Access Statistics for Christian Francq

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Class of Robust Observation-Driven Models 0 0 1 49 1 1 3 50
A Tour in the Asymptotic Theory of GARCH Estimation 1 1 2 203 2 2 4 312
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 1 1 1 32
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 2 2 85 0 3 5 171
Asymptotic properties of weighted least squares estimation in weak parma models 0 0 1 79 1 2 10 261
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 4 1 2 3 60
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 1 1 2 68
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 1 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 0 0
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 5 1 1 1 45
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 1 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 1 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 70 1 1 4 174
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 1 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 1 1
Autoregressive conditional betas 0 0 0 0 1 1 2 2
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 2 3 88
Bartlett's formula for a general class of non linear processes 0 0 5 174 2 4 13 599
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 72 0 0 1 198
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 1 1 93
Combining parametric and nonparametric approaches for more efficient time series prediction 1 1 2 180 2 3 10 300
Computing and estimating information matrices of weak arma models 0 0 0 46 1 2 3 145
Concepts and tools for nonlinear time series modelling 0 0 1 298 0 3 5 334
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 2 4 61 1 3 7 130
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 2 2 172
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 1 90 1 1 2 172
Count and duration time series with equal conditional stochastic and mean orders 0 2 5 81 1 5 12 194
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 17 1 1 2 63
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 1 1 32
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 2 2 2 25
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 1 84 0 1 3 157
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 1 2 4 157
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 0 39 0 0 1 68
Estimating Weak Garch Representations 0 0 0 55 1 1 1 126
Estimating dynamic systemic risk measures 0 3 21 102 1 5 42 134
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 3 101 1 1 7 159
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 2 153 1 4 8 365
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 2 3 6 220
Finite moments testing in a general class of nonlinear time series models 0 1 3 3 1 3 15 15
Fourier--type estimation of the power garch model with stable--paretian innovations 0 0 1 79 0 0 1 172
Functional GARCH models: the quasi-likelihood approach and its applications 1 1 6 89 2 3 11 153
Garch models without positivity constraints: exponential or log garch? 1 1 2 133 2 2 5 280
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 1 2 3 40
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 1 1 1 80 1 1 4 174
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 0 1 303
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 2 2 3 55
Inference in non stationary asymmetric garch models 0 0 1 69 2 2 4 125
Inference on Multiplicative Component GARCH without any Small-Order Moment 1 1 7 72 1 4 19 115
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 1 28
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 1 2 6 130
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 1 1 59
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 12 1 1 6 31
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 3 3 73
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 0 0 51
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 12 1 1 2 136
Merits and drawbacks of variance targeting in GARCH models 0 0 2 418 0 1 13 1,363
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 1 1 3 73
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 1 2 2 272
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 1 1 27
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 0 69 1 1 1 227
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 0 21 1 1 1 65
Optimal predictions of powers of conditionally heteroskedastic processes 1 1 2 163 2 3 4 345
Poisson QMLE of Count Time Series Models 0 0 0 0 0 0 2 45
Poisson qmle of count time series models 0 0 4 123 1 2 6 254
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 0 97 1 2 3 243
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 1 1 57
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 2 2 4 239 2 2 9 512
Qml inference for volatility models with covariates 1 1 5 207 2 2 10 279
Quasi score-driven models 0 0 0 23 0 0 0 10
Risk-parameter estimation in volatility models 0 0 2 167 1 1 7 345
Stationarity and ergodicity of Markov switching positive conditional mean models 1 2 5 117 2 5 13 87
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 2 86 0 0 2 507
Stochastic unit-root bilinear processes 0 0 0 0 1 1 3 202
Strict stationarity testing and estimation of explosive ARCH models 1 1 1 170 2 2 3 342
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 1 2 3 84
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 0 153 1 1 1 338
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 1 1 2 123
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 2 158 0 3 9 103
Testing the existence of moments for GARCH processes 0 0 0 52 0 1 4 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 0 196 0 0 3 410
Tests for sphericity in multivariate garch models 0 0 2 70 0 0 2 127
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 0 74 0 0 3 105
Variance targeting estimation of multivariate GARCH models 0 1 2 87 1 3 5 155
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 0 0 21
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 3 4 5 33
Total Working Papers 12 24 111 5,893 74 134 382 13,870

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE 0 1 5 96 1 3 10 303
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 70 1 1 3 207
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 2 2 21 0 2 3 58
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 1 17 0 0 2 79
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 1 16 0 0 1 79
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 62 0 0 1 203
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 16 2 4 10 108
Autoregressive conditional betas 0 0 3 4 0 3 9 12
Bartlett's formula for a general class of nonlinear processes 1 1 3 104 2 2 6 375
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 2 2 55
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 1 6 1 2 6 20
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 43 1 1 1 119
Comment 0 0 0 2 1 1 1 24
Computing and estimating information matrices of weak ARMA models 0 0 0 8 1 2 3 46
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 6 1 3 8 20
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 1 2 3 32
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 1 14 1 1 3 86
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 61 1 2 5 184
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 3 143 1 2 9 312
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 1 1 1 151
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 0 0 3
Estimating multivariate volatility models equation by equation 0 0 0 12 1 2 3 46
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 1 1 22 0 2 3 133
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 1 1 15 0 2 4 50
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 2 80 1 1 4 220
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 1 1 3 56
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 10 2 3 9 69
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 47 2 2 7 172
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 1 13 0 0 3 48
HAC estimation and strong linearity testing in weak ARMA models 0 1 2 43 1 3 6 176
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 1 1 1 1 1 1 2 2
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 2 13 1 2 4 84
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 2 2 2 52
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 0 0 0 2
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 1 67 0 0 2 243
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 2 51 0 0 4 131
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 1 1 1 59
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 92 1 2 2 210
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 2 27 0 1 3 113
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 0 0 129 2 3 5 460
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 1 1 1 70
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 0 1 1 11
On White Noises Driven by Hidden Markov Chains 0 0 0 1 1 1 1 7
On the Identifiability of Minimal VARMA Representations 0 0 1 16 0 0 2 50
Optimal estimating function for weak location‐scale dynamic models 1 1 3 9 1 3 5 14
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 0 0 2 55
Poisson QMLE of Count Time Series Models 0 0 2 14 1 1 5 61
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 25 1 3 4 91
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 1 11 1 2 5 61
Quasi score-driven models 0 0 0 3 0 2 3 14
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 1 24 2 2 4 110
Risk-parameter estimation in volatility models 0 0 2 65 1 1 14 229
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 1 2 2 76
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 0 1 89
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 4 0 1 2 8
Stationarity of multivariate Markov-switching ARMA models 2 3 5 336 3 6 14 659
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 1 1 1 188
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 0 1 4
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 1 1 1 286
Testing the existence of moments for GARCH processes 0 1 3 8 0 3 8 19
Tests for conditional ellipticity in multivariate GARCH models 0 0 0 10 1 1 2 87
The L2-structures of standard and switching-regime GARCH models 0 1 2 27 1 3 6 85
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 1 1 64 2 3 6 183
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 1 1 2 2 1 2 9 10
Variance Targeting Estimation of Multivariate GARCH Models 0 1 1 18 0 3 8 94
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 6 2 2 4 40
Volatility Estimation When the Zero-Process is Nonstationary 1 1 3 11 1 1 5 25
Total Journal Articles 7 20 68 2,294 56 108 271 7,428

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Statistics updated 2025-05-12