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 CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE 0 0 0 0 1 3 3 3
A New Class of Robust Observation-Driven Models 0 0 2 51 2 3 15 65
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 2 205 2 2 8 320
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 0 0 1 1 1 1
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 0 2 2 2 2
A model for the Am (Km) planetary geomagnetic activity index and application to prediction 0 0 0 0 0 0 0 0
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 2 3 11 43
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models 0 0 0 0 3 3 3 3
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 0 0 1 1 1 1
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 2 87 4 4 14 185
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 0 1 1 1 1
Arma models with bilinear innovations 0 0 0 0 1 2 2 2
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 0 2 3 3 3
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 0 1 1 1 1
Asymptotic normality of frequency polygons for random fields 0 0 0 0 0 0 1 1
Asymptotic properties of weighted least squares estimation in weak parma models 0 0 2 81 2 4 17 278
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 2 2 7 75
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 2 3 9 69
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 3 4 11 56
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 2 8 9
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 3 4 7 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 2 2 13 14
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 2 2 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 1 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 1 1 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 3 3 5 6
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 2 2 13 187
Autocovariance structure of powers of switching-regime ARMA Processes 0 0 0 0 0 0 0 0
Autoregressive conditional betas 0 0 1 1 3 3 10 12
Autoregressive conditional betas 0 0 0 0 2 2 2 2
Barlett’s Formula for Non Linear Processes 0 0 0 12 3 5 7 95
Bartlett's formula for a general class of non linear processes 0 0 0 174 3 7 14 613
Bartlett's formula for a general class of nonlinear processes 0 0 0 0 6 8 9 9
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 0 1 1 1 1
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 0 2 2 3 3
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 1 2 8 206
Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial 0 0 0 0 1 2 2 2
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 3 4 7 100
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 0 1 1 1 1
Combining parametric and nonparametric approaches for more efficient time series prediction 0 1 1 181 1 2 9 309
Comment 0 0 0 0 2 2 2 2
Computing and estimating information matrices of weak ARMA models 0 0 0 0 4 4 4 4
Computing and estimating information matrices of weak arma models 0 0 0 46 1 1 12 157
Concepts and tools for nonlinear time series modelling 0 0 0 298 2 8 19 353
Concepts of and tools for Nonlinear Time-Series Modelling 0 0 0 0 0 1 1 1
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 0 0 1 1 1 1
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 65 2 7 15 145
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 5 8 15 187
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 0 0 0 0 0
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 0 0 0 0 0
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 1 91 2 3 10 182
Count and duration time series with equal conditional stochastic and mean orders 0 1 4 85 3 5 24 218
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 18 0 0 4 67
Covariance matrix estimation for estimators of mixing weak ARMA models 0 0 0 0 0 0 0 0
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 0 1 1 1 1
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 0 0 1 2 2 2
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 0 3 3 3 3
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 1 7 39
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 5 8 14 39
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 2 2 2 2
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 1 85 5 8 14 171
Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator 0 0 0 0 0 0 1 1
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 0 2 2 2 2
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 3 4 12 169
Estimating Multivariate Volatility Models Equation by Equation 0 0 0 0 1 2 2 2
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 2 3 5 73
Estimating Weak Garch Representations 0 0 0 55 2 4 10 136
Estimating dynamic systemic risk measures 1 3 7 109 3 6 36 170
Estimating linear representations of nonlinear processes 0 0 0 0 4 4 4 4
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 4 10 20 179
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 0 2 2 2 2
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 153 6 7 16 381
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 0 1 1 1 1
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 1 2 10 230
Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles 0 0 0 0 1 1 1 1
Estimation de modèles ARMA à changements de régime récurrents 0 0 0 0 0 0 0 0
Estimation de représentations GARCH faibles 0 0 0 0 2 2 3 3
Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariés 0 0 0 0 2 3 3 3
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 0 0 2 2 2 2
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 0 5 5 5 5
Finite moments testing in a general class of nonlinear time series models 0 0 4 7 0 7 26 41
Finite moments testing in a general class of nonlinear time series models 0 0 0 0 0 0 0 0
Fourier--type estimation of the power garch model with stable--paretian innovations 0 0 1 80 7 8 19 191
Fourier-type estimation of the power GARCH model with stable-Paretian innovations 0 0 0 0 2 2 2 2
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 0 0 6 6 6 6
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 0 89 2 5 15 168
GARCH Models 0 0 0 0 2 3 3 3
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 0 0 0 1 1
Garch models without positivity constraints: exponential or log garch? 0 0 1 134 2 3 12 292
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 0 0 0 0 1 1
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 0 1 2 2 2
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 0 0 0 0 0 0 0
Identification of a univariate ARMA model 0 0 0 0 2 2 4 4
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 2 4 7 47
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 0 0 0 0 0
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 80 3 4 9 183
Inference in GARCH when some coefficients are equal to zero 2 2 2 104 6 7 16 319
Inference in Non Stationary Asymmetric Garch Models 1 1 2 19 3 5 14 69
Inference in non stationary asymmetric garch models 0 0 0 69 6 7 13 138
Inference in nonstationary asymmetric GARCH models 0 0 0 0 2 2 2 2
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 1 73 2 4 11 126
Inference on breaks in weak location time series models with quasi-Fisher scores 0 0 2 2 5 10 16 16
Inference on dynamic systemic risk measures 0 0 0 0 0 0 0 0
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 2 7 35
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 4 4 13 143
Kernel regression estimation for random fields 0 0 0 0 1 1 1 1
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 0 0 0 0 0
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 0 0 0 0 1 1
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 3 5 9 68
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 0 3 3 3 3
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 2 3 10 41
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 3 4 17 90
Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels 0 0 0 0 3 3 3 3
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 2 4 12 63
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 0 0 0 0 0
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 0 0 0 0 1 1 1 1
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 0 0 1 2 2
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 14 2 4 23 159
Merits and drawbacks of variance targeting in GARCH models 0 0 6 424 1 4 27 1,390
Modèles ARCH avec changement de régime markovien 0 0 0 0 3 3 3 3
Modèles Garch: Structure, inférence statistique et applications financières 0 0 0 0 1 2 2 2
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 2 2 5 78
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 0 1 2 2 2
Multivariate arma models with generalized autoregressive linear innovation 0 0 0 0 1 1 1 1
Multivariate hypothesis testing using generalized and {2}-inverses – with applications 0 0 0 0 1 1 2 2
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 3 7 13 285
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 0 2 2 2 2
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 1 4 31
Nonparametric estimation of density, regression and dependence coefficients 0 0 0 0 0 0 0 0
On Bartlett’s Formula for Non‐linear Processes 0 0 0 0 3 3 3 3
On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and 0 0 0 0 0 0 0 0
On Efficient Inference in GARCH Processes 0 0 0 0 2 2 2 2
On Runs Tests for Directional Data and Their Local and Asymptotic Optimality Properties 0 0 0 0 5 7 8 8
On White Noises Driven by Hidden Markov Chains 0 0 0 0 2 3 3 3
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 1 70 7 9 18 245
On the Identifiability of Minimal VARMA Representations 0 0 0 0 1 1 1 1
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes 0 0 0 0 0 0 1 1
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 22 1 2 9 74
Optimal estimating function for weak location‐scale dynamic models 0 0 0 0 2 2 2 2
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 1 164 2 5 12 357
Poisson QMLE of Count Time Series Models 0 0 0 0 3 3 3 3
Poisson qmle of count time series models 0 0 1 124 1 1 10 264
Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models 0 0 0 0 4 5 5 5
Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models 0 0 0 0 4 4 4 4
Portmanteau goodness-of-fit test for asymmetric power GARCH models 0 0 0 97 5 6 11 254
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 2 2 3 60
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 0 1 1 1 1
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 0 0 4 4 4 4
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 1 5 244 2 6 39 551
Qml inference for volatility models with covariates 0 1 4 211 0 1 9 288
Quasi score-driven models 0 0 0 0 0 1 1 1
Quasi score-driven models 0 0 0 23 0 1 10 20
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 0 0 1 1 1 1
Quelques remarques sur les prix Nobel 2011 d’économie et la modélisation des séries économiques 0 0 0 0 1 1 1 1
Recent Results for Linear Time Series Models with Non Independent Innovations 0 0 0 0 1 2 3 3
Risk-parameter estimation in volatility models 0 0 0 0 0 1 1 1
Risk-parameter estimation in volatility models 0 0 2 169 4 5 11 356
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 0 1 1 1 1
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 0 3 4 4 4
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 0 3 3 3 3
Stationarity and ergodicity of Markov switching positive conditional mean models 0 2 4 121 0 4 17 104
Stationarity of Multivariate Markov-Switching ARMA Models 0 1 1 87 0 1 6 513
Stationarity of multivariate Markov–switching ARMA models 0 0 0 0 2 3 3 3
Stationnarité des modèles ARMA à changement de régime markovien 0 0 0 0 1 1 1 1
Stationnarité et identification d'un processus bilinéaire strictement superdiagonal 0 0 0 0 0 0 0 0
Stochastic unit-root bilinear processes 0 0 0 0 3 4 12 214
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 0 2 2 2 2
Strict stationarity testing and estimation of explosive ARCH models 0 0 1 171 5 6 12 354
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 3 3 11 95
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 5 6 18 356
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models 0 0 0 0 0 0 0 0
Testing for the footprints of stabilization economic policy in forecast errors 0 2 5 5 1 3 3 3
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 3 3 7 130
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 0 2 2 2 2
Testing the existence of moments and estimating the tail index of augmented garch processes 0 1 1 159 2 6 12 115
Testing the existence of moments for GARCH processes 0 0 0 0 2 2 2 2
Testing the existence of moments for GARCH processes 0 0 1 53 0 0 12 77
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 2 198 3 4 13 423
Tests for conditional ellipticity in multivariate GARCH models 0 0 0 0 5 7 7 7
Tests for sphericity in multivariate garch models 0 0 1 71 1 1 12 139
The L 2 -structures of standard and switching-regime GARCH models 0 0 0 0 4 4 4 4
The sixth special issue on computational econometrics 0 0 0 0 1 1 1 1
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 2 2 2 2
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 0 0 1 1 1 1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 1 75 5 8 16 121
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 0 0 1 1 1 1
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 0 2 3 6 6
Variance targeting estimation of multivariate GARCH models 0 0 0 87 0 1 5 160
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 1 1 17 2 5 18 39
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 2 5 11 44
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 0 3 4 4 4
Volatility Estimation When the Zero-Process is Nonstationary 0 0 0 0 1 1 1 1
Total Working Papers 4 18 91 5,984 380 545 1,275 15,100
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 0 5 101 4 6 25 328
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 3 3 14 221
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 0 21 2 4 10 68
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 17 4 4 9 88
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 16 1 1 8 87
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 62 2 5 6 209
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 2 2 16 124
Autoregressive conditional betas 0 0 4 8 3 7 27 39
Bartlett's formula for a general class of nonlinear processes 0 0 0 104 5 6 13 388
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 1 4 59
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 6 2 5 28 48
Combining Nonparametric and Optimal Linear Time Series Predictions 0 1 2 45 1 3 8 127
Comment 0 0 0 2 1 1 4 28
Computing and estimating information matrices of weak ARMA models 0 0 0 8 3 3 9 55
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 1 7 2 6 11 31
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 1 2 9 41
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 14 0 1 7 93
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 2 63 1 2 9 193
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 1 144 1 1 7 319
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 7 7 11 162
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 3 4 7 10
Estimating multivariate volatility models equation by equation 0 0 3 15 3 4 17 63
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 22 2 4 12 145
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 1 2 10 60
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 0 80 2 3 8 228
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 3 4 11 67
Functional GARCH models: The quasi-likelihood approach and its applications 1 1 2 12 2 4 22 91
GARCH models without positivity constraints: Exponential or log GARCH? 1 1 2 49 3 6 31 203
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 1 3 16 0 3 11 59
HAC estimation and strong linearity testing in weak ARMA models 0 0 2 45 5 6 17 193
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 1 1 2 3 3 5 15 17
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 2 4 13 97
Inference on dynamic systemic risk measures 0 1 12 16 3 10 35 44
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 2 2 4 56
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 0 2 31 33
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 0 67 4 4 7 250
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 3 3 10 141
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 3 3 5 64
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 93 2 3 11 221
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 27 3 7 17 130
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 1 1 130 4 6 10 470
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 5 5 9 79
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 3 4 6 17
On White Noises Driven by Hidden Markov Chains 0 0 0 1 4 4 7 14
On the Identifiability of Minimal VARMA Representations 0 0 0 16 4 6 13 63
Optimal estimating function for weak location‐scale dynamic models 0 1 1 10 1 3 6 20
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 1 13 3 4 9 64
Poisson QMLE of Count Time Series Models 0 0 0 14 4 5 10 71
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 0 1 9 100
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 2 13 1 3 10 71
Quasi score-driven models 0 0 3 6 2 2 15 29
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 4 28 4 8 23 133
Risk-parameter estimation in volatility models 0 0 0 65 1 2 14 243
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 1 1 3 79
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 2 2 10 99
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 4 3 3 8 16
Stationarity of multivariate Markov-switching ARMA models 1 1 4 340 4 6 17 676
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 4 4 9 197
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 0 6 10
Testing for the footprints of stabilization economic policy in forecast errors 0 0 0 0 1 2 5 5
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 2 2 13 299
Testing the existence of moments for GARCH processes 0 0 2 10 3 6 20 39
Tests for conditional ellipticity in multivariate GARCH models 0 1 2 12 1 2 11 98
The L2-structures of standard and switching-regime GARCH models 0 0 1 28 1 2 12 97
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 7 7 14 14
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 65 1 1 7 190
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 1 3 5 11 22 32
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 2 2 16 110
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 6 11 17 57
Volatility Estimation When the Zero-Process is Nonstationary 0 0 0 11 1 1 4 29
Total Journal Articles 4 11 70 2,368 174 269 864 8,301

Chapter 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 0 0 0 5 5 5 5
On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and 0 0 0 0 0 0 0 0
Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models 0 0 0 0 2 2 2 2
Recent Results for Linear Time Series Models with Non Independent Innovations 0 0 0 0 2 3 4 4
Total Chapters 0 0 0 0 9 10 11 11

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06