Access Statistics for Christian Francq

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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 1 1 49 0 1 3 49
A Tour in the Asymptotic Theory of GARCH Estimation 0 1 2 202 0 1 3 310
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 0 0 31
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 1 1 1 84 1 1 3 169
Asymptotic properties of weighted least squares estimation in weak parma models 0 1 1 79 0 3 8 259
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 1 1 4 0 1 1 58
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 1 1 67
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 5 0 0 0 44
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 0
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 1 1 70 0 1 4 173
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 0
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 0 1 1 1
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 1 86
Bartlett's formula for a general class of non linear processes 0 0 6 174 2 2 12 597
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 72 0 0 2 198
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 0 0 92
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 179 0 2 7 297
Computing and estimating information matrices of weak arma models 0 0 0 46 0 1 1 143
Concepts and tools for nonlinear time series modelling 0 1 1 298 2 4 4 333
Conditional Heteroskedasticity Driven by Hidden Markov Chains 1 1 3 60 1 1 5 128
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 0 0 170
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 1 90 0 0 1 171
Count and duration time series with equal conditional stochastic and mean orders 2 3 6 81 3 5 11 192
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 17 0 0 1 62
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 0 0 31
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 0 0 23
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 1 84 1 1 4 157
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 1 1 4 156
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 0 0 0 125
Estimating dynamic systemic risk measures 2 6 21 101 3 12 44 132
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 3 101 0 0 6 158
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 2 153 2 3 6 363
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 1 1 108 1 2 4 218
Finite moments testing in a general class of nonlinear time series models 0 0 2 2 1 2 13 13
Fourier--type estimation of the power garch model with stable--paretian innovations 0 1 1 79 0 1 1 172
Functional GARCH models: the quasi-likelihood approach and its applications 0 2 5 88 0 3 10 150
Garch models without positivity constraints: exponential or log garch? 0 1 1 132 0 1 3 278
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 0 1 38
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 79 0 0 3 173
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 0 0 1 53
Inference in non stationary asymmetric garch models 0 0 1 69 0 1 2 123
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 1 7 71 1 2 18 112
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 5 129
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 0 0 58
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 12 0 0 6 30
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 1 49 0 0 1 70
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 0 0 1 135
Merits and drawbacks of variance targeting in GARCH models 0 0 5 418 1 1 18 1,363
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 0 2 72
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 0 270
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 1 1 27
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 0 69 0 0 0 226
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 0 21 0 0 0 64
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 1 162 0 0 1 342
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 0 0 4 252
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 0 97 0 1 2 241
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 1 1 1 57
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 3 237 0 2 9 510
Qml inference for volatility models with covariates 0 2 4 206 0 3 9 277
Quasi score-driven models 0 0 0 23 0 0 0 10
Risk-parameter estimation in volatility models 0 0 2 167 0 0 7 344
Stationarity and ergodicity of Markov switching positive conditional mean models 1 1 6 116 2 4 12 84
Stationarity of Multivariate Markov-Switching ARMA Models 0 1 3 86 0 1 5 507
Stochastic unit-root bilinear processes 0 0 0 0 0 1 2 201
Strict stationarity testing and estimation of explosive ARCH models 0 0 0 169 0 0 1 340
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 0 0 1 82
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 1 153 0 0 1 337
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 1 1 122
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 2 158 0 2 12 100
Testing the existence of moments for GARCH processes 0 0 0 52 1 2 4 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 196 0 1 4 410
Tests for sphericity in multivariate garch models 0 0 2 70 0 0 3 127
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 0 74 0 1 3 105
Variance targeting estimation of multivariate GARCH models 1 1 2 87 1 1 3 153
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 0 1 29
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 0 0 21
Total Working Papers 8 28 110 5,877 27 80 317 13,763

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 4 95 1 3 8 301
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 70 0 1 2 206
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 1 1 1 20 1 2 2 57
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 1 17 0 0 3 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 1 2 16 1 3 7 105
Autoregressive conditional betas 0 1 4 4 2 3 10 11
Bartlett's formula for a general class of nonlinear processes 0 0 3 103 0 0 5 373
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 0 0 53
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 1 6 0 1 4 18
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 43 0 0 0 118
Comment 0 0 0 2 0 0 0 23
Computing and estimating information matrices of weak ARMA models 0 0 0 8 1 1 2 45
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 2 5 0 2 5 17
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 0 1 1 30
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 1 14 0 0 2 85
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 61 1 2 4 183
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 3 143 0 2 8 310
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 0 150
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 1 3 45
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 21 0 1 1 131
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 1 1 1 15 2 2 4 50
Estimation of time-varying ARMA models with Markovian changes in regime 0 1 2 80 0 1 4 219
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 0 0 3 55
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 10 1 1 9 67
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 47 0 2 6 170
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 0 1 42 1 2 5 174
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 0 0 0 0 1 1 1
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 1 2 13 0 1 2 82
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 0 50
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 2 2 51 0 2 5 131
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 0 0 58
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 92 1 1 2 209
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 26 0 1 4 112
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 0 0 129 1 1 3 458
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 0 0 69
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 1 1 1 11
On White Noises Driven by Hidden Markov Chains 0 0 0 1 0 0 0 6
On the Identifiability of Minimal VARMA Representations 0 0 1 16 0 1 2 50
Optimal estimating function for weak location‐scale dynamic models 0 1 2 8 1 2 3 12
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 0 0 5 60
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 3 25 2 2 6 90
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 2 11 1 2 5 60
Quasi score-driven models 0 0 1 3 2 3 4 14
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 1 24 0 0 2 108
Risk-parameter estimation in volatility models 0 0 2 65 0 0 14 228
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 0 0 74
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 1 1 89
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 4 0 0 1 7
Stationarity of multivariate Markov-switching ARMA models 0 0 3 333 1 2 12 654
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 0 0 0 187
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 2 2 0 1 4 4
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 0 2 285
Testing the existence of moments for GARCH processes 1 2 3 8 2 3 7 18
Tests for conditional ellipticity in multivariate GARCH models 0 0 0 10 0 0 1 86
The L2-structures of standard and switching-regime GARCH models 0 0 2 26 0 0 4 82
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 0 63 0 1 3 180
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 1 1 0 2 7 8
Variance Targeting Estimation of Multivariate GARCH Models 1 1 1 18 3 3 8 94
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 6 0 0 2 38
Volatility Estimation When the Zero-Process is Nonstationary 0 1 2 10 0 2 4 24
Total Journal Articles 4 15 66 2,278 27 64 222 7,347

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Statistics updated 2025-03-03