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 0 1 2 184 1 2 8 278
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 10 10 10 10 8 8 8 8
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 4 67 1 3 17 128
Asymptotic properties of weighted least squares estimation in weak parma models 0 1 2 71 3 8 26 227
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 2 5 18 28
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 1 4 14 20
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 2 4 1 3 17 21
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 4 12 64 1 6 36 121
Barlett’s Formula for Non Linear Processes 0 0 0 11 0 0 4 80
Bartlett's formula for a general class of non linear processes 0 1 2 154 1 5 24 550
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 69 0 1 5 188
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 1 4 86
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 172 1 1 11 276
Computing and estimating information matrices of weak arma models 0 0 0 45 3 5 10 135
Concepts and tools for nonlinear time series modelling 0 0 1 287 1 1 9 311
Conditional Heteroskedasticity Driven by Hidden Markov Chains 1 1 2 48 2 3 13 102
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 0 4 162
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 0 80 1 1 11 142
Count and duration time series with equal conditional stochastic and mean orders 0 0 22 50 2 7 54 91
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 0 15 0 0 2 55
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 0 3 29
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 1 1 6 1 3 6 22
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 4 81 0 3 18 120
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 44 0 0 7 136
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 0 37 0 0 3 60
Estimating Weak Garch Representations 0 1 1 51 0 2 5 108
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 1 95 4 4 15 140
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 1 148 3 4 16 346
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 3 102 0 0 15 198
Fourier--type estimation of the power garch model with stable--paretian innovations 0 0 0 74 0 2 8 154
Functional GARCH models: the quasi-likelihood approach and its applications 2 4 12 71 3 5 25 93
Garch models without positivity constraints: exponential or log garch? 0 0 2 122 1 1 11 248
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 1 9 34
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 2 74 2 2 7 160
Inference in GARCH when some coefficients are equal to zero 0 0 0 101 0 2 12 291
Inference in Non Stationary Asymmetric Garch Models 0 0 0 16 0 0 7 39
Inference in non stationary asymmetric garch models 0 0 0 66 2 2 9 114
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 6 19
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 36 1 5 12 57
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 1 18 0 0 3 53
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 31 2 2 5 45
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 11 0 0 9 124
Merits and drawbacks of variance targeting in GARCH models 0 1 5 400 0 4 35 1,248
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 2 18 1 1 7 60
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 3 269
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 1 11 23
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 0 61 0 0 3 212
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 20 3 3 10 59
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 4 145 2 2 16 307
Poisson QMLE of Count Time Series Models 0 0 0 0 1 3 9 18
Poisson qmle of count time series models 1 1 6 104 3 4 26 204
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 2 89 3 4 13 204
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 4 0 1 7 48
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 1 2 4 217 2 4 9 462
Qml inference for volatility models with covariates 1 1 16 170 2 3 41 195
Risk-parameter estimation in volatility models 0 0 3 152 1 1 15 300
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 1 79 2 2 9 489
Stochastic unit-root bilinear processes 0 0 0 0 2 2 7 193
Strict stationarity testing and estimation of explosive ARCH models 0 1 2 164 0 1 13 330
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 7 0 1 7 72
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 5 140 2 3 20 303
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 1 1 40 1 2 8 110
Testing the existence of moments for GARCH processes 1 3 41 41 1 7 18 18
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 1 2 5 176 2 4 20 364
Tests for sphericity in multivariate garch models 0 0 2 62 2 3 11 106
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 1 43 43 2 7 30 30
Variance targeting estimation of multivariate GARCH models 0 0 2 81 2 7 18 114
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 16 16 1 1 15 15
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 1 16 16 1 2 17 17
Total Working Papers 18 39 266 4,798 85 175 904 11,369


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 0 0 86 0 3 7 264
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 69 0 0 13 197
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 1 2 13 1 3 12 35
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 1 6 11 1 5 22 42
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 1 1 13 1 3 10 73
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 61 0 0 2 197
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 6 1 5 25 61
Bartlett's formula for a general class of nonlinear processes 0 0 0 93 0 2 9 338
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS†0 0 0 8 0 0 3 49
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 41 0 1 12 112
Comment 0 0 0 2 1 1 3 21
Computing and estimating information matrices of weak ARMA models 0 0 0 8 1 1 5 34
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 0 0 1 1 4 6
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 4 1 1 9 23
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 1 13 0 0 3 78
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 55 0 0 6 162
Diagnostic Checking in ARMA Models With Uncorrelated Errors 1 1 2 125 1 1 10 269
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 1 49 0 2 5 141
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 2 2 2
Estimating multivariate volatility models equation by equation 0 0 0 5 1 1 9 19
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 21 0 1 5 126
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 13 0 1 5 43
Estimation of time-varying ARMA models with Markovian changes in regime 1 1 1 73 1 1 9 203
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 2 7 1 1 15 34
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 3 6 1 3 19 32
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 3 34 0 1 12 122
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 2 7 0 0 8 23
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 40 0 0 6 155
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 11 0 1 14 70
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 10 0 1 7 38
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 0 63 0 2 9 236
Linear‐representation Based Estimation of Stochastic Volatility Models 1 1 2 46 2 2 6 120
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 3 9 0 1 9 44
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 4 76 1 2 14 183
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 23 0 1 12 93
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 1 3 119 2 3 11 431
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 10 0 0 5 66
On Bartlett’s Formula for Non‐linear Processes 0 0 0 0 0 0 1 4
On White Noises Driven by Hidden Markov Chains 0 0 0 0 0 0 1 2
On the Identifiability of Minimal VARMA Representations 0 0 0 15 1 1 3 47
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 0 0 3 46
Poisson QMLE of Count Time Series Models 0 2 3 7 1 3 8 31
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 2 17 0 0 10 66
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 1 2 0 0 11 16
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 1 21 0 1 11 97
Risk-parameter estimation in volatility models 0 0 4 35 4 6 31 116
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 1 19 0 0 5 70
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 1 2 83
Stationarity of multivariate Markov-switching ARMA models 2 5 11 306 2 7 25 597
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 1 3 36 0 2 16 166
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 1 101 0 0 8 266
Tests for conditional ellipticity in multivariate GARCH models 0 1 2 7 0 2 10 41
The L2-structures of standard and switching-regime GARCH models 0 0 0 19 0 0 5 61
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 2 2 6 53 3 3 13 157
Variance Targeting Estimation of Multivariate GARCH Models 1 1 3 9 2 6 15 46
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 0 1 6 6 6
Total Journal Articles 8 19 80 1,919 32 91 521 6,060


Statistics updated 2020-09-04