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 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pfr109

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Jump to Journal Articles

Working Papers

2024

1. Autoregressive conditional betas
   Post-Print, HAL
   See also Journal Article Autoregressive conditional betas, Journal of Econometrics, Elsevier (2024) (2024)
2. Finite moments testing in a general class of nonlinear time series models
   MPRA Paper, University Library of Munich, Germany

2023

3. Quasi score-driven models
   Post-Print, HAL View citations (10)
   See also Journal Article Quasi score-driven models, Journal of Econometrics, Elsevier (2023) View citations (10) (2023)

2022

4. Estimating dynamic systemic risk measures
   Working Papers, Center for Research in Economics and Statistics
5. Inference on Multiplicative Component GARCH without any Small-Order Moment
   Working Papers, Center for Research in Economics and Statistics
6. Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models
   Working Papers, Center for Research in Economics and Statistics
   Also in MPRA Paper, University Library of Munich, Germany (2021)
   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)

2021

7. Testing the existence of moments and estimating the tail index of augmented garch processes
   MPRA Paper, University Library of Munich, Germany View citations (2)

2020

8. A New Class of Robust Observation-Driven Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
9. Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models
   Working Papers, HAL
10. Stationarity and ergodicity of Markov switching positive conditional mean models
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Stationarity and ergodicity of Markov switching positive conditional mean models, Journal of Time Series Analysis, Wiley Blackwell (2022) View citations (6) (2022)

2019

11. Testing the existence of moments for GARCH processes
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Testing the existence of moments for GARCH processes, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)
12. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
    MPRA Paper, University Library of Munich, Germany 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 (3) (2023)
13. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
    Papers, arXiv.org View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (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)

2018

14. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (14)
    Also in Post-Print, HAL (2018) View citations (2)
    MPRA Paper, University Library of Munich, Germany (2018) View citations (14)
    Post-Print, HAL (2018) View citations (2)
    Post-Print, HAL (2017)
    Post-Print, HAL (2018) View citations (14)
    Post-Print, HAL (2016)
    Post-Print, HAL (2017)
    Working Papers, HAL (2018) View citations (14)
    Post-Print, HAL (2018) View citations (2)
    See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) View citations (15) (2018)
15. Count and duration time series with equal conditional stochastic and mean orders
    MPRA Paper, University Library of Munich, Germany 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 (20) (2021)
16. Functional GARCH models: the quasi-likelihood approach and its applications
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Functional GARCH models: The quasi-likelihood approach and its applications, Journal of Econometrics, Elsevier (2019) View citations (11) (2019)

2016

17. 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)

2015

18. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
    MPRA Paper, University Library of Munich, Germany 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)
19. Joint inference on market and estimation risks in dynamic portfolios
    MPRA Paper, University Library of Munich, Germany
20. Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
    MPRA Paper, University Library of Munich, Germany
21. 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 (39) (2016)
22. Qml inference for volatility models with covariates
    MPRA Paper, University Library of Munich, Germany View citations (12)
    See also Journal Article QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES, Econometric Theory, Cambridge University Press (2019) View citations (31) (2019)
23. Tests for sphericity in multivariate garch models
    MPRA Paper, University Library of Munich, Germany View citations (1)

2014

24. Estimating multivariate GARCH and stochastic correlation models equation by equation
    MPRA Paper, University Library of Munich, Germany View citations (2)
25. Multi-level Conditional VaR Estimation in Dynamic Models
    Working Papers, Center for Research in Economics and Statistics View citations (1)
26. Variance targeting estimation of multivariate GARCH models
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Variance Targeting Estimation of Multivariate GARCH Models, Journal of Financial Econometrics, Oxford University Press (2016) View citations (18) (2016)

2013

27. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    MPRA Paper, University Library of Munich, Germany 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)
28. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
    MPRA Paper, University Library of Munich, Germany
    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)
29. Inference in Non Stationary Asymmetric Garch Models
    Working Papers, Center for Research in Economics and Statistics View citations (21)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (21)

2012

30. Fourier--type estimation of the power garch model with stable--paretian innovations
    MPRA Paper, University Library of Munich, Germany
31. Garch models without positivity constraints: exponential or log garch?
    MPRA Paper, University Library of Munich, Germany View citations (15)
    See also Journal Article GARCH models without positivity constraints: Exponential or log GARCH?, Journal of Econometrics, Elsevier (2013) View citations (37) (2013)
32. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    Also in 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 (29) (2013)
33. Risk-parameter estimation in volatility models
    MPRA Paper, University Library of Munich, Germany View citations (5)
    See also Journal Article Risk-parameter estimation in volatility models, Journal of Econometrics, Elsevier (2015) View citations (33) (2015)

2011

34. Asymptotic properties of weighted least squares estimation in weak parma models
    MPRA Paper, University Library of Munich, Germany View citations (5)
    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 (5) (2011)
35. Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
    Working Papers, Center for Research in Economics and Statistics 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)

2010

36. Computing and estimating information matrices of weak arma models
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Computing and estimating information matrices of weak ARMA models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (6) (2012)
37. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Post-Print, HAL View citations (13)
    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)
38. On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses
    MPRA Paper, University Library of Munich, Germany
39. Portmanteau goodness-of-fit test for asymmetric power GARCH models
    MPRA Paper, University Library of Munich, Germany View citations (2)
40. 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)
41. Strict stationarity testing and estimation of explosive ARCH models
    MPRA Paper, University Library of Munich, Germany View citations (3)

2009

42. Bartlett's formula for a general class of non linear processes
    MPRA Paper, University Library of Munich, Germany View citations (17)
    See also Journal Article Bartlett's formula for a general class of nonlinear processes, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (20) (2009)
43. Combining Nonparametric and Optimal Linear Time Series Predictions
    Working Papers, Center for Research in Economics and Statistics
    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)
44. Combining parametric and nonparametric approaches for more efficient time series prediction
    MPRA Paper, University Library of Munich, Germany
45. Concepts and tools for nonlinear time series modelling
    MPRA Paper, University Library of Munich, Germany View citations (5)
46. Estimating structural VARMA models with uncorrelated but non-independent error terms
    MPRA Paper, University Library of Munich, Germany 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 (16) (2011)
47. 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
48. Merits and Drawbacks of Variance Targeting in GARCH Models
    Working Papers, Center for Research in Economics and Statistics View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (9)
    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)
49. Properties of the QMLE and the Weighted LSE for LARCH(q) Models
    Working Papers, Center for Research in Economics and Statistics
50. Sup-Tests for Linearity in a General Nonlinear AR(1) Model
    Working Papers, Center for Research in Economics and Statistics 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)

2008

51. A Tour in the Asymptotic Theory of GARCH Estimation
    Working Papers, Center for Research in Economics and Statistics
52. Barlett’s Formula for Non Linear Processes
    Working Papers, Center for Research in Economics and Statistics View citations (2)
53. Can One Really Estimate Nonstationary GARCH Models ?
    Working Papers, Center for Research in Economics and Statistics View citations (1)
54. Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
    Working Papers, Center for Research in Economics and Statistics View citations (2)
55. 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
56. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Working Papers, Center for Research in Economics and Statistics
    Also in 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 (35) (2009)

2006

57. Inference in GARCH when some coefficients are equal to zero
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (4)
58. Stochastic unit-root bilinear processes
    Computing in Economics and Finance 2006, Society for Computational Economics

2002

59. 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)
    See also Journal Article Efficient use of higher‐lag autocorrelations for estimating autoregressive processes, Journal of Time Series Analysis, Wiley Blackwell (2002) (2002)

2001

60. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
    Also in 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)

2000

61. Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
    Working Papers, Center for Research in Economics and Statistics View citations (3)
62. Stationarity of Multivariate Markov-Switching ARMA Models
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Stationarity of multivariate Markov-switching ARMA models, Journal of Econometrics, Elsevier (2001) View citations (100) (2001)

1999

63. Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes
    Working Papers, Center for Research in Economics and Statistics View citations (1)
64. Linear-Representations Based Estimation of Switching-Regime GARCH Models
    Working Papers, Center for Research in Economics and Statistics View citations (4)

1998

65. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Working Papers, Center for Research in Economics and Statistics View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)
    See also Journal Article Conditional Heteroskedasticity Driven by Hidden Markov Chains, Journal of Time Series Analysis, Wiley Blackwell (2001) View citations (39) (2001)

1997

66. Covariance Matrix Estimation for Estimators of Mixing Wold's Arma
    Working Papers, Center for Research in Economics and Statistics View citations (3)
67. Estimating Weak Garch Representations
    Working Papers, Center for Research in Economics and Statistics View citations (7)
    See also Journal Article ESTIMATING WEAK GARCH REPRESENTATIONS, Econometric Theory, Cambridge University Press (2000) View citations (35) (2000)

Journal Articles

2024

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

2023

3. 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, Working Papers (2022) (2022)
4. Optimal estimating function for weak location‐scale dynamic models
   Journal of Time Series Analysis, 2023, 44, (5-6), 533-555
5. Quasi score-driven models
   Journal of Econometrics, 2023, 234, (1), 251-275 View citations (10)
   See also Working Paper Quasi score-driven models, Post-Print (2023) View citations (10) (2023)
6. Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*
   Journal of Financial Econometrics, 2023, 21, (5), 1443-1482
7. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
   Journal of Econometrics, 2023, 237, (2) View citations (3)
   See also Working Paper Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models, MPRA Paper (2019) View citations (2) (2019)

2022

8. Stationarity and ergodicity of Markov switching positive conditional mean models
   Journal of Time Series Analysis, 2022, 43, (3), 436-459 View citations (6)
   See also Working Paper Stationarity and ergodicity of Markov switching positive conditional mean models, MPRA Paper (2020) (2020)
9. 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, MPRA Paper (2019) (2019)
10. Volatility Estimation When the Zero-Process is Nonstationary
    Journal of Business & Economic Statistics, 2022, 41, (1), 53-66 View citations (4)

2021

11. COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
    Econometric Theory, 2021, 37, (2), 248-280 View citations (20)
    See also Working Paper Count and duration time series with equal conditional stochastic and mean orders, MPRA Paper (2018) View citations (4) (2018)

2020

12. 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, Papers (2019) View citations (1) (2019)

2019

13. Functional GARCH models: The quasi-likelihood approach and its applications
    Journal of Econometrics, 2019, 209, (2), 353-375 View citations (11)
    See also Working Paper Functional GARCH models: the quasi-likelihood approach and its applications, MPRA Paper (2018) (2018)
14. QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
    Econometric Theory, 2019, 35, (1), 37-72 View citations (31)
    See also Working Paper Qml inference for volatility models with covariates, MPRA Paper (2015) View citations (12) (2015)

2018

15. 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, MPRA Paper (2013) View citations (3) (2013)
16. Asymptotics of Cholesky GARCH models and time-varying conditional betas
    Journal of Econometrics, 2018, 204, (2), 223-247 View citations (15)
    See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) View citations (14) (2018)
17. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
    Journal of Econometrics, 2018, 205, (2), 381-401 View citations (13)
18. 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)

2017

19. 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 Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns, MPRA Paper (2015) View citations (6) (2015)
20. Tests for conditional ellipticity in multivariate GARCH models
    Journal of Econometrics, 2017, 196, (2), 305-319 View citations (9)

2016

21. 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, MPRA Paper (2013) (2013)
22. Estimating multivariate volatility models equation by equation
    Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 View citations (24)
23. 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)
24. Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
    Annals of Economics and Statistics, 2016, (123-124), 9-28
25. Poisson QMLE of Count Time Series Models
    Journal of Time Series Analysis, 2016, 37, (3), 291-314 View citations (39)
    See also Working Paper Poisson QMLE of Count Time Series Models, Post-Print (2015) (2015)
26. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 View citations (18)
    See also Working Paper Variance targeting estimation of multivariate GARCH models, MPRA Paper (2014) View citations (7) (2014)

2015

27. Risk-parameter estimation in volatility models
    Journal of Econometrics, 2015, 184, (1), 158-173 View citations (33)
    See also Working Paper Risk-parameter estimation in volatility models, MPRA Paper (2012) View citations (5) (2012)

2014

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

2013

29. 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, Working Papers (2011) View citations (1) (2011)
30. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 View citations (37)
    See also Working Paper Garch models without positivity constraints: exponential or log garch?, MPRA Paper (2012) View citations (15) (2012)
31. Optimal predictions of powers of conditionally heteroscedastic processes
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 345-367 View citations (29)
    See also Working Paper Optimal Predictions of Powers of Conditionally Heteroskedastic Processes, Working Papers (2012) View citations (2) (2012)

2012

32. Computing and estimating information matrices of weak ARMA models
    Computational Statistics & Data Analysis, 2012, 56, (2), 345-361 View citations (6)
    See also Working Paper Computing and estimating information matrices of weak arma models, MPRA Paper (2010) (2010)
33. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Econometric Theory, 2012, 28, (1), 179-206 View citations (40)
34. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Econometrica, 2012, 80, (2), 821-861 View citations (54)

2011

35. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
    Journal of Time Series Analysis, 2011, 32, (6), 699-723 View citations (5)
    See also Working Paper Asymptotic properties of weighted least squares estimation in weak parma models, MPRA Paper (2011) View citations (5) (2011)
36. Estimating structural VARMA models with uncorrelated but non-independent error terms
    Journal of Multivariate Analysis, 2011, 102, (3), 496-505 View citations (16)
    See also Working Paper Estimating structural VARMA models with uncorrelated but non-independent error terms, MPRA Paper (2009) View citations (2) (2009)
37. 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, Working Papers (2009) View citations (7) (2009)
38. 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)

2010

39. 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, Working Papers (2009) (2009)
40. 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)
41. 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, Working Papers (2009) View citations (1) (2009)

2009

42. Bartlett's formula for a general class of nonlinear processes
    Journal of Time Series Analysis, 2009, 30, (4), 449-465 View citations (20)
    See also Working Paper Bartlett's formula for a general class of non linear processes, MPRA Paper (2009) View citations (17) (2009)
43. 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 (35)
    See also Working Paper Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons, Working Papers (2008) (2008)

2008

44. 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)
45. 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 (34)

2007

46. HAC estimation and strong linearity testing in weak ARMA models
    Journal of Multivariate Analysis, 2007, 98, (1), 114-144 View citations (15)
47. Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
    Journal of Time Series Analysis, 2007, 28, (3), 454-470 View citations (14)
48. 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 (43)

2006

49. 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)
50. Linear‐representation Based Estimation of Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 View citations (12)
51. 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 (37)
52. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 View citations (3)

2005

53. 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 (12)
54. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Journal of the American Statistical Association, 2005, 100, 532-544 View citations (81)
55. The L2-structures of standard and switching-regime GARCH models
    Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 View citations (22)

2004

56. Estimation of time-varying ARMA models with Markovian changes in regime
    Statistics & Probability Letters, 2004, 70, (4), 243-251 View citations (14)
57. 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)

2003

58. 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 (11)

2002

59. 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)
60. 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

61. 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, Working Papers (1998) View citations (10) (1998)
62. 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, LIDAM Reprints CORE (2001) View citations (7) (2001)
63. 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, Working Papers (2000) (2000)

2000

64. ESTIMATING WEAK GARCH REPRESENTATIONS
    Econometric Theory, 2000, 16, (5), 692-728 View citations (35)
    See also Working Paper Estimating Weak Garch Representations, Working Papers (1997) View citations (7) (1997)

1998

65. On the Identifiability of Minimal VARMA Representations
    Statistical Inference for Stochastic Processes, 1998, 1, (1), 1-15 View citations (2)

1997

66. On Bartlett’s Formula for Non‐linear Processes
    Journal of Time Series Analysis, 1997, 18, (6), 535-552 View citations (2)
67. On White Noises Driven by Hidden Markov Chains
    Journal of Time Series Analysis, 1997, 18, (6), 553-578 View citations (8)