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.
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.
Francq, Christian and Zakoian, Jean-Michel (2009): Bartlett's formula for a general class of non linear processes.
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.
Duchesne, Pierre and Francq, Christian (2010): On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses.
Francq, Christian and Zakoian, Jean-Michel (2010): QML estimation of a class of multivariate GARCH models without moment conditions on the observed process.
Francq, Christian and Zakoian, Jean-Michel (2010): Strict stationarity testing and estimation of explosive ARCH models.
Francq, Christian and Zakoian, Jean-Michel (2010): Optimal predictions of powers of conditionally heteroskedastic processes.
Francq, Christian and Roy, Roch and Saidi, Abdessamad (2011): Asymptotic properties of weighted least squares estimation in weak parma models.
Francq, Christian and Wintenberger, Olivier and Zakoian, Jean-Michel (2012): Garch models without positivity constraints: exponential or log garch?
Francq, Christian and Meintanis, Simos (2012): Fourier--type estimation of the power garch model with stable--paretian innovations.
Francq, Christian and Zakoian, Jean-Michel (2012): Risk-parameter estimation in volatility models.
Francq, Christian and Zakoian, Jean-Michel (2013): Inference in non stationary asymmetric garch models.
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.
Francq, Christian and Sucarrat, Genaro (2013): An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.
Francq, Christian and Zakoian, Jean-Michel (2014): Estimating multivariate GARCH and stochastic correlation models equation by equation.
Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2014): Variance targeting estimation of multivariate GARCH models.
Ahmad, Ali and Francq, Christian (2014): Poisson qmle of count time series models.
Francq, Christian and Thieu, Le Quyen (2015): Qml inference for volatility models with covariates.
Francq, Christian and Jiménez Gamero, Maria Dolores and Meintanis, Simos (2015): Tests for sphericity in multivariate garch models.
Francq, Christian and Zakoian, Jean-Michel (2015): Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels.
Francq, Christian and Sucarrat, Genaro (2015): Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.
Francq, Christian and Zakoian, Jean-Michel (2015): Joint inference on market and estimation risks in dynamic portfolios.
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.
Aknouche, Abdelhakim and Francq, Christian (2018): Count and duration time series with equal conditional stochastic and mean orders.
Francq, Christian and Zakoian, Jean-Michel (2019): Virtual Historical Simulation for estimating the conditional VaR of large portfolios. Forthcoming in: Journal of Econometrics
Aknouche, Abdelhakim and Francq, Christian (2019): Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models.
Francq, Christian and Zakoian, Jean-Michel (2019): Testing the existence of moments for GARCH processes. Forthcoming in: Journal of Econometrics
Aknouche, Abdelhakim and Francq, Christian (2020): Stationarity and ergodicity of Markov switching positive conditional mean models.
Francq, Christian and Zakoian, Jean-Michel (2021): Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models.
Francq, Christian and Zakoian, Jean-Michel (2021): Testing the existence of moments and estimating the tail index of augmented garch processes.
Francq, Christian and Zakoian, Jean-Michel (2024): Finite moments testing in a general class of nonlinear time series models.
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