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Details about Christian Francq

E-mail:
Homepage:http://perso.univ-lille3.fr/~cfrancq
Workplace:Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)
UFR Mathématiques Sciences Économiques et Sociales (Faculty of Mathematics, Economics and Social Sciences), Université Charles-de-Gaulle (Lille 3) (Charles de Gaulle University of Lille), (more information at EDIRC)

Access statistics for papers by Christian Francq.

Last updated 2017-03-03. Update your information in the RePEc Author Service.

Short-id: pfr109


Jump to Journal Articles

Working Papers

2015

  1. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
  2. Joint inference on market and estimation risks in dynamic portfolios
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Qml inference for volatility models with covariates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  5. Tests for sphericity in multivariate garch models
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. Estimating multivariate GARCH and stochastic correlation models equation by equation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Multi-level Conditional VaR Estimation in Dynamic Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  3. Poisson qmle of count time series models
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Time Series Analysis (2016)
  4. Variance targeting estimation of multivariate GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2016)

2013

  1. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Time Series Analysis (2016)
  3. Inference in Non Stationary Asymmetric Garch Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (7)

2012

  1. Fourier--type estimation of the power garch model with stable--paretian innovations
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Metrika: International Journal for Theoretical and Applied Statistics (2016)
  2. Garch models without positivity constraints: exponential or log garch?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (2013)
  3. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (1)

    See also Journal Article in Journal of the Royal Statistical Society Series B (2013)
  4. Risk-parameter estimation in volatility models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2015)

2011

  1. Asymptotic properties of weighted least squares estimation in weak parma models
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Time Series Analysis (2011)
  2. Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2013)

2010

  1. Computing and estimating information matrices of weak arma models
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Post-Print, HAL Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2010)
  3. On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Portmanteau goodness-of-fit test for asymmetric power GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  5. QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  6. Strict stationarity testing and estimation of explosive ARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2009

  1. Bartlett's formula for a general class of non linear processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Journal of Time Series Analysis (2009)
  2. Combining Nonparametric and Optimal Linear Time Series Predictions
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of the American Statistical Association (2010)
  3. Combining parametric and nonparametric approaches for more efficient time series prediction
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Concepts and tools for nonlinear time series modelling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  5. Estimating structural VARMA models with uncorrelated but non-independent error terms
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Multivariate Analysis (2011)
  6. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Merits and Drawbacks of Variance Targeting in GARCH Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (7)

    See also Journal Article in Journal of Financial Econometrics (2011)
  8. Properties of the QMLE and the Weighted LSE for LARCH(q) Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  9. Sup-Tests for Linearity in a General Nonlinear AR(1) Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Econometric Theory (2010)

2008

  1. A Tour in the Asymptotic Theory of GARCH Estimation
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. Barlett’s Formula for Non Linear Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  3. Can One Really Estimate Nonstationary GARCH Models ?
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  4. Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  5. Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads

    See also Journal Article in Journal of the American Statistical Association (2009)

2006

  1. Inference in GARCH when some coefficients are equal to zero
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (2)
  2. Stochastic unit-root bilinear processes
    Computing in Economics and Finance 2006, Society for Computational Economics

2000

  1. Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  2. Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Economics Letters (2001)
  3. Stationarity of Multivariate Markov-Switching ARMA Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of Econometrics (2001)

1999

  1. Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  2. Linear-Representations Based Estimation of Switching-Regime GARCH Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)

1998

  1. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)

1997

  1. Covariance Matrix Estimation for Estimators of Mixing Wold's Arma
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  2. Estimating Weak Garch Representations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (6)
    See also Journal Article in Econometric Theory (2000)

Undated

  1. Efficient use of higher-lag autocorrelations for estimating autoregressive processes
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

Journal Articles

2017

  1. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
    Journal of Multivariate Analysis, 2017, 153, (C), 16-32 Downloads
  2. Tests for conditional ellipticity in multivariate GARCH models
    Journal of Econometrics, 2017, 196, (2), 305-319 Downloads

2016

  1. Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
    Journal of Time Series Analysis, 2016, 37, (1), 46-76 Downloads View citations (1)
    See also Working Paper (2013)
  2. Estimating multivariate volatility models equation by equation
    Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 Downloads View citations (2)
  3. Fourier-type estimation of the power GARCH model with stable-Paretian innovations
    Metrika: International Journal for Theoretical and Applied Statistics, 2016, 79, (4), 389-424 Downloads View citations (2)
    See also Working Paper (2012)
  4. Intrinsic Liquidity in Conditional Volatility Models
    Annals of Economics and Statistics, 2016, (123-124), 225-245 Downloads
  5. Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
    Annals of Economics and Statistics, 2016, (123-124), 9-28 Downloads
  6. Poisson QMLE of Count Time Series Models
    Journal of Time Series Analysis, 2016, 37, (3), 291-314 Downloads View citations (2)
    See also Working Paper (2014)
  7. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 Downloads View citations (1)
    See also Working Paper (2014)

2015

  1. Risk-parameter estimation in volatility models
    Journal of Econometrics, 2015, 184, (1), 158-173 Downloads View citations (4)
    See also Working Paper (2012)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 198-201 Downloads

2013

  1. Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
    Journal of Business & Economic Statistics, 2013, 31, (4), 412-425 Downloads View citations (5)
    See also Working Paper (2011)
  2. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 Downloads View citations (10)
    See also Working Paper (2012)
  3. Optimal predictions of powers of conditionally heteroscedastic processes
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 345-367 Downloads View citations (13)
    See also Working Paper (2012)

2012

  1. Computing and estimating information matrices of weak ARMA models
    Computational Statistics & Data Analysis, 2012, 56, (2), 345-361 Downloads View citations (4)
    See also Working Paper (2010)
  2. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Econometric Theory, 2012, 28, (01), 179-206 Downloads View citations (15)
  3. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Econometrica, 2012, 80, (2), 821-861 Downloads View citations (11)

2011

  1. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
    Journal of Time Series Analysis, 2011, 32, (6), 699-723 Downloads View citations (1)
    See also Working Paper (2011)
  2. Estimating structural VARMA models with uncorrelated but non-independent error terms
    Journal of Multivariate Analysis, 2011, 102, (3), 496-505 Downloads View citations (6)
    See also Working Paper (2009)
  3. Merits and Drawbacks of Variance Targeting in GARCH Models
    Journal of Financial Econometrics, 2011, 9, (4), 619-656 Downloads View citations (22)
    See also Working Paper (2009)
  4. Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
    Journal of Econometrics, 2011, 165, (2), 246-257 Downloads View citations (10)

2010

  1. Combining Nonparametric and Optimal Linear Time Series Predictions
    Journal of the American Statistical Association, 2010, 105, (492), 1554-1565 Downloads View citations (1)
    See also Working Paper (2009)
  2. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Journal of Econometrics, 2010, 159, (1), 151-165 Downloads View citations (5)
    See also Working Paper (2010)
  3. SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
    Econometric Theory, 2010, 26, (04), 965-993 Downloads
    See also Working Paper (2009)

2009

  1. Bartlett's formula for a general class of nonlinear processes
    Journal of Time Series Analysis, 2009, 30, (4), 449-465 Downloads View citations (8)
    See also Working Paper (2009)
  2. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Journal of the American Statistical Association, 2009, 104, (485), 313-324 Downloads View citations (9)
    See also Working Paper (2008)

2008

  1. A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
    Journal of Econometrics, 2008, 142, (1), 312-326 Downloads View citations (5)
  2. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
    Computational Statistics & Data Analysis, 2008, 52, (6), 3027-3046 Downloads View citations (13)

2007

  1. HAC estimation and strong linearity testing in weak ARMA models
    Journal of Multivariate Analysis, 2007, 98, (1), 114-144 Downloads View citations (11)
  2. Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
    Journal of Time Series Analysis, 2007, 28, (3), 454-470 Downloads View citations (8)
  3. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
    Stochastic Processes and their Applications, 2007, 117, (9), 1265-1284 Downloads View citations (15)

2006

  1. Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations
    Journal of Time Series Analysis, 2006, 27, (6), 843-855 Downloads View citations (3)
  2. Linear-representation Based Estimation of Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 Downloads View citations (7)
  3. MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
    Econometric Theory, 2006, 22, (05), 815-834 Downloads View citations (25)
  4. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 Downloads View citations (1)

2005

  1. A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
    Econometric Theory, 2005, 21, (06), 1165-1171 Downloads View citations (5)
  2. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Journal of the American Statistical Association, 2005, 100, 532-544 Downloads View citations (45)
  3. The L2-structures of standard and switching-regime GARCH models
    Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 Downloads View citations (14)

2004

  1. Estimation of time-varying ARMA models with Markovian changes in regime
    Statistics & Probability Letters, 2004, 70, (4), 243-251 Downloads View citations (4)
  2. Large sample properties of parameter least squares estimates for time-varying arma models
    Journal of Time Series Analysis, 2004, 25, (5), 765-783 Downloads View citations (7)

2003

  1. Consistent and asymptotically normal estimators for cyclically time-dependent linear models
    Annals of the Institute of Statistical Mathematics, 2003, 55, (1), 41-68 Downloads View citations (6)

2002

  1. COMMENTS ON THE PAPER BY MINXIAN YANG
    Econometric Theory, 2002, 18, (03), 815-818 Downloads View citations (3)

2001

  1. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    Economics Letters, 2001, 71, (3), 317-322 Downloads View citations (6)
    See also Working Paper (2000)
  2. Stationarity of multivariate Markov-switching ARMA models
    Journal of Econometrics, 2001, 102, (2), 339-364 Downloads View citations (58)
    See also Working Paper (2000)

2000

  1. ESTIMATING WEAK GARCH REPRESENTATIONS
    Econometric Theory, 2000, 16, (05), 692-728 Downloads View citations (30)
    See also Working Paper (1997)

1998

  1. On the Identifiability of Minimal VARMA Representations
    Statistical Inference for Stochastic Processes, 1998, 1, (1), 1-15 Downloads
 
Page updated 2017-06-27