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 3 6 11 59
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 3 205 0 0 5 315
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 2 6 7 38
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 1 4 87 1 3 11 179
Asymptotic properties of weighted least squares estimation in weak parma models 0 0 1 79 3 4 11 268
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 1 1 5 71
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 2 3 7 65
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 2 6 50
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 4 7 10 183
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 0 0 0 0 0 0
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 6 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 3 3 4
Autoregressive conditional betas 0 1 1 1 1 6 8 8
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 0 4 89
Bartlett's formula for a general class of non linear processes 0 0 0 174 1 2 8 603
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 0 3 4 202
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 2 3 95
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 180 1 3 10 306
Computing and estimating information matrices of weak arma models 0 0 0 46 1 4 8 150
Concepts and tools for nonlinear time series modelling 0 0 0 298 4 7 11 341
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 4 63 2 5 10 137
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 2 5 175
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 1 1 91 1 3 6 177
Count and duration time series with equal conditional stochastic and mean orders 0 2 6 84 0 9 19 207
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 18 1 1 3 65
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 4 6 37
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 1 2 4 27
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 1 1 85 0 2 3 159
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 1 3 6 161
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 2 3 5 130
Estimating dynamic systemic risk measures 1 1 8 106 6 10 33 158
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 3 3 6 164
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 153 3 4 10 370
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 3 4 10 227
Finite moments testing in a general class of nonlinear time series models 1 4 5 7 3 7 12 23
Fourier--type estimation of the power garch model with stable--paretian innovations 0 1 2 80 2 4 5 176
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 3 89 0 5 11 159
Garch models without positivity constraints: exponential or log garch? 0 0 3 134 2 4 9 286
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 2 3 5 43
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 3 4 6 179
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 4 6 309
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 1 2 5 58
Inference in non stationary asymmetric garch models 0 0 0 69 1 2 5 128
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 3 73 2 3 9 119
Inference on breaks in weak location time series models with quasi-Fisher scores 1 2 2 2 2 3 3 3
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 2 3 3 31
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 2 3 5 133
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 2 4 62
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 1 1 3 33
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 4 6 10 80
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 2 5 7 58
Merits and Drawbacks of Variance Targeting in GARCH Models 1 1 2 14 2 6 16 151
Merits and drawbacks of variance targeting in GARCH models 0 1 5 423 2 9 15 1,377
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 1 2 3 75
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 2 3 5 275
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 1 2 28
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 1 70 3 3 5 231
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 1 1 1 22 4 5 6 70
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 0 3 4 49
Poisson qmle of count time series models 0 0 1 124 1 4 9 261
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 0 97 0 0 2 243
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 1 1 2 58
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 6 243 11 16 28 538
Qml inference for volatility models with covariates 0 1 4 210 2 4 9 285
Quasi score-driven models 0 0 0 23 4 7 7 17
Risk-parameter estimation in volatility models 0 0 2 169 1 1 5 349
Stationarity and ergodicity of Markov switching positive conditional mean models 1 2 4 119 5 8 15 97
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 0 86 0 2 2 509
Stochastic unit-root bilinear processes 0 0 0 0 4 5 7 207
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 1 1 5 345
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 1 3 6 88
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 3 156 1 4 9 346
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 1 2 5 126
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 0 158 0 1 6 104
Testing the existence of moments for GARCH processes 0 1 1 53 2 6 7 71
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 1 2 198 0 4 8 417
Tests for sphericity in multivariate garch models 0 1 1 71 2 6 8 135
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 1 1 1 75 5 6 7 112
Variance targeting estimation of multivariate GARCH models 0 0 1 87 0 2 5 157
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 3 7 8 29
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 2 4 9 38
Total Working Papers 7 24 98 5,958 141 316 612 14,321

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 2 6 101 3 6 16 316
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 2 4 9 214
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 2 21 1 4 7 63
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 17 0 2 3 82
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 16 1 2 4 83
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 1 1 1 17 3 4 12 115
Autoregressive conditional betas 0 2 5 8 6 12 22 30
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 1 2 6 379
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 1 4 57
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 6 2 4 8 25
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 44 1 2 5 123
Comment 0 0 0 2 1 2 3 26
Computing and estimating information matrices of weak ARMA models 0 0 0 8 2 5 8 52
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 7 0 4 8 24
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 1 1 4 34
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 14 2 3 4 89
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 1 62 2 4 7 188
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 0 143 0 3 5 315
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 1 3 4 154
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 2 2 5
Estimating multivariate volatility models equation by equation 0 0 2 14 3 5 9 53
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 1 22 2 5 8 139
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 1 2 4 52
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 0 80 1 3 4 223
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 3 4 6 61
Functional GARCH models: The quasi-likelihood approach and its applications 1 1 1 11 3 7 15 81
GARCH models without positivity constraints: Exponential or log GARCH? 0 1 1 48 2 7 16 184
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 2 15 1 2 4 52
HAC estimation and strong linearity testing in weak ARMA models 0 0 3 45 0 3 11 183
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 1 1 2 2 2 4 8 8
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 1 1 4 86
Inference on dynamic systemic risk measures 1 2 14 14 4 7 29 29
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 2 4 54
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 12 12 12 14
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 3 4 7 136
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 1 1 2 60
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 1 1 1 93 4 6 9 217
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 27 5 7 9 121
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 0 1 2 12
On White Noises Driven by Hidden Markov Chains 0 0 0 1 1 2 3 9
On the Identifiability of Minimal VARMA Representations 0 0 0 16 1 1 3 52
Optimal estimating function for weak location‐scale dynamic models 0 0 2 9 1 1 5 15
Optimal predictions of powers of conditionally heteroscedastic processes 1 1 1 13 1 3 4 59
Poisson QMLE of Count Time Series Models 0 0 0 14 0 3 6 66
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 1 1 26 1 5 10 98
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 0 11 1 3 6 65
Quasi score-driven models 1 2 3 6 3 6 10 22
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 3 27 1 5 12 120
Risk-parameter estimation in volatility models 0 0 0 65 1 2 10 238
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 1 1 2 90
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 4 1 2 3 10
Stationarity of multivariate Markov-switching ARMA models 0 1 6 339 2 4 13 666
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 1 1 37 0 2 5 192
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 2 5 8
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 3 5 10 295
Testing the existence of moments for GARCH processes 0 0 3 10 0 4 11 27
Tests for conditional ellipticity in multivariate GARCH models 0 1 1 11 0 4 7 93
The L2-structures of standard and switching-regime GARCH models 0 0 2 28 1 2 7 89
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 2 5 5
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 2 65 1 3 9 188
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 2 3 1 2 8 15
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 4 6 12 103
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 0 2 7 45
Volatility Estimation When the Zero-Process is Nonstationary 0 0 1 11 0 0 4 27
Total Journal Articles 8 21 82 2,351 103 226 489 7,790

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Statistics updated 2026-01-09