weak arma models.

27686

Carbon, Michel and Francq, Christian (2010): Portmanteau goodness-of-fit test for asymmetric power GARCH models.

28721

Francq, Christian and Roy, Roch and Saidi, Abdessamad (2011): Asymptotic properties of weighted least squares estimation in weak parma models.

41373

Francq, Christian and Wintenberger, Olivier and Zakoian, Jean-Michel (2012): Garch models without positivity constraints: exponential or log garch?

41667

Francq, Christian and Meintanis, Simos (2012): Fourier--type estimation of the power garch model with stable--paretian innovations.

41713

Francq, Christian and Zakoian, Jean-Michel (2012): Risk-parameter estimation in volatility models.

44901

Francq, Christian and Zakoian, Jean-Michel (2013): Inference in non stationary asymmetric garch models.

51150

El Ghourabi, Mohamed and Francq, Christian and Telmoudi, Fedya (2013): Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.

51783

Francq, Christian and Sucarrat, Genaro (2013): An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.

54250

Francq, Christian and Zakoian, Jean-Michel (2014): Estimating multivariate GARCH and stochastic correlation models equation by equation.

57794

Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2014): Variance targeting estimation of multivariate GARCH models.

59804

Ahmad, Ali and Francq, Christian (2014): Poisson qmle of count time series models.

63198

Francq, Christian and Thieu, Le Quyen (2015): Qml inference for volatility models with covariates.

67140

Francq, Christian and Sucarrat, Genaro (2015): Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.

67195

Francq, Christian and Zakoian, Jean-Michel (2015): Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels.

67411

Francq, Christian and Jiménez Gamero, Maria Dolores and Meintanis, Simos (2015): Tests for sphericity in multivariate garch models.

68100

Francq, Christian and Zakoian, Jean-Michel (2015): Joint inference on market and estimation risks in dynamic portfolios.

83988

Darolles, Serges and Francq, Christian and Laurent, Sébastien (2018): Asymptotics of Cholesky GARCH models and time-varying conditional betas.

83990

Cerovecki, Clément and Francq, Christian and Hormann, Siegfried and Zakoian, Jean-Michel (2018): Functional GARCH models: the quasi-likelihood approach and its applications.

90838

Aknouche, Abdelhakim and Francq, Christian (2018): Count and duration time series with equal conditional stochastic and mean orders.

95965

Francq, Christian and Zakoian, Jean-Michel (2019): Virtual Historical Simulation for estimating the conditional VaR of large portfolios. Forthcoming in: Journal of Econometrics

This list was generated on Thu Nov 21 22:14:41 2019 CET.
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