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 Tour in the Asymptotic Theory of GARCH Estimation 3 11 32 32 3 13 47 47
Barlett’s Formula for Non Linear Processes 0 0 4 4 0 2 16 16
Bartlett's formula for a general class of non linear processes 1 8 37 37 12 29 108 108
Can One Really Estimate Nonstationary GARCH Models ? 4 11 25 25 6 18 45 45
Combining parametric and nonparametric approaches for more efficient time series prediction 3 33 33 33 5 15 15 15
Concepts and tools for nonlinear time series modelling 5 23 130 130 5 23 48 48
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 4 0 1 8 8
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 41 4 6 15 157
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 1 1 4 4 3 5 14 14
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 0 1 1 5 5
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 1 2 10 10 3 8 32 32
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 2 2 7 7 2 2 11 11
Estimating Weak Garch Representations 2 3 8 8 4 5 14 14
Estimating structural VARMA models with uncorrelated but non-independent error terms 6 15 35 35 10 23 43 43
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 1 5 18 18 3 12 16 16
Inference in GARCH when some coefficients are equal to zero 2 5 17 79 2 9 41 172
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 3 3 3 0 4 8 8
Merits and drawbacks of variance targeting in GARCH models 9 21 49 49 18 48 86 86
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 1 1 3 4 16 182
Stationarity of Multivariate Markov-Switching ARMA Models 2 3 17 18 2 6 36 371
Stochastic unit-root bilinear processes 0 0 0 0 3 3 22 126
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 1 2 2 2 4 7 7 7
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 7 12 12 0 8 25 25
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 2 21 21 21 4 8 8 8
Total Working Papers 45 177 469 573 97 260 686 1,564

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 3 5 16 24 6 13 43 64
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 1 1 7 19 1 3 26 66
Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations 1 1 13 26 3 4 45 93
Bartlett's formula for a general class of nonlinear processes 2 10 10 10 25 46 46 46
COMMENTS ON THE PAPER BY MINXIAN YANG 1 2 3 3 1 6 14 14
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 6 0 0 13 41
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 3 10 12 1 6 18 23
Diagnostic Checking in ARMA Models With Uncorrelated Errors 4 11 28 48 4 15 59 96
ESTIMATING WEAK GARCH REPRESENTATIONS 6 10 21 21 7 15 33 33
Estimation of time-varying ARMA models with Markovian changes in regime 1 2 11 11 1 6 24 24
HAC estimation and strong linearity testing in weak ARMA models 2 2 5 5 5 8 18 18
Large sample properties of parameter least squares estimates for time-varying arma models 1 3 9 33 1 5 28 125
Linear-representation Based Estimation of Stochastic Volatility Models 2 3 7 16 2 3 16 35
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 3 6 15 16 7 17 37 40
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 3 8 23 44 7 27 75 151
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 1 1 1 7 1 1 2 30
On the Identifiability of Minimal VARMA Representations 0 0 5 8 0 1 9 20
Special Issue on Nonlinear Modelling and Financial Econometrics 0 1 2 13 0 2 9 32
Stationarity of multivariate Markov-switching ARMA models 3 9 26 114 5 13 42 209
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 2 8 8 8 3 14 14 14
Total Journal Articles 36 86 220 444 80 205 571 1,174

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Swedish Business School at Örebro University.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2009-11-04