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 1 1 1 49 1 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 0 0 0 83 0 0 2 168
Asymptotic properties of weighted least squares estimation in weak parma models 1 1 1 79 2 3 9 259
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 1 1 1 67
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 0 0 0 0 0
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 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 0
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 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 1 1 1 1
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 1 1 86
Bartlett's formula for a general class of non linear processes 0 2 6 174 0 2 11 595
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 1 2 7 297
Computing and estimating information matrices of weak arma models 0 0 0 46 1 1 1 143
Concepts and tools for nonlinear time series modelling 0 1 1 298 1 2 2 331
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 59 0 1 5 127
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 1 1 5 79 1 3 10 189
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 1 1 17 0 1 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 0 0 3 156
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 0 0 3 155
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 1 6 20 99 4 16 43 129
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 2 3 101 0 2 6 158
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 1 2 153 1 3 4 361
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 1 1 108 0 1 3 217
Finite moments testing in a general class of nonlinear time series models 0 0 2 2 1 1 12 12
Fourier--type estimation of the power garch model with stable--paretian innovations 1 1 1 79 1 1 1 172
Functional GARCH models: the quasi-likelihood approach and its applications 2 2 5 88 2 4 11 150
Garch models without positivity constraints: exponential or log garch? 1 1 1 132 1 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 1 2 303
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 1 1 7 71 1 2 19 111
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 1 1 28
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 2 4 128
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 7 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 1 5 418 0 3 18 1,362
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 1 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 0 0 0 26
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 5 252
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 0 0 0 56
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 4 237 0 3 11 510
Qml inference for volatility models with covariates 0 3 5 206 1 5 10 277
Quasi score-driven models 0 0 0 23 0 0 1 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 0 0 5 115 0 2 11 82
Stationarity of Multivariate Markov-Switching ARMA Models 0 1 3 86 0 1 6 507
Stochastic unit-root bilinear processes 0 0 0 0 1 2 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 1 1 1 122
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 2 158 2 2 15 100
Testing the existence of moments for GARCH processes 0 0 0 52 0 1 3 64
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 196 1 2 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 1 74 0 1 4 105
Variance targeting estimation of multivariate GARCH models 0 0 1 86 0 0 3 152
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 0 0 21
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 0 1 29
Total Working Papers 9 30 107 5,869 27 83 315 13,736

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 0 2 7 300
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 70 1 1 2 206
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 0 19 0 1 1 56
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 1 17 0 0 4 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 2 2 16 1 3 6 104
Autoregressive conditional betas 1 1 4 4 1 1 9 9
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 3 6 1 1 7 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 0 0 1 44
Conditional Heteroskedasticity Driven by Hidden Markov Chains 1 1 2 5 1 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 3 182
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 1 3 143 0 3 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 0 0 2 44
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 0 0 0 14 0 0 2 48
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 0 0 9 66
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 47 2 2 6 170
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 1 1 13 0 1 3 48
HAC estimation and strong linearity testing in weak ARMA models 0 0 1 42 1 1 4 173
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 0 0 0 1 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 1 13 0 0 1 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 2 2 2 51 2 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 0 0 1 208
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 2 26 0 2 4 112
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 0 0 129 0 1 2 457
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 0 0 0 10
On White Noises Driven by Hidden Markov Chains 0 0 0 1 0 0 0 6
On the Identifiability of Minimal VARMA Representations 0 1 1 16 1 2 2 50
Optimal estimating function for weak location‐scale dynamic models 1 1 2 8 1 1 2 11
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 3 14 0 0 6 60
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 3 25 0 0 4 88
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 1 2 11 0 2 8 59
Quasi score-driven models 0 0 1 3 0 1 3 12
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 2 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 1 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 5 333 0 1 14 653
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 1 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 0 1 2 7 0 1 5 16
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 1 4 82
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 0 63 1 1 3 180
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 1 1 1 2 7 8
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 17 0 2 6 91
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 1 2 4 24
Total Journal Articles 5 17 69 2,274 19 50 212 7,320

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Statistics updated 2025-02-05