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 0 3 51 2 4 8 56
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 4 205 0 0 6 315
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 1 4 5 36
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 1 4 87 0 4 10 178
Asymptotic properties of weighted least squares estimation in weak parma models 0 0 1 79 0 2 9 265
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 4 1 1 6 63
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 0 4 70
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 5 6 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 2 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 3 3 3 4
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 2 2 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 1 5 49
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 3 4
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 70 1 5 7 179
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 0 0
Autoregressive conditional betas 1 1 1 1 5 5 7 7
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 4 89
Bartlett's formula for a general class of non linear processes 0 0 0 174 0 1 7 602
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 3 3 4 202
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 2 3 95
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 180 0 3 10 305
Computing and estimating information matrices of weak arma models 0 0 0 46 3 3 7 149
Concepts and tools for nonlinear time series modelling 0 0 1 298 2 3 8 337
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 63 2 4 8 135
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 1 4 174
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 1 1 91 1 2 5 176
Count and duration time series with equal conditional stochastic and mean orders 1 2 6 84 7 10 20 207
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 18 0 0 2 64
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 3 5 36
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 1 1 3 26
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 1 1 85 1 2 3 159
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 1 2 5 160
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 0 0 1 69
Estimating Weak Garch Representations 0 0 0 55 0 1 3 128
Estimating dynamic systemic risk measures 0 0 10 105 2 7 32 152
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 0 0 3 161
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 153 0 1 7 367
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 1 3 8 224
Finite moments testing in a general class of nonlinear time series models 3 3 4 6 3 4 9 20
Fourier--type estimation of the power garch model with stable--paretian innovations 0 1 2 80 0 2 3 174
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 3 89 2 5 12 159
Garch models without positivity constraints: exponential or log garch? 0 0 3 134 1 2 7 284
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 1 1 3 41
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 1 2 3 176
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 4 4 6 309
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 1 1 4 57
Inference in non stationary asymmetric garch models 0 0 0 69 0 1 5 127
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 3 73 1 1 7 117
Inference on breaks in weak location time series models with quasi-Fisher scores 1 1 1 1 1 1 1 1
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 1 1 29
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 1 4 131
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 1 3 61
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 1 1 13 0 1 2 32
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 2 6 76
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 2 4 5 56
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 1 13 3 10 14 149
Merits and drawbacks of variance targeting in GARCH models 1 2 5 423 6 9 13 1,375
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 1 1 2 74
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 1 1 3 273
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 1 2 28
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 1 70 0 0 2 228
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 0 21 1 1 2 66
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 2 164 0 1 5 347
Poisson QMLE of Count Time Series Models 0 0 0 0 2 3 4 49
Poisson qmle of count time series models 0 1 1 124 3 4 8 260
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 0 0 6 243 3 10 19 527
Qml inference for volatility models with covariates 0 2 6 210 1 3 9 283
Quasi score-driven models 0 0 0 23 0 3 3 13
Risk-parameter estimation in volatility models 0 0 2 169 0 0 4 348
Stationarity and ergodicity of Markov switching positive conditional mean models 0 1 3 118 2 4 12 92
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 1 86 2 2 3 509
Stochastic unit-root bilinear processes 0 0 0 0 0 1 3 203
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 0 0 4 344
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 2 2 5 87
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 1 3 156 2 4 8 345
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 1 4 125
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 0 158 1 1 6 104
Testing the existence of moments for GARCH processes 1 1 1 53 4 4 6 69
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 1 2 198 2 4 8 417
Tests for sphericity in multivariate garch models 0 1 1 71 2 4 6 133
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 0 74 1 1 3 107
Variance targeting estimation of multivariate GARCH models 0 0 1 87 1 2 5 157
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 2 3 7 36
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 3 4 5 26
Total Working Papers 8 24 102 5,951 114 212 497 14,180

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 1 1 6 100 2 4 15 313
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 1 2 7 212
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 2 21 1 4 7 62
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 17 1 3 3 82
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 16 0 1 3 82
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 1 16 1 2 10 112
Autoregressive conditional betas 1 3 5 8 3 8 16 24
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 0 1 5 378
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 0 3 56
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 6 2 2 6 23
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 44 1 1 4 122
Comment 0 0 0 2 1 1 2 25
Computing and estimating information matrices of weak ARMA models 0 0 0 8 2 3 6 50
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 7 0 4 9 24
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 0 0 4 33
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 14 0 1 2 87
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 1 62 0 2 5 186
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 0 143 1 3 7 315
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 2 2 3 153
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 1 2 2 5
Estimating multivariate volatility models equation by equation 0 2 2 14 2 4 6 50
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 1 22 2 3 7 137
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 1 1 3 51
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 1 80 0 2 4 222
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 1 1 3 58
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 0 10 2 4 12 78
GARCH models without positivity constraints: Exponential or log GARCH? 0 1 1 48 0 6 14 182
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 1 2 15 1 2 3 51
HAC estimation and strong linearity testing in weak ARMA models 0 0 3 45 2 3 11 183
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 0 1 1 1 4 6 6
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 1 13 0 0 4 85
Inference on dynamic systemic risk measures 0 3 13 13 0 5 25 25
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 2 2 4 54
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 4 133
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 2 3 5 213
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 27 1 2 5 116
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 0 0 129 0 0 3 460
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 1 2 71
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 1 1 2 12
On White Noises Driven by Hidden Markov Chains 0 0 0 1 0 1 2 8
On the Identifiability of Minimal VARMA Representations 0 0 0 16 0 0 2 51
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 2 2 3 58
Poisson QMLE of Count Time Series Models 0 0 0 14 1 3 6 66
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 1 1 1 26 2 4 9 97
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 0 11 1 2 6 64
Quasi score-driven models 0 1 2 5 1 3 8 19
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 3 27 1 5 11 119
Risk-parameter estimation in volatility models 0 0 0 65 1 3 9 237
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 0 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 1 1 2 9
Stationarity of multivariate Markov-switching ARMA models 1 1 6 339 2 3 12 664
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 1 1 1 37 2 2 5 192
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 3 5 8
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 3 7 292
Testing the existence of moments for GARCH processes 0 0 4 10 3 5 12 27
Tests for conditional ellipticity in multivariate GARCH models 0 1 1 11 3 4 7 93
The L2-structures of standard and switching-regime GARCH models 0 0 2 28 0 1 6 88
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 1 2 5 5
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 1 2 65 1 3 8 187
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 2 3 1 1 8 14
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 0 2 8 99
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 1 2 7 45
Volatility Estimation When the Zero-Process is Nonstationary 0 0 2 11 0 0 5 27
Total Journal Articles 5 20 80 2,343 61 146 404 7,687

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Statistics updated 2025-12-06