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Group by: Date | Item ID
Number of items: 33.

2008

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.

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

2009

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

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

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

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.

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

5 February 2009

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

2010

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

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

January 2010

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

February 2010

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

April 2010

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

17 April 2010

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

1 February 2011

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

16 September 2012

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

1 October 2012

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

4 October 2012

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

1 March 2013

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

October 2013

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.

24 October 2013

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

2014

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

6 August 2014

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

November 2014

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

March 2015

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

September 2015

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

October 2015

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

8 October 2015

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

November 2015

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

18 January 2018

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

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

11 November 2018

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

10 September 2019

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 Sun Oct 13 04:31:00 2019 CEST.
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