Details about Christian Francq
Access statistics for papers by Christian Francq.
Last updated 2025-01-06. Update your information in the RePEc Author Service.
Short-id: pfr109
Jump to Journal Articles
Working Papers
2024
- Autoregressive conditional betas
Post-Print, HAL
See also Journal Article Autoregressive conditional betas, Journal of Econometrics, Elsevier (2024) (2024)
- Finite moments testing in a general class of nonlinear time series models
MPRA Paper, University Library of Munich, Germany
2023
- 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
- Estimating dynamic systemic risk measures
Working Papers, Center for Research in Economics and Statistics
- Inference on Multiplicative Component GARCH without any Small-Order Moment
Working Papers, Center for Research in Economics and Statistics
- 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
- 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
- A New Class of Robust Observation-Driven Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models
Working Papers, HAL
- 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
- 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)
- 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)
- Virtual Historical Simulation for estimating the conditional VaR of large portfolios
MPRA Paper, University Library of Munich, Germany View citations (1)
Also in 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)
2018
- Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
AMSE Working Papers, Aix-Marseille School of Economics, France View citations (13)
Also in Post-Print, HAL (2018) View citations (1) Post-Print, HAL (2018) View citations (13) Post-Print, HAL (2018) View citations (1) MPRA Paper, University Library of Munich, Germany (2018) View citations (13) Post-Print, HAL (2017)  Working Papers, HAL (2018) View citations (13) Post-Print, HAL (2016) Post-Print, HAL (2017) Post-Print, HAL (2018) View citations (1)
See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) View citations (14) (2018)
- 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)
- 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
- 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
- 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)
- Joint inference on market and estimation risks in dynamic portfolios
MPRA Paper, University Library of Munich, Germany
- Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
MPRA Paper, University Library of Munich, Germany
- 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 (37) (2016)
- 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)
- Tests for sphericity in multivariate garch models
MPRA Paper, University Library of Munich, Germany View citations (1)
2014
- Estimating multivariate GARCH and stochastic correlation models equation by equation
MPRA Paper, University Library of Munich, Germany View citations (2)
- Multi-level Conditional VaR Estimation in Dynamic Models
Working Papers, Center for Research in Economics and Statistics View citations (1)
- 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
- 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)
- 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)
- 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
- Fourier--type estimation of the power garch model with stable--paretian innovations
MPRA Paper, University Library of Munich, Germany
- 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)
- 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)
- 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 (31) (2015)
2011
- 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)
- 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
- 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)
- 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)
- On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses
MPRA Paper, University Library of Munich, Germany
- Portmanteau goodness-of-fit test for asymmetric power GARCH models
MPRA Paper, University Library of Munich, Germany View citations (2)
- 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)
- Strict stationarity testing and estimation of explosive ARCH models
MPRA Paper, University Library of Munich, Germany View citations (3)
2009
- Bartlett's formula for a general class of non linear processes
MPRA Paper, University Library of Munich, Germany View citations (16)
See also Journal Article Bartlett's formula for a general class of nonlinear processes, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (19) (2009)
- 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)
- Combining parametric and nonparametric approaches for more efficient time series prediction
MPRA Paper, University Library of Munich, Germany
- Concepts and tools for nonlinear time series modelling
MPRA Paper, University Library of Munich, Germany View citations (5)
- 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)
- 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
- 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)
- Properties of the QMLE and the Weighted LSE for LARCH(q) Models
Working Papers, Center for Research in Economics and Statistics
- 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
- A Tour in the Asymptotic Theory of GARCH Estimation
Working Papers, Center for Research in Economics and Statistics
- Barlett’s Formula for Non Linear Processes
Working Papers, Center for Research in Economics and Statistics View citations (2)
- Can One Really Estimate Nonstationary GARCH Models ?
Working Papers, Center for Research in Economics and Statistics View citations (1)
- 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)
- 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
- 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
- Inference in GARCH when some coefficients are equal to zero
Computing in Economics and Finance 2006, Society for Computational Economics View citations (4)
- Stochastic unit-root bilinear processes
Computing in Economics and Finance 2006, Society for Computational Economics
2002
- 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
- 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
- Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
Working Papers, Center for Research in Economics and Statistics View citations (3)
- 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 (99) (2001)
1999
- Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes
Working Papers, Center for Research in Economics and Statistics View citations (1)
- Linear-Representations Based Estimation of Switching-Regime GARCH Models
Working Papers, Center for Research in Economics and Statistics View citations (4)
1998
- 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 (38) (2001)
1997
- Covariance Matrix Estimation for Estimators of Mixing Wold's Arma
Working Papers, Center for Research in Economics and Statistics View citations (3)
- 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
- Autoregressive conditional betas
Journal of Econometrics, 2024, 238, (2) 
See also Working Paper Autoregressive conditional betas, Post-Print (2024) (2024)
- INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT
Econometric Theory, 2024, 40, (6), 1422-1455
2023
- 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)
- Optimal estimating function for weak location‐scale dynamic models
Journal of Time Series Analysis, 2023, 44, (5-6), 533-555
- 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)
- Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*
Journal of Financial Econometrics, 2023, 21, (5), 1443-1482
- 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
- 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)
- 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)
- Volatility Estimation When the Zero-Process is Nonstationary
Journal of Business & Economic Statistics, 2022, 41, (1), 53-66 View citations (3)
2021
- 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
- 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, MPRA Paper (2019) View citations (1) (2019)
2019
- 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)
- 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
- 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)
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
Journal of Econometrics, 2018, 204, (2), 223-247 View citations (14)
See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) View citations (13) (2018)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Journal of Econometrics, 2018, 205, (2), 381-401 View citations (12)
- 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
- 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)
- Tests for conditional ellipticity in multivariate GARCH models
Journal of Econometrics, 2017, 196, (2), 305-319 View citations (9)
2016
- 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)
- Estimating multivariate volatility models equation by equation
Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 View citations (24)
- 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)
- Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
Annals of Economics and Statistics, 2016, (123-124), 9-28
- Poisson QMLE of Count Time Series Models
Journal of Time Series Analysis, 2016, 37, (3), 291-314 View citations (37)
See also Working Paper Poisson QMLE of Count Time Series Models, Post-Print (2015) (2015)
- 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
- Risk-parameter estimation in volatility models
Journal of Econometrics, 2015, 184, (1), 158-173 View citations (31)
See also Working Paper Risk-parameter estimation in volatility models, MPRA Paper (2012) View citations (5) (2012)
2014
- Comment
Journal of Business & Economic Statistics, 2014, 32, (2), 198-201
2013
- 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)
- 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)
- 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
- 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)
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
Econometric Theory, 2012, 28, (1), 179-206 View citations (40)
- Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
Econometrica, 2012, 80, (2), 821-861 View citations (53)
2011
- 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)
- 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)
- 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)
- 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 (30)
2010
- 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)
- 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)
- 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
- Bartlett's formula for a general class of nonlinear processes
Journal of Time Series Analysis, 2009, 30, (4), 449-465 View citations (19)
See also Working Paper Bartlett's formula for a general class of non linear processes, MPRA Paper (2009) View citations (16) (2009)
- 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
- 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)
- 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 (32)
2007
- HAC estimation and strong linearity testing in weak ARMA models
Journal of Multivariate Analysis, 2007, 98, (1), 114-144 View citations (15)
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
Journal of Time Series Analysis, 2007, 28, (3), 454-470 View citations (14)
- 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
- 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)
- Linear‐representation Based Estimation of Stochastic Volatility Models
Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 View citations (12)
- 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)
- Special Issue on Nonlinear Modelling and Financial Econometrics
Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 View citations (3)
2005
- 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 (11)
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
Journal of the American Statistical Association, 2005, 100, 532-544 View citations (80)
- The L2-structures of standard and switching-regime GARCH models
Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 View citations (22)
2004
- Estimation of time-varying ARMA models with Markovian changes in regime
Statistics & Probability Letters, 2004, 70, (4), 243-251 View citations (14)
- 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
- 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
- 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)
- 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
- Conditional Heteroskedasticity Driven by Hidden Markov Chains
Journal of Time Series Analysis, 2001, 22, (2), 197-220 View citations (38)
See also Working Paper Conditional Heteroskedasticity Driven by Hidden Markov Chains, Working Papers (1998) View citations (10) (1998)
- 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)
- Stationarity of multivariate Markov-switching ARMA models
Journal of Econometrics, 2001, 102, (2), 339-364 View citations (99)
See also Working Paper Stationarity of Multivariate Markov-Switching ARMA Models, Working Papers (2000) (2000)
2000
- 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
- On the Identifiability of Minimal VARMA Representations
Statistical Inference for Stochastic Processes, 1998, 1, (1), 1-15 View citations (2)
1997
- On Bartlett’s Formula for Non‐linear Processes
Journal of Time Series Analysis, 1997, 18, (6), 535-552 View citations (2)
- On White Noises Driven by Hidden Markov Chains
Journal of Time Series Analysis, 1997, 18, (6), 553-578 View citations (8)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|