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 2 51 1 7 14 63
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 3 205 0 3 8 318
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 4 9 40
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 3 87 0 3 12 181
Asymptotic properties of weighted least squares estimation in weak parma models 0 2 2 81 1 10 16 275
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 1 4 9 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 3 6 73
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 5 6
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 4 9 53
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 3 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 4 7 8
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 6 12 185
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 5 11 12
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 5 5
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 3 3
Autoregressive conditional betas 0 0 1 1 0 2 8 9
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 2 5 91
Bartlett's formula for a general class of non linear processes 0 0 0 174 2 6 11 608
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 1 3 7 205
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 2 5 97
Combining parametric and nonparametric approaches for more efficient time series prediction 1 1 2 181 1 3 11 308
Computing and estimating information matrices of weak arma models 0 0 0 46 0 7 13 156
Concepts and tools for nonlinear time series modelling 0 0 0 298 2 10 14 347
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 64 3 6 13 141
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 2 7 11 181
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 1 91 0 3 8 179
Count and duration time series with equal conditional stochastic and mean orders 0 0 3 84 1 7 22 214
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 18 0 3 5 67
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 2 7 38
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 1 6 9 32
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 1 85 2 6 8 165
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 0 5 9 165
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 1 2 3 71
Estimating Weak Garch Representations 0 0 0 55 2 6 9 134
Estimating dynamic systemic risk measures 0 1 5 106 0 12 32 164
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 4 12 15 173
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 153 0 7 11 374
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 1 5 11 229
Finite moments testing in a general class of nonlinear time series models 0 1 5 7 5 19 26 39
Fourier--type estimation of the power garch model with stable--paretian innovations 0 0 1 80 1 10 12 184
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 1 89 1 5 14 164
Garch models without positivity constraints: exponential or log garch? 0 0 2 134 0 5 11 289
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 2 5 43
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 1 4 7 180
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 1 4 10 313
Inference in Non Stationary Asymmetric Garch Models 0 1 1 18 1 8 12 65
Inference in non stationary asymmetric garch models 0 0 0 69 1 5 9 132
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 2 73 1 6 11 123
Inference on breaks in weak location time series models with quasi-Fisher scores 0 1 2 2 1 6 7 7
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 4 5 33
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 8 10 139
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 3 6 64
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 0 6 8 38
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 11 17 87
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 3 8 59
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 2 14 1 7 21 156
Merits and drawbacks of variance targeting in GARCH models 0 1 6 424 2 13 25 1,388
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 2 4 76
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 2 7 10 280
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 2 3 30
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 1 70 0 8 10 236
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 1 1 22 0 6 8 72
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 2 164 0 5 10 352
Poisson qmle of count time series models 0 0 1 124 0 3 11 263
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 0 97 0 5 7 248
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 1 1 58
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 1 1 7 244 2 20 37 547
Qml inference for volatility models with covariates 0 0 4 210 0 4 10 287
Quasi score-driven models 0 0 0 23 1 7 10 20
Risk-parameter estimation in volatility models 0 0 2 169 1 4 8 352
Stationarity and ergodicity of Markov switching positive conditional mean models 1 2 4 120 1 9 17 101
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 0 86 0 3 5 512
Stochastic unit-root bilinear processes 0 0 0 0 1 8 10 211
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 1 5 9 349
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 0 5 10 92
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 6 14 351
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 2 5 127
Testing the existence of moments and estimating the tail index of augmented garch processes 1 1 1 159 2 7 11 111
Testing the existence of moments for GARCH processes 0 0 1 53 0 8 12 77
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 2 198 1 3 10 420
Tests for sphericity in multivariate garch models 0 0 1 71 0 5 11 138
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 1 1 75 3 9 11 116
Variance targeting estimation of multivariate GARCH models 0 0 0 87 0 2 6 159
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 3 10 39
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 1 9 14 35
Total Working Papers 4 16 90 5,967 65 471 884 14,602
1 registered items for which data could not be found

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 6 101 0 9 21 322
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 0 6 12 218
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 1 21 2 4 9 66
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 17 0 2 5 84
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 16 0 4 7 86
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 62 2 3 3 206
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 17 0 10 17 122
Autoregressive conditional betas 0 0 4 8 2 10 23 34
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 0 4 9 382
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 2 5 58
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 6 2 22 27 45
Combining Nonparametric and Optimal Linear Time Series Predictions 1 1 2 45 2 4 8 126
Comment 0 0 0 2 0 2 4 27
Computing and estimating information matrices of weak ARMA models 0 0 0 8 0 2 7 52
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 7 2 3 10 27
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 1 7 10 40
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 14 1 6 8 93
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 1 1 2 63 1 6 9 192
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 1 1 144 0 3 8 318
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 2 5 155
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 1 2 4 7
Estimating multivariate volatility models equation by equation 0 1 3 15 0 9 14 59
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 1 22 2 6 12 143
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 0 7 8 58
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 0 80 1 4 7 226
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 0 5 8 63
Functional GARCH models: The quasi-likelihood approach and its applications 0 1 1 11 2 11 22 89
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 48 2 17 29 199
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 2 15 2 7 10 58
HAC estimation and strong linearity testing in weak ARMA models 0 0 3 45 0 4 13 187
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 1 2 2 0 6 11 12
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 2 10 13 95
Inference on dynamic systemic risk measures 0 2 14 15 2 11 32 36
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 4 54
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 2 31 31 33
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 0 67 0 3 3 246
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 0 5 7 138
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 2 3 61
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 1 1 93 0 5 9 218
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 27 3 10 14 126
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 1 1 1 130 2 6 8 466
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 3 5 74
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 0 1 2 13
On White Noises Driven by Hidden Markov Chains 0 0 0 1 0 2 4 10
On the Identifiability of Minimal VARMA Representations 0 0 0 16 2 8 9 59
Optimal estimating function for weak location‐scale dynamic models 1 1 2 10 2 5 7 19
Optimal predictions of powers of conditionally heteroscedastic processes 0 1 1 13 0 2 5 60
Poisson QMLE of Count Time Series Models 0 0 0 14 0 0 6 66
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 0 2 9 99
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 2 2 13 1 5 9 69
Quasi score-driven models 0 1 3 6 0 8 13 27
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 4 28 2 8 19 127
Risk-parameter estimation in volatility models 0 0 0 65 0 4 13 241
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 1 4 78
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 8 8 97
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 4 0 4 6 13
Stationarity of multivariate Markov-switching ARMA models 0 0 6 339 1 7 17 671
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 0 1 6 193
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 2 6 10
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 5 12 297
Testing the existence of moments for GARCH processes 0 0 2 10 2 8 17 35
Tests for conditional ellipticity in multivariate GARCH models 0 0 1 11 0 3 10 96
The L2-structures of standard and switching-regime GARCH models 0 0 2 28 0 7 13 95
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 2 7 7
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 2 65 0 2 9 189
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 2 3 1 8 14 22
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 0 9 14 108
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 4 5 12 50
Volatility Estimation When the Zero-Process is Nonstationary 0 0 1 11 0 1 4 28
Total Journal Articles 4 18 82 2,361 51 393 729 8,080

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