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 2 3 51 0 2 4 52
A Tour in the Asymptotic Theory of GARCH Estimation 1 2 4 205 1 3 7 315
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 0 1 32
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 1 3 86 0 1 5 172
Asymptotic properties of weighted least squares estimation in weak parma models 0 0 1 79 1 2 8 263
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 4 0 0 3 60
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 1 1 5 0 2 4 70
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 6 0 2 3 47
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
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 0 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 70 0 0 4 174
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 0 0 0 0 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 0 1
Autoregressive conditional betas 0 0 0 0 0 0 2 2
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 0 3 88
Bartlett's formula for a general class of non linear processes 0 0 4 174 0 1 12 600
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 72 0 0 0 198
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 0 1 93
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 180 0 1 7 301
Computing and estimating information matrices of weak arma models 0 0 0 46 0 1 4 146
Concepts and tools for nonlinear time series modelling 0 0 1 298 0 0 5 334
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 62 0 1 5 131
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 1 3 173
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 1 90 0 2 4 174
Count and duration time series with equal conditional stochastic and mean orders 0 1 5 82 0 3 13 197
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 1 2 18 0 1 3 64
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 1 2 33
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 0 2 25
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 0 84 0 0 1 157
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 0 0 2 157
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 1 1 1 40 1 1 1 69
Estimating Weak Garch Representations 0 0 0 55 1 1 2 127
Estimating dynamic systemic risk measures 1 3 19 105 3 9 40 143
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 2 101 0 0 3 159
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 1 153 0 0 7 365
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 0 0 6 220
Finite moments testing in a general class of nonlinear time series models 0 0 3 3 0 1 9 16
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 0 0 5 89 1 1 10 154
Garch models without positivity constraints: exponential or log garch? 0 0 2 133 0 0 5 280
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 0 2 40
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 0 0 2 174
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 2 3 305
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 1 1 3 56
Inference in non stationary asymmetric garch models 0 0 1 69 1 1 5 126
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 4 72 0 0 12 115
Inference on breaks in weak location time series models with quasi-Fisher scores 0 0 0 0 0 0 0 0
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 0 0 6 130
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 1 2 60
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 0 12 0 0 3 31
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 0 3 73
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 1 1 52
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 12 0 2 4 138
Merits and drawbacks of variance targeting in GARCH models 0 3 5 421 0 3 11 1,366
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 0 2 73
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 2 272
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 0 1 27
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 1 1 1 70 1 1 2 228
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 0 21 0 0 1 65
Optimal predictions of powers of conditionally heteroskedastic processes 1 1 2 164 1 1 4 346
Poisson QMLE of Count Time Series Models 0 0 0 0 0 1 3 46
Poisson qmle of count time series models 0 0 2 123 0 2 6 256
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 0 97 0 0 3 243
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 0 1 57
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 1 2 4 241 1 2 8 514
Qml inference for volatility models with covariates 0 1 5 208 0 1 10 280
Quasi score-driven models 0 0 0 23 0 0 0 10
Risk-parameter estimation in volatility models 0 2 2 169 0 3 6 348
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 3 117 0 0 9 87
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 1 86 0 0 1 507
Stochastic unit-root bilinear processes 0 0 0 0 0 0 3 202
Strict stationarity testing and estimation of explosive ARCH models 0 0 1 170 0 0 2 342
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 0 1 4 85
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 2 2 2 155 2 3 4 341
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 0 2 123
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 158 0 0 6 103
Testing the existence of moments for GARCH processes 0 0 0 52 0 0 3 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 1 1 197 0 3 6 413
Tests for sphericity in multivariate garch models 0 0 1 70 0 1 2 128
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 0 1 87 0 0 4 155
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 0 5 33
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 0 0 21
Total Working Papers 8 27 106 5,920 18 67 355 13,937

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 3 7 99 4 5 12 308
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 1 1 1 71 3 3 6 210
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 2 21 0 0 3 58
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 17 0 0 1 79
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 16 0 0 0 79
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 62 0 0 0 203
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 16 0 2 12 110
Autoregressive conditional betas 0 0 2 4 0 2 9 14
Bartlett's formula for a general class of nonlinear processes 0 0 3 104 0 1 7 376
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 1 3 56
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 6 0 1 5 21
Combining Nonparametric and Optimal Linear Time Series Predictions 0 1 1 44 0 2 3 121
Comment 0 0 0 2 0 0 1 24
Computing and estimating information matrices of weak ARMA models 0 0 0 8 0 1 3 47
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 6 0 0 6 20
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 1 1 4 33
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 14 0 0 2 86
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 61 0 0 4 184
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 2 143 0 0 7 312
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 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 0 0 3 46
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 1 22 0 0 3 133
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 0 0 3 50
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 1 80 0 0 2 220
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 1 1 4 57
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 10 4 4 9 73
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 47 2 4 11 176
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 1 13 0 0 2 48
HAC estimation and strong linearity testing in weak ARMA models 1 2 3 45 1 3 7 179
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 0 1 1 0 0 2 2
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 1 13 1 1 4 85
Inference on dynamic systemic risk measures 2 5 9 9 5 10 19 19
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 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 0 67 0 0 0 243
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 2 51 0 1 3 132
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 0 1 59
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 92 0 0 2 210
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 27 0 1 4 114
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 0 0 129 0 0 5 460
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 0 1 70
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 0 0 1 11
On White Noises Driven by Hidden Markov Chains 0 0 0 1 0 0 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 0 0 2 9 0 0 4 14
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 1 1 3 56
Poisson QMLE of Count Time Series Models 0 0 1 14 1 2 5 63
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 25 0 2 5 93
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 1 11 0 0 4 61
Quasi score-driven models 0 0 0 3 1 1 4 15
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 1 25 1 3 6 113
Risk-parameter estimation in volatility models 0 0 0 65 0 3 13 232
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 1 1 3 77
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 0 2 8
Stationarity of multivariate Markov-switching ARMA models 1 2 6 338 1 2 11 661
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 2 2 3 190
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 0 1 2 287
Testing the existence of moments for GARCH processes 0 2 4 10 0 2 7 21
Tests for conditional ellipticity in multivariate GARCH models 0 0 0 10 2 2 4 89
The L2-structures of standard and switching-regime GARCH models 1 1 3 28 2 2 8 87
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 2 2 2
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 64 1 1 6 184
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 1 1 3 3 1 3 11 13
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 0 3 10 97
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 1 1 7 1 3 7 43
Volatility Estimation When the Zero-Process is Nonstationary 0 0 2 11 1 2 6 27
Total Journal Articles 10 20 72 2,318 39 82 308 7,519

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 statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

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

Statistics updated 2025-08-05