Details about Christian Francq

Homepage:	http://christian.francq140.free.fr/
Workplace:	Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)

Access statistics for papers by Christian Francq.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: pfr109

---

Jump to Journal Articles Chapters

Working Papers

2027

1. On Runs Tests for Directional Data and Their Local and Asymptotic Optimality Properties
   Post-Print, HAL

2025

2. Finite moments testing in a general class of nonlinear time series models
   Post-Print, HAL
   Also in MPRA Paper, University Library of Munich, Germany (2024)
3. Inference on breaks in weak location time series models with quasi-Fisher scores
   MPRA Paper, University Library of Munich, Germany
4. Inference on dynamic systemic risk measures
   Post-Print, HAL
   See also Journal Article Inference on dynamic systemic risk measures, Journal of Econometrics, Elsevier (2025) View citations (1) (2025)
5. Testing for the footprints of stabilization economic policy in forecast errors
   Post-Print, HAL
   See also Journal Article Testing for the footprints of stabilization economic policy in forecast errors, PLOS ONE, Public Library of Science (2025) (2025)
6. Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
   Post-Print, HAL
   See also Journal Article Time Series for QFFE: Special Issue of the Journal of Time Series Analysis, Journal of Time Series Analysis, Wiley Blackwell (2025) (2025)

2024

7. Autoregressive conditional betas
   Post-Print, HAL View citations (1)
   Also in Post-Print, HAL (2024) View citations (2)
   See also Journal Article Autoregressive conditional betas, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)

2023

8. INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT
   Post-Print, HAL
   See also Journal Article INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT, Econometric Theory, Cambridge University Press (2024) View citations (1) (2024)
9. Optimal estimating function for weak location‐scale dynamic models
   Post-Print, HAL
   See also Journal Article Optimal estimating function for weak location‐scale dynamic models, Journal of Time Series Analysis, Wiley Blackwell (2023) View citations (2) (2023)
10. Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models
    Post-Print, HAL
    See also Chapter Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models, Springer Books, Springer (2023) (2023)
11. Quasi score-driven models
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2023) View citations (14)
    See also Journal Article Quasi score-driven models, Journal of Econometrics, Elsevier (2023) View citations (14) (2023)
12. Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models
    Post-Print, HAL
    See also Journal Article Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*, Journal of Financial Econometrics, Oxford University Press (2023) (2023)
13. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (2)
    See also Journal Article Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models, Journal of Econometrics, Elsevier (2023) View citations (7) (2023)

2022

14. Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
    Post-Print, HAL
    Also in Working Papers, HAL (2020)
15. Estimating dynamic systemic risk measures
    Working Papers, Center for Research in Economics and Statistics
16. Inference on Multiplicative Component GARCH without any Small-Order Moment
    Working Papers, Center for Research in Economics and Statistics
17. LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2021)
    Working Papers, Center for Research in Economics and Statistics (2022)
    See also Journal Article LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS, Econometric Theory, Cambridge University Press (2023) View citations (1) (2023)
18. Testing the existence of moments for GARCH processes
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2019)
    See also Journal Article Testing the existence of moments for GARCH processes, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)

2021

19. Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial
    Post-Print, HAL
20. Stationarity and ergodicity of Markov switching positive conditional mean models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2020)
    See also Journal Article Stationarity and ergodicity of Markov switching positive conditional mean models, Journal of Time Series Analysis, Wiley Blackwell (2022) View citations (8) (2022)
21. Testing the existence of moments and estimating the tail index of augmented garch processes
    MPRA Paper, University Library of Munich, Germany View citations (2)
22. Volatility Estimation When the Zero-Process is Nonstationary
    Post-Print, HAL
    See also Journal Article Volatility Estimation When the Zero-Process is Nonstationary, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (4) (2022)

2020

23. A New Class of Robust Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
24. COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (4)
    See also Journal Article COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS, Econometric Theory, Cambridge University Press (2021) View citations (22) (2021)
25. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (1)
    Papers, arXiv.org (2019) View citations (1)
    See also Journal Article Virtual Historical Simulation for estimating the conditional VaR of large portfolios, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)

2019

26. Functional GARCH models: The quasi-likelihood approach and its applications
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2018)
    See also Journal Article Functional GARCH models: The quasi-likelihood approach and its applications, Journal of Econometrics, Elsevier (2019) View citations (14) (2019)
27. GARCH Models
    Post-Print, HAL

2018

28. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (3)
    See also Journal Article An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation, Journal of Financial Econometrics, Oxford University Press (2018) View citations (5) (2018)
29. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (16)
    Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (16)
    Working Papers, HAL (2018) View citations (16)
    Post-Print, HAL (2018) View citations (1)
    Post-Print, HAL (2018) View citations (4)
    Post-Print, HAL (2017)
    Post-Print, HAL (2018) View citations (16)
    Post-Print, HAL (2018) View citations (4)
    Post-Print, HAL (2018) View citations (4)
    Post-Print, HAL (2016)
    Post-Print, HAL (2017)
    See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) View citations (17) (2018)
30. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
    Post-Print, HAL
    See also Journal Article Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models, Journal of Econometrics, Elsevier (2018) View citations (13) (2018)
31. On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and
    Post-Print, HAL
    See also Chapter On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and, Springer Books, Springer (2008) (2008)
32. QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2015) View citations (12)
    See also Journal Article QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES, Econometric Theory, Cambridge University Press (2019) View citations (32) (2019)

2017

33. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2015) View citations (6)
    See also Journal Article An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns, Journal of Multivariate Analysis, Elsevier (2017) View citations (10) (2017)
34. Tests for conditional ellipticity in multivariate GARCH models
    Post-Print, HAL
    See also Journal Article Tests for conditional ellipticity in multivariate GARCH models, Journal of Econometrics, Elsevier (2017) View citations (9) (2017)

2016

35. Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2008) View citations (2)
36. Estimating Multivariate Volatility Models Equation by Equation
    Post-Print, HAL
    See also Journal Article Estimating multivariate volatility models equation by equation, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2016) View citations (26) (2016)
37. Goodness-of-fit tests for Log-GARCH and EGARCH models
    Post-Print, HAL
    See also Journal Article Goodness-of-fit tests for Log-GARCH and EGARCH models, TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer (2018) View citations (6) (2018)
38. Intrinsic Liquidity in Conditional Volatility Models
    Post-Print, HAL
    See also Journal Article Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, GENES (2016) (2016)
39. Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2015)
40. Variance Targeting Estimation of Multivariate GARCH Models
    Post-Print, HAL View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (7)
    See also Journal Article Variance Targeting Estimation of Multivariate GARCH Models, Journal of Financial Econometrics, Oxford University Press (2016) View citations (20) (2016)

2015

41. Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2013)
    See also Journal Article Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified, Journal of Time Series Analysis, Wiley Blackwell (2016) View citations (4) (2016)
42. Fourier-type estimation of the power GARCH model with stable-Paretian innovations
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2012)
43. Joint inference on market and estimation risks in dynamic portfolios
    MPRA Paper, University Library of Munich, Germany
44. Poisson QMLE of Count Time Series Models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2014)
    See also Journal Article Poisson QMLE of Count Time Series Models, Journal of Time Series Analysis, Wiley Blackwell (2016) View citations (41) (2016)
45. Risk-parameter estimation in volatility models
    Post-Print, HAL View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (5)
    See also Journal Article Risk-parameter estimation in volatility models, Journal of Econometrics, Elsevier (2015) View citations (34) (2015)
46. Tests for sphericity in multivariate garch models
    MPRA Paper, University Library of Munich, Germany View citations (1)

2014

47. Comment
    Post-Print, HAL
48. Estimating multivariate GARCH and stochastic correlation models equation by equation
    MPRA Paper, University Library of Munich, Germany View citations (2)
49. Multi-level Conditional VaR Estimation in Dynamic Models
    Working Papers, Center for Research in Economics and Statistics View citations (1)
    Also in Post-Print, HAL (2014)
50. Multivariate hypothesis testing using generalized and {2}-inverses – with applications
    Post-Print, HAL

2013

51. Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2011) View citations (1)
    See also Journal Article Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (10) (2013)
52. GARCH models without positivity constraints: Exponential or log GARCH?
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (15)
    See also Journal Article GARCH models without positivity constraints: Exponential or log GARCH?, Journal of Econometrics, Elsevier (2013) View citations (40) (2013)
53. Inference in Non Stationary Asymmetric Garch Models
    Working Papers, Center for Research in Economics and Statistics View citations (21)
    Also in Post-Print, HAL (2013)
    MPRA Paper, University Library of Munich, Germany (2013) View citations (21)
54. Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2012) View citations (2)
    MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
    See also Journal Article Optimal predictions of powers of conditionally heteroscedastic processes, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2013) View citations (30) (2013)

2012

55. Computing and estimating information matrices of weak ARMA models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article Computing and estimating information matrices of weak ARMA models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (8) (2012)
56. Quelques remarques sur les prix Nobel 2011 d’économie et la modélisation des séries économiques
    Post-Print, HAL
57. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Post-Print, HAL View citations (1)
    See also Journal Article Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models, Econometrica, Econometric Society (2012) View citations (56) (2012)
58. The sixth special issue on computational econometrics
    Post-Print, HAL

2011

59. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (6)
    See also Journal Article Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models, Journal of Time Series Analysis, Wiley Blackwell (2011) View citations (7) (2011)
60. Estimating structural VARMA models with uncorrelated but non-independent error terms
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (2)
    See also Journal Article Estimating structural VARMA models with uncorrelated but non-independent error terms, Journal of Multivariate Analysis, Elsevier (2011) View citations (19) (2011)
61. Merits and Drawbacks of Variance Targeting in GARCH Models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (9)
    Working Papers, Center for Research in Economics and Statistics (2009) View citations (7)
    See also Journal Article Merits and Drawbacks of Variance Targeting in GARCH Models, Journal of Financial Econometrics, Oxford University Press (2011) View citations (54) (2011)
62. Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
63. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Post-Print, HAL
    See also Journal Article QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS, Econometric Theory, Cambridge University Press (2012) View citations (42) (2012)
64. Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
    Post-Print, HAL
    See also Journal Article Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE, Journal of Econometrics, Elsevier (2011) View citations (31) (2011)

2010

65. Asymptotic normality of frequency polygons for random fields
    Post-Print, HAL
66. Combining Nonparametric and Optimal Linear Time Series Predictions
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2009)
    See also Journal Article Combining Nonparametric and Optimal Linear Time Series Predictions, Journal of the American Statistical Association, American Statistical Association (2010) View citations (2) (2010)
67. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Post-Print, HAL View citations (13)
    Also in Post-Print, HAL (2010)
    See also Journal Article Inconsistency of the MLE and inference based on weighted LS for LARCH models, Journal of Econometrics, Elsevier (2010) View citations (19) (2010)
68. On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses
    MPRA Paper, University Library of Munich, Germany
69. QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
    MPRA Paper, University Library of Munich, Germany View citations (9)
70. Strict stationarity testing and estimation of explosive ARCH models
    MPRA Paper, University Library of Munich, Germany View citations (3)

2009

71. A Tour in the Asymptotic Theory of GARCH Estimation
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2008)
    See also Chapter A Tour in the Asymptotic Theory of GARCH Estimation, Springer Books, Springer (2009) (2009)
72. Bartlett's formula for a general class of non linear processes
    MPRA Paper, University Library of Munich, Germany View citations (18)
    Also in Post-Print, HAL (2009)
    See also Journal Article Bartlett's formula for a general class of nonlinear processes, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (21) (2009)
73. Combining parametric and nonparametric approaches for more efficient time series prediction
    MPRA Paper, University Library of Munich, Germany
74. Concepts and tools for nonlinear time series modelling
    MPRA Paper, University Library of Munich, Germany View citations (5)
    Also in Post-Print, HAL (2009)
75. 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
76. Modèles Garch: Structure, inférence statistique et applications financières
    Post-Print, HAL
77. Properties of the QMLE and the Weighted LSE for LARCH(q) Models
    Working Papers, Center for Research in Economics and Statistics
78. SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2009) View citations (1)
    See also Journal Article SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL, Econometric Theory, Cambridge University Press (2010) View citations (5) (2010)
79. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2008)
    MPRA Paper, University Library of Munich, Germany (2008)
    See also Journal Article Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons, Journal of the American Statistical Association, American Statistical Association (2009) View citations (36) (2009)

2008

80. A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
    Post-Print, HAL
    See also Journal Article A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test, Journal of Econometrics, Elsevier (2008) View citations (9) (2008)
81. Barlett’s Formula for Non Linear Processes
    Working Papers, Center for Research in Economics and Statistics View citations (2)
82. Can One Really Estimate Nonstationary GARCH Models ?
    Working Papers, Center for Research in Economics and Statistics View citations (1)
83. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
    Post-Print, HAL
    See also Journal Article Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference, Computational Statistics & Data Analysis, Elsevier (2008) View citations (36) (2008)
84. Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariés
    Post-Print, HAL
85. 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

2007

86. HAC estimation and strong linearity testing in weak ARMA models
    Post-Print, HAL
    See also Journal Article HAC estimation and strong linearity testing in weak ARMA models, Journal of Multivariate Analysis, Elsevier (2007) View citations (18) (2007)
87. Kernel regression estimation for random fields
    Post-Print, HAL
88. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
    Post-Print, HAL
    See also Journal Article Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero, Stochastic Processes and their Applications, Elsevier (2007) View citations (45) (2007)

2006

89. Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations
    Post-Print, HAL
    See also Journal Article Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (3) (2006)
90. Inference in GARCH when some coefficients are equal to zero
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (4)
91. Linear‐representation Based Estimation of Stochastic Volatility Models
    Post-Print, HAL
    See also Journal Article Linear‐representation Based Estimation of Stochastic Volatility Models, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2006) View citations (12) (2006)
92. MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
    Post-Print, HAL
    See also Journal Article MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS, Econometric Theory, Cambridge University Press (2006) View citations (39) (2006)
93. On Efficient Inference in GARCH Processes
    Post-Print, HAL
94. Special Issue on Nonlinear Modelling and Financial Econometrics
    Post-Print, HAL
    See also Journal Article Special Issue on Nonlinear Modelling and Financial Econometrics, Computational Statistics & Data Analysis, Elsevier (2006) View citations (3) (2006)
95. Stochastic unit-root bilinear processes
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

96. A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
    Post-Print, HAL View citations (1)
    See also Journal Article A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE, Econometric Theory, Cambridge University Press (2005) View citations (16) (2005)
97. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Post-Print, HAL
    See also Journal Article Diagnostic Checking in ARMA Models With Uncorrelated Errors, Journal of the American Statistical Association, American Statistical Association (2005) View citations (83) (2005)
98. Recent Results for Linear Time Series Models with Non Independent Innovations
    Post-Print, HAL
    See also Chapter Recent Results for Linear Time Series Models with Non Independent Innovations, Springer Books, Springer (2005) (2005)
99. The L 2 -structures of standard and switching-regime GARCH models
    Post-Print, HAL
    See also Journal Article The L2-structures of standard and switching-regime GARCH models, Stochastic Processes and their Applications, Elsevier (2005) View citations (23) (2005)

2004

100. Estimation de modèles ARMA à changements de régime récurrents
     Post-Print, HAL
101. Estimation of time-varying ARMA models with Markovian changes in regime
     Post-Print, HAL
     See also Journal Article Estimation of time-varying ARMA models with Markovian changes in regime, Statistics & Probability Letters, Elsevier (2004) View citations (14) (2004)
102. Large sample properties of parameter least squares estimates for time‐varying arma models
     Post-Print, HAL
     See also Journal Article Large sample properties of parameter least squares estimates for time‐varying arma models, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (12) (2004)
103. Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
     Post-Print, HAL View citations (2)

2003

104. Consistent and asymptotically normal estimators for cyclically time-dependent linear models
     Post-Print, HAL
     See also Journal Article Consistent and asymptotically normal estimators for cyclically time-dependent linear models, Annals of the Institute of Statistical Mathematics, Springer (2003) View citations (13) (2003)

2002

105. Autocovariance structure of powers of switching-regime ARMA Processes
     Post-Print, HAL
106. COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
     Post-Print, HAL
     See also Journal Article COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”, Econometric Theory, Cambridge University Press (2002) View citations (8) (2002)
107. Efficient use of higher-lag autocorrelations for estimating autoregressive processes
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
     Also in Post-Print, HAL (2002)
     See also Journal Article Efficient use of higher‐lag autocorrelations for estimating autoregressive processes, Journal of Time Series Analysis, Wiley Blackwell (2002) (2002)
108. Nonparametric estimation of density, regression and dependence coefficients
     Post-Print, HAL

2001

109. Conditional Heteroskedasticity Driven by Hidden Markov Chains
     Post-Print, HAL
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)
     Working Papers, Center for Research in Economics and Statistics (1998) View citations (10)
     See also Journal Article Conditional Heteroskedasticity Driven by Hidden Markov Chains, Journal of Time Series Analysis, Wiley Blackwell (2001) View citations (39) (2001)
110. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
     Post-Print, HAL
     Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (7)
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000)
     See also Journal Article Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Economics Letters, Elsevier (2001) View citations (10) (2001)
111. On Bartlett’s Formula for Non‐linear Processes
     Post-Print, HAL
     See also Journal Article On Bartlett’s Formula for Non‐linear Processes, Journal of Time Series Analysis, Wiley Blackwell (1997) View citations (2) (1997)
112. On White Noises Driven by Hidden Markov Chains
     Post-Print, HAL
     See also Journal Article On White Noises Driven by Hidden Markov Chains, Journal of Time Series Analysis, Wiley Blackwell (1997) View citations (8) (1997)
113. Stationarity of multivariate Markov–switching ARMA models
     Post-Print, HAL
     Also in Working Papers, Center for Research in Economics and Statistics (2000)
     See also Journal Article Stationarity of multivariate Markov-switching ARMA models, Journal of Econometrics, Elsevier (2001) View citations (100) (2001)

2000

114. Covariance matrix estimation for estimators of mixing weak ARMA models
     Post-Print, HAL
115. ESTIMATING WEAK GARCH REPRESENTATIONS
     Post-Print, HAL View citations (1)
     Also in Working Papers, Center for Research in Economics and Statistics (1997) View citations (7)
     See also Journal Article ESTIMATING WEAK GARCH REPRESENTATIONS, Econometric Theory, Cambridge University Press (2000) View citations (35) (2000)
116. Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
     Working Papers, Center for Research in Economics and Statistics View citations (3)
117. Modèles ARCH avec changement de régime markovien
     Post-Print, HAL
118. Multivariate arma models with generalized autoregressive linear innovation
     Post-Print, HAL
119. Stationnarité des modèles ARMA à changement de régime markovien
     Post-Print, HAL

1999

120. Arma models with bilinear innovations
     Post-Print, HAL
121. Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes
     Working Papers, Center for Research in Economics and Statistics View citations (1)
122. Linear-Representations Based Estimation of Switching-Regime GARCH Models
     Working Papers, Center for Research in Economics and Statistics View citations (4)

1998

123. Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
     Post-Print, HAL
124. Estimating linear representations of nonlinear processes
     Post-Print, HAL
125. Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles
     Post-Print, HAL
126. Estimation de représentations GARCH faibles
     Post-Print, HAL
127. On the Identifiability of Minimal VARMA Representations
     Post-Print, HAL
     See also Journal Article On the Identifiability of Minimal VARMA Representations, Statistical Inference for Stochastic Processes, Springer (1998) View citations (2) (1998)

1997

128. Covariance Matrix Estimation for Estimators of Mixing Wold's Arma
     Working Papers, Center for Research in Economics and Statistics View citations (3)

1996

129. A model for the Am (Km) planetary geomagnetic activity index and application to prediction
     Post-Print, HAL

1994

130. Identification of a univariate ARMA model
     Post-Print, HAL

1990

131. Stationnarité et identification d'un processus bilinéaire strictement superdiagonal
     Post-Print, HAL

Journal Articles

2025

1. Inference on dynamic systemic risk measures
   Journal of Econometrics, 2025, 247, (C) View citations (1)
   See also Working Paper Inference on dynamic systemic risk measures, Post-Print (2025) (2025)
2. Testing for the footprints of stabilization economic policy in forecast errors
   PLOS ONE, 2025, 20, (12), 1-23
   See also Working Paper Testing for the footprints of stabilization economic policy in forecast errors, Post-Print (2025) (2025)
3. Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
   Journal of Time Series Analysis, 2025, 46, (2), 214-215
   See also Working Paper Time Series for QFFE: Special Issue of the Journal of Time Series Analysis, Post-Print (2025) (2025)

2024

4. Autoregressive conditional betas
   Journal of Econometrics, 2024, 238, (2) View citations (2)
   See also Working Paper Autoregressive conditional betas, Post-Print (2024) View citations (1) (2024)
5. INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT
   Econometric Theory, 2024, 40, (6), 1422-1455 View citations (1)
   See also Working Paper INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT, Post-Print (2023) (2023)

2023

6. LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
   Econometric Theory, 2023, 39, (5), 1067-1092 View citations (1)
   See also Working Paper LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS, Post-Print (2022) (2022)
7. Optimal estimating function for weak location‐scale dynamic models
   Journal of Time Series Analysis, 2023, 44, (5-6), 533-555 View citations (2)
   See also Working Paper Optimal estimating function for weak location‐scale dynamic models, Post-Print (2023) (2023)
8. Quasi score-driven models
   Journal of Econometrics, 2023, 234, (1), 251-275 View citations (14)
   See also Working Paper Quasi score-driven models, Post-Print (2023) View citations (1) (2023)
9. Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*
   Journal of Financial Econometrics, 2023, 21, (5), 1443-1482
   See also Working Paper Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models, Post-Print (2023) (2023)
10. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
    Journal of Econometrics, 2023, 237, (2) View citations (7)
    See also Working Paper Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models, Post-Print (2023) (2023)

2022

11. Stationarity and ergodicity of Markov switching positive conditional mean models
    Journal of Time Series Analysis, 2022, 43, (3), 436-459 View citations (8)
    See also Working Paper Stationarity and ergodicity of Markov switching positive conditional mean models, Post-Print (2021) (2021)
12. Testing the existence of moments for GARCH processes
    Journal of Econometrics, 2022, 227, (1), 47-64 View citations (4)
    See also Working Paper Testing the existence of moments for GARCH processes, Post-Print (2022) (2022)
13. Volatility Estimation When the Zero-Process is Nonstationary
    Journal of Business & Economic Statistics, 2022, 41, (1), 53-66 View citations (4)
    See also Working Paper Volatility Estimation When the Zero-Process is Nonstationary, Post-Print (2021) (2021)

2021

14. COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
    Econometric Theory, 2021, 37, (2), 248-280 View citations (22)
    See also Working Paper COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS, Post-Print (2020) (2020)

2020

15. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
    Journal of Econometrics, 2020, 217, (2), 356-380 View citations (4)
    See also Working Paper Virtual Historical Simulation for estimating the conditional VaR of large portfolios, Post-Print (2020) (2020)

2019

16. Functional GARCH models: The quasi-likelihood approach and its applications
    Journal of Econometrics, 2019, 209, (2), 353-375 View citations (14)
    See also Working Paper Functional GARCH models: The quasi-likelihood approach and its applications, Post-Print (2019) (2019)
17. QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
    Econometric Theory, 2019, 35, (1), 37-72 View citations (32)
    See also Working Paper QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES, Post-Print (2018) (2018)

2018

18. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    Journal of Financial Econometrics, 2018, 16, (1), 129-154 View citations (5)
    See also Working Paper An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*, Post-Print (2018) (2018)
19. Asymptotics of Cholesky GARCH models and time-varying conditional betas
    Journal of Econometrics, 2018, 204, (2), 223-247 View citations (17)
    See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) View citations (16) (2018)
20. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
    Journal of Econometrics, 2018, 205, (2), 381-401 View citations (13)
    See also Working Paper Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models, Post-Print (2018) (2018)
21. Goodness-of-fit tests for Log-GARCH and EGARCH models
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, 27, (1), 27-51 View citations (6)
    See also Working Paper Goodness-of-fit tests for Log-GARCH and EGARCH models, Post-Print (2016) (2016)

2017

22. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
    Journal of Multivariate Analysis, 2017, 153, (C), 16-32 View citations (10)
    See also Working Paper An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns, Post-Print (2017) (2017)
23. Tests for conditional ellipticity in multivariate GARCH models
    Journal of Econometrics, 2017, 196, (2), 305-319 View citations (9)
    See also Working Paper Tests for conditional ellipticity in multivariate GARCH models, Post-Print (2017) (2017)

2016

24. 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 View citations (4)
    See also Working Paper Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified, Post-Print (2015) (2015)
25. Estimating multivariate volatility models equation by equation
    Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 View citations (26)
    See also Working Paper Estimating Multivariate Volatility Models Equation by Equation, Post-Print (2016) (2016)
26. Intrinsic Liquidity in Conditional Volatility Models
    Annals of Economics and Statistics, 2016, (123-124), 225-245
    See also Working Paper Intrinsic Liquidity in Conditional Volatility Models, Post-Print (2016) (2016)
27. Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
    Annals of Economics and Statistics, 2016, (123-124), 9-28
28. Poisson QMLE of Count Time Series Models
    Journal of Time Series Analysis, 2016, 37, (3), 291-314 View citations (41)
    See also Working Paper Poisson QMLE of Count Time Series Models, Post-Print (2015) (2015)
29. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 View citations (20)
    See also Working Paper Variance Targeting Estimation of Multivariate GARCH Models, Post-Print (2016) View citations (1) (2016)

2015

30. Risk-parameter estimation in volatility models
    Journal of Econometrics, 2015, 184, (1), 158-173 View citations (34)
    See also Working Paper Risk-parameter estimation in volatility models, Post-Print (2015) View citations (1) (2015)

2014

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

2013

32. Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
    Journal of Business & Economic Statistics, 2013, 31, (4), 412-425 View citations (10)
    See also Working Paper Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions, Post-Print (2013) (2013)
33. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 View citations (40)
    See also Working Paper GARCH models without positivity constraints: Exponential or log GARCH?, Post-Print (2013) (2013)
34. Optimal predictions of powers of conditionally heteroscedastic processes
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 345-367 View citations (30)
    See also Working Paper Optimal Predictions of Powers of Conditionally Heteroscedastic Processes, Post-Print (2013) (2013)

2012

35. Computing and estimating information matrices of weak ARMA models
    Computational Statistics & Data Analysis, 2012, 56, (2), 345-361 View citations (8)
    See also Working Paper Computing and estimating information matrices of weak ARMA models, Post-Print (2012) (2012)
36. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Econometric Theory, 2012, 28, (1), 179-206 View citations (42)
    See also Working Paper QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS, Post-Print (2011) (2011)
37. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Econometrica, 2012, 80, (2), 821-861 View citations (56)
    See also Working Paper Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models, Post-Print (2012) View citations (1) (2012)

2011

38. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
    Journal of Time Series Analysis, 2011, 32, (6), 699-723 View citations (7)
    See also Working Paper Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models, Post-Print (2011) (2011)
39. Estimating structural VARMA models with uncorrelated but non-independent error terms
    Journal of Multivariate Analysis, 2011, 102, (3), 496-505 View citations (19)
    See also Working Paper Estimating structural VARMA models with uncorrelated but non-independent error terms, Post-Print (2011) (2011)
40. Merits and Drawbacks of Variance Targeting in GARCH Models
    Journal of Financial Econometrics, 2011, 9, (4), 619-656 View citations (54)
    See also Working Paper Merits and Drawbacks of Variance Targeting in GARCH Models, Post-Print (2011) (2011)
41. 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 View citations (31)
    See also Working Paper Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE, Post-Print (2011) (2011)

2010

42. Combining Nonparametric and Optimal Linear Time Series Predictions
    Journal of the American Statistical Association, 2010, 105, (492), 1554-1565 View citations (2)
    See also Working Paper Combining Nonparametric and Optimal Linear Time Series Predictions, Post-Print (2010) (2010)
43. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Journal of Econometrics, 2010, 159, (1), 151-165 View citations (19)
    See also Working Paper Inconsistency of the MLE and inference based on weighted LS for LARCH models, Post-Print (2010) View citations (13) (2010)
44. SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
    Econometric Theory, 2010, 26, (4), 965-993 View citations (5)
    See also Working Paper SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL, Post-Print (2009) (2009)

2009

45. Bartlett's formula for a general class of nonlinear processes
    Journal of Time Series Analysis, 2009, 30, (4), 449-465 View citations (21)
    See also Working Paper Bartlett's formula for a general class of non linear processes, MPRA Paper (2009) View citations (18) (2009)
46. 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 View citations (36)
    See also Working Paper Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons, Post-Print (2009) (2009)

2008

47. A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
    Journal of Econometrics, 2008, 142, (1), 312-326 View citations (9)
    See also Working Paper A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test, Post-Print (2008) (2008)
48. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
    Computational Statistics & Data Analysis, 2008, 52, (6), 3027-3046 View citations (36)
    See also Working Paper Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference, Post-Print (2008) (2008)

2007

49. HAC estimation and strong linearity testing in weak ARMA models
    Journal of Multivariate Analysis, 2007, 98, (1), 114-144 View citations (18)
    See also Working Paper HAC estimation and strong linearity testing in weak ARMA models, Post-Print (2007) (2007)
50. Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
    Journal of Time Series Analysis, 2007, 28, (3), 454-470 View citations (17)
51. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
    Stochastic Processes and their Applications, 2007, 117, (9), 1265-1284 View citations (45)
    See also Working Paper Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero, Post-Print (2007) (2007)

2006

52. Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations
    Journal of Time Series Analysis, 2006, 27, (6), 843-855 View citations (3)
    See also Working Paper Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations, Post-Print (2006) (2006)
53. Linear‐representation Based Estimation of Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 View citations (12)
    See also Working Paper Linear‐representation Based Estimation of Stochastic Volatility Models, Post-Print (2006) (2006)
54. MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
    Econometric Theory, 2006, 22, (5), 815-834 View citations (39)
    See also Working Paper MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS, Post-Print (2006) (2006)
55. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 View citations (3)
    See also Working Paper Special Issue on Nonlinear Modelling and Financial Econometrics, Post-Print (2006) (2006)

2005

56. A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
    Econometric Theory, 2005, 21, (6), 1165-1171 View citations (16)
    See also Working Paper A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE, Post-Print (2005) View citations (1) (2005)
57. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Journal of the American Statistical Association, 2005, 100, 532-544 View citations (83)
    See also Working Paper Diagnostic Checking in ARMA Models With Uncorrelated Errors, Post-Print (2005) (2005)
58. The L2-structures of standard and switching-regime GARCH models
    Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 View citations (23)
    See also Working Paper The L 2 -structures of standard and switching-regime GARCH models, Post-Print (2005) (2005)

2004

59. Estimation of time-varying ARMA models with Markovian changes in regime
    Statistics & Probability Letters, 2004, 70, (4), 243-251 View citations (14)
    See also Working Paper Estimation of time-varying ARMA models with Markovian changes in regime, Post-Print (2004) (2004)
60. Large sample properties of parameter least squares estimates for time‐varying arma models
    Journal of Time Series Analysis, 2004, 25, (5), 765-783 View citations (12)
    See also Working Paper Large sample properties of parameter least squares estimates for time‐varying arma models, Post-Print (2004) (2004)

2003

61. Consistent and asymptotically normal estimators for cyclically time-dependent linear models
    Annals of the Institute of Statistical Mathematics, 2003, 55, (1), 41-68 View citations (13)
    See also Working Paper Consistent and asymptotically normal estimators for cyclically time-dependent linear models, Post-Print (2003) (2003)

2002

62. COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
    Econometric Theory, 2002, 18, (3), 815-818 View citations (8)
    See also Working Paper COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”, Post-Print (2002) (2002)
63. Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
    Journal of Time Series Analysis, 2002, 23, (3), 287-312
    See also Working Paper Efficient use of higher-lag autocorrelations for estimating autoregressive processes, LIDAM Reprints CORE (2002) View citations (1) (2002)

2001

64. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Journal of Time Series Analysis, 2001, 22, (2), 197-220 View citations (39)
    See also Working Paper Conditional Heteroskedasticity Driven by Hidden Markov Chains, Post-Print (2001) (2001)
65. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    Economics Letters, 2001, 71, (3), 317-322 View citations (10)
    See also Working Paper Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Post-Print (2001) (2001)
66. Stationarity of multivariate Markov-switching ARMA models
    Journal of Econometrics, 2001, 102, (2), 339-364 View citations (100)
    See also Working Paper Stationarity of multivariate Markov–switching ARMA models, Post-Print (2001) (2001)

2000

67. ESTIMATING WEAK GARCH REPRESENTATIONS
    Econometric Theory, 2000, 16, (5), 692-728 View citations (35)
    See also Working Paper ESTIMATING WEAK GARCH REPRESENTATIONS, Post-Print (2000) View citations (1) (2000)

1998

68. On the Identifiability of Minimal VARMA Representations
    Statistical Inference for Stochastic Processes, 1998, 1, (1), 1-15 View citations (2)
    See also Working Paper On the Identifiability of Minimal VARMA Representations, Post-Print (1998) (1998)

1997

69. On Bartlett’s Formula for Non‐linear Processes
    Journal of Time Series Analysis, 1997, 18, (6), 535-552 View citations (2)
    See also Working Paper On Bartlett’s Formula for Non‐linear Processes, Post-Print (2001) (2001)
70. On White Noises Driven by Hidden Markov Chains
    Journal of Time Series Analysis, 1997, 18, (6), 553-578 View citations (8)
    See also Working Paper On White Noises Driven by Hidden Markov Chains, Post-Print (2001) (2001)

Chapters

2023

1. Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models
   Springer
   See also Working Paper Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models, HAL (2023) (2023)

2009

2. A Tour in the Asymptotic Theory of GARCH Estimation
   Springer
   See also Working Paper A Tour in the Asymptotic Theory of GARCH Estimation, HAL (2009) (2009)

2008

3. On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and
   Springer
   See also Working Paper On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and, HAL (2018) (2018)

2005

4. Recent Results for Linear Time Series Models with Non Independent Innovations
   Springer
   See also Working Paper Recent Results for Linear Time Series Models with Non Independent Innovations, HAL (2005) (2005)