Francq, Christian and Zakoian, Jean-Michel (2009): Bartlett's formula for a general class of non linear processes.
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): 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 (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.
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): Optimal predictions of powers of conditionally heteroskedastic processes.
Francq, Christian and Zakoian, Jean-Michel (2010): Strict stationarity testing and estimation of explosive ARCH models.
Regnard, Nazim and Zakoian, Jean-Michel (2010): A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices.
Francq, Christian and Wintenberger, Olivier and Zakoian, Jean-Michel (2012): Garch models without positivity constraints: exponential or log garch?
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.
Francq, Christian and Zakoian, Jean-Michel (2014): Estimating multivariate GARCH and stochastic correlation models equation by equation.
Gouriéroux, Christian and Zakoian, Jean-Michel (2014): On uniqueness of moving average representations of heavy-tailed stationary processes.
Francq, Christian and Horvath, Lajos and Zakoian, Jean-Michel (2014): Variance targeting estimation of multivariate GARCH models.
Saidi, Youssef and Zakoian, Jean-Michel (2006): Stationarity and geometric ergodicity of a class of nonlinear ARCH models. Published in: The Annals of Applied Probability , Vol. 4, No. 16 (2006): pp. 2256-2271.
Francq, Christian and Zakoian, Jean-Michel (2015): Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels.
Francq, Christian and Zakoian, Jean-Michel (2015): Joint inference on market and estimation risks in dynamic portfolios.
Gouriéroux, Christian and Zakoian, Jean-Michel (2016): Local Explosion Modelling by Noncausal Process. Forthcoming in: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Gouriéroux, Christian and Monfort, Alain and Zakoian, Jean-Michel (2017): Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations.
Cerovecki, Clément and Francq, Christian and Hormann, Siegfried and Zakoian, Jean-Michel (2018): Functional GARCH models: the quasi-likelihood approach and its applications.
Fries, Sébastien and Zakoian, Jean-Michel (2017): Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles.
Gouriéroux, Christian and Monfort, Alain and Zakoian, Jean-Michel (2018): Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations. Forthcoming in: Econometrica
Francq, Christian and Zakoian, Jean-Michel (2019): Virtual Historical Simulation for estimating the conditional VaR of large portfolios. Forthcoming in: Journal of Econometrics
Francq, Christian and Zakoian, Jean-Michel (2019): Testing the existence of moments for GARCH processes. Forthcoming in: Journal of Econometrics
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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