C. Francq

发表

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

J. Zakoian, C. Francq, 2004 .

A New Class of Robust Observation-Driven Models

S. Laurent, F. Blasques, C. Francq, 2020 .

Poisson QMLE of Count Time Series Models

Christian Francq, C. Francq, A. Ahmad, 2016 .

Merits and Drawbacks of Variance Targeting in GARCH Models

L. Horváth, J. Zakoian, C. Francq, 2011 .

ESTIMATING WEAK GARCH REPRESENTATIONS

J. Zakoian, C. Francq, 2000, Econometric Theory.

On White Noises Driven by Hidden Markov Chains

C. Francq, M. Roussignol, 1997 .

Stationarity of Multivariate Markov-Switching ARMA Models

J. Zakoian, C. Francq, 2001 .

GARCH Models: Structure, Statistical Inference and Financial Applications

J. Zakoian, C. Francq, 2010 .

Linear‐representation Based Estimation of Stochastic Volatility Models

Christian Francq, Jean-Michel Zakoian, C. Francq, 2006 .

Consistent and asymptotically normal estimators for cyclically time-dependent linear models

Christian Francq, Abdelouahab Bibi, C. Francq, 2003 .

Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

Fedya Telmoudi, Christian Francq, Mohamed El Ghourabi, 2016 .

Stationarity and ergodicity of Markov switching positive conditional mean models

C. Francq, A. Aknouche, 2020 .

Multivariate hypothesis testing using generalized and {2}-inverses – with applications

C. Francq, P. Duchesne, 2015 .

Fourier-type estimation of the power GARCH model with stable-Paretian innovations

C. Francq, S. Meintanis, 2016 .

Conditional Heteroskedasticity Driven by Hidden Markov Chains

Christian Francq, Michel Roussignol, Jean-Michel Zakoian, 2001 .

Nonparametric estimation of density, regression and dependence coefficients

C. Francq, L. Tran, 2002 .

Estimating multivariate GARCH and stochastic correlation models equation by equation

J. Zakoian, C. Francq, 2014 .

Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator

Christian Francq, Michel Roussignol, C. Francq, 1998 .

MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS

Christian Francq, C. Francq, Jean-Michel ZakoÃ¯an, 2006, Econometric Theory.

Combining parametric and nonparametric approaches for more efficient time series prediction

J. Zakoian, C. Francq, S. Dabo‐Niang, 2009 .

Asymptotics of Cholesky GARCH models and time-varying conditional betas

S. Laurent, C. Francq, S. Darolles, 2018, Journal of Econometrics.

A model for the Am (Km) planetary geomagnetic activity index and application to prediction

C. Francq, M. Menvielle, 1996 .

Special Issue on Nonlinear Modelling and Financial Econometrics

Siem Jan Koopman, Christian Francq, Alessandra Amendola, 2006, Comput. Stat. Data Anal..

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

J. Zakoian, C. Francq, 2007 .

A Tour in the Asymptotic Theory of GARCH Estimation

J. Zakoian, C. Francq, 2009 .

Tests for conditional ellipticity in multivariate GARCH models

C. Francq, S. Meintanis, Jiménez-Gamero, 2017 .

Tests for sphericity in multivariate garch models

C. Francq, S. Meintanis, M. D. J. Gamero, 2015 .

Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels

J. Zakoian, C. Francq, 2015 .

Estimating multivariate GARCH models equation by equation

C. Francq, 2015 .

GARCH Models

J. Zakoian, C. Francq, 2019 .

Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations

J. Zakoian, C. Francq, 2000 .

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

J. Zakoian, C. Francq, 2018, Journal of Econometrics.

On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses

C. Francq, P. Duchesne, 2010 .

Fourier-type estimation of the power GARCH model with stable-Paretian innovations

C. Francq, S. Meintanis, 2015, Metrika.

Joint inference on market and estimation risks in dynamic portfolios

J. Zakoian, C. Francq, 2015 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

J. Zakoian, C. Francq, G. Lepage, 2011 .

Comment

C. Francq, J. Zakoïan, 2014 .

Linear-Representations Based Estimation of Switching-Regime GARCH Models

J. Zakoian, C. Francq, 1999 .

Goodness-of-fit tests for Log-GARCH and EGARCH models

C. Francq, O. Wintenberger, J. Zakoïan, 2016, TEST.

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2008, Comput. Stat. Data Anal..

Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

Abdelhakim Aknouche, Christian Francq, C. Francq, 2019, Journal of Econometrics.

Risk-parameter estimation in volatility models

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2012 .

Concepts and tools for nonlinear time series modelling

Christian Francq, Alessandra Amendola, C. Francq, 2009 .

Diagnostic Checking in ARMA Models With Uncorrelated Errors

Christian Francq, Roch Roy, Jean-Michel Zakoïan, 2005 .

Recent Results for Linear Time Series Models with Non Independent Innovations

J. Zakoian, C. Francq, 2005 .

Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions

Christian Francq, Jean-Michel Zakoïan, C. Francq, 2013 .

Combining Nonparametric and Optimal Linear Time Series Predictions

C. Francq, S. Dabo‐Niang, J. Zakoïan, 2010 .

Kernel regression estimation for random fields

C. Francq, L. Tran, M. Carbon, 2007 .

COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”

Christian Francq, C. Francq, Jean-Michel ZakoÃ¯an, 2002, Econometric Theory.

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation

C. Francq, Genaro Sucarrat, 2013 .

Estimating structural VARMA models with uncorrelated but non-independent error terms

Y. Boubacar Mainassara, Christian Francq, C. Francq, 2011, J. Multivar. Anal..

QUASI-LIKELIHOOD INFERENCE IN GARCH PROCESSES WHEN SOME COEFFICIENTS ARE EQUAL TO ZERO

J. Zakoian, C. Francq, 2006 .

Estimating linear representations of nonlinear processes

J. Zakoian, C. Francq, 1998 .

Quasi score-driven models

S. Laurent, F. Blasques, C. Francq, 2022, Journal of Econometrics.

COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS

C. Francq, A. Aknouche, 2020, Econometric Theory.

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns

Christian Francq, Genaro Sucarrat, C. Francq, 2017, J. Multivar. Anal..

Goodness-of-fit tests for extended Log-GARCH models

J. Zakoian, C. Francq, O. Wintenberger, 2016, 1601.05560.

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2011, Econometric Theory.

Optimal predictions of powers of conditionally heteroscedastic processes

C. Francq, J. Zakoïan, 2013 .

Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

J. Zakoian, C. Francq, 2012 .

SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL

J. Zakoian, C. Francq, Lajos Horváth, 2009, Econometric Theory.

Multivariate arma models with generalized autoregressive linear innovation

C. Francq, J. Zakoïan, 2000 .

Arma models with bilinear innovations

C. Francq, 1999 .

Testing the existence of moments for GARCH processes

J. Zakoian, C. Francq, 2020 .

Computing and estimating information matrices of weak ARMA models

Y. Boubacar Mainassara, Christian Francq, M. Carbon, 2012, Comput. Stat. Data Anal..

On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and

Christian Francq, Pierre Duchesne, C. Francq, 2008 .

Covariance matrix estimation for estimators of mixing weak ARMA models

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2000 .

Bartlett's formula for a general class of nonlinear processes

Christian Francq, Jean-Michel Zakoïan, C. Francq, 2009 .

On Bartlett’s Formula for Non‐linear Processes

Christian Francq, Alain Berlinet, A. Berlinet, 1997 .

A class of stochastic unit-root bilinear process. Mixing properties and unit-root test

S Makarova, Christian Francq, Jm Zakoian, 2006 .

Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors

C. Francq, H. Raïssi, Hamdi Raïssi, 2007 .

HAC estimation and strong linearity testing in weak ARMA models

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2007 .

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process

J. Zakoian, C. Francq, 2010 .

Functional GARCH models: The quasi-likelihood approach and its applications

Clément Cerovecki, Siegfried Hörmann, Christian Francq, 2019, Journal of Econometrics.

Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero

J. Zakoian, C. Francq, 2016 .

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

C. Francq, Le Quyen Thieu, 2015, Econometric Theory.

Multivariate GARCH Processes

J. Zakoian, C. Francq, 2010, GARCH Models.

Virtual Historical Simulation for estimating the conditional VaR of large portfolios

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2019, Journal of Econometrics.

Variance targeting estimation of multivariate GARCH models

Christian Francq, Lajos Horváth, Jean-Michel Zakoian, 2014 .

Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons

C. Francq, J. Zakoïan, 2009 .

Goodness-of-fit tests for ARMA models with uncorrelated errors ⁄

C. Francq, R. Roy, 2004 .

Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

C. Francq, R. Roy, A. Saidi, 2011 .

Asymptotic Normality of Frequency Polygons for Random Fields

C. Francq, L. Tran, M. Carbon, 2010 .

Multi-level Conditional VaR Estimation in Dynamic Models

Christian Francq, Jean-Michel Zakoïan, C. Francq, 2014, TES.

Estimating multivariate volatility models equation by equation

Christian Francq, Jean-Michel Zakoian, C. Francq, 2016 .

Portmanteau goodness-of-fit test for asymmetric power GARCH models

C. Francq, M. Carbon, 2016 .

Volatility Estimation When the Zero-Process is Nonstationary

C. Francq, Genaro Sucarrat, 2021, Journal of Business & Economic Statistics.

Autocovariance structure of powers of switching-regime ARMA Processes

J. Zakoian, C. Francq, 2002 .

Combining parametric and nonparametric approaches for more efficient time series prediction

J. Zakoian, C. Francq, S. Dabo‐Niang, 2009 .

n° 2009-18 Combining Nonparametric and Optimal Linear Time Series Predictions

J. Zakoian, C. Francq, S. DABO-NIANG, 2009 .

INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT

J. Zakoian, C. Francq, Baye Matar Kandji, 2023, Econometric Theory.

Inference in GARCH when some coefficients are equal to zero

C. Francq, Jean-Michel ZakoÃ¯an, 2006 .

Large sample properties of parameter least squares estimates for time‐varying arma models

Christian Francq, C. Francq, Antony Gautier, 2004 .