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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


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) Downloads (2024)
  2. Finite moments testing in a general class of nonlinear time series models
    MPRA Paper, University Library of Munich, Germany Downloads

2023

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

2022

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

    See also Journal Article LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS, Econometric Theory, Cambridge University Press (2023) Downloads View citations (1) (2023)

2021

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

2020

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

2019

  1. Testing the existence of moments for GARCH processes
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Testing the existence of moments for GARCH processes, Journal of Econometrics, Elsevier (2022) Downloads View citations (4) (2022)
  2. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (3) (2023)
  3. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Papers, arXiv.org (2019) Downloads View citations (1)

    See also Journal Article Virtual Historical Simulation for estimating the conditional VaR of large portfolios, Journal of Econometrics, Elsevier (2020) Downloads View citations (4) (2020)

2018

  1. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (13)
    Also in Post-Print, HAL (2018) View citations (1)
    Post-Print, HAL (2018) Downloads View citations (13)
    Post-Print, HAL (2018) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (13)
    Post-Print, HAL (2017) Downloads
    Working Papers, HAL (2018) Downloads 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) Downloads View citations (14) (2018)
  2. Count and duration time series with equal conditional stochastic and mean orders
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (20) (2021)
  3. Functional GARCH models: the quasi-likelihood approach and its applications
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Functional GARCH models: The quasi-likelihood approach and its applications, Journal of Econometrics, Elsevier (2019) Downloads View citations (11) (2019)

2016

  1. 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) Downloads (2016)

2015

  1. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    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) Downloads View citations (10) (2017)
  2. Joint inference on market and estimation risks in dynamic portfolios
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Poisson QMLE of Count Time Series Models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads

    See also Journal Article Poisson QMLE of Count Time Series Models, Journal of Time Series Analysis, Wiley Blackwell (2016) Downloads View citations (37) (2016)
  5. Qml inference for volatility models with covariates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES, Econometric Theory, Cambridge University Press (2019) Downloads View citations (31) (2019)
  6. Tests for sphericity in multivariate garch models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2014

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

2013

  1. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    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) Downloads View citations (5) (2018)
  2. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article 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) Downloads View citations (4) (2016)
  3. Inference in Non Stationary Asymmetric Garch Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (21)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (21)

2012

  1. Fourier--type estimation of the power garch model with stable--paretian innovations
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Garch models without positivity constraints: exponential or log garch?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (15)
    See also Journal Article GARCH models without positivity constraints: Exponential or log GARCH?, Journal of Econometrics, Elsevier (2013) Downloads View citations (37) (2013)
  3. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads 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) Downloads View citations (29) (2013)
  4. Risk-parameter estimation in volatility models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article Risk-parameter estimation in volatility models, Journal of Econometrics, Elsevier (2015) Downloads View citations (31) (2015)

2011

  1. Asymptotic properties of weighted least squares estimation in weak parma models
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (5) (2011)
  2. Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
    Working Papers, Center for Research in Economics and Statistics Downloads 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) Downloads View citations (10) (2013)

2010

  1. Computing and estimating information matrices of weak arma models
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Computing and estimating information matrices of weak ARMA models, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (6) (2012)
  2. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Post-Print, HAL Downloads 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) Downloads View citations (19) (2010)
  3. On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Portmanteau goodness-of-fit test for asymmetric power GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  5. QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
  6. Strict stationarity testing and estimation of explosive ARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2009

  1. Bartlett's formula for a general class of non linear processes
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (19) (2009)
  2. Combining Nonparametric and Optimal Linear Time Series Predictions
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Combining Nonparametric and Optimal Linear Time Series Predictions, Journal of the American Statistical Association, American Statistical Association (2010) Downloads View citations (2) (2010)
  3. Combining parametric and nonparametric approaches for more efficient time series prediction
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Concepts and tools for nonlinear time series modelling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  5. Estimating structural VARMA models with uncorrelated but non-independent error terms
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article Estimating structural VARMA models with uncorrelated but non-independent error terms, Journal of Multivariate Analysis, Elsevier (2011) Downloads View citations (16) (2011)
  6. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Merits and Drawbacks of Variance Targeting in GARCH Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (9)

    See also Journal Article Merits and Drawbacks of Variance Targeting in GARCH Models, Journal of Financial Econometrics, Oxford University Press (2011) Downloads View citations (54) (2011)
  8. Properties of the QMLE and the Weighted LSE for LARCH(q) Models
    Working Papers, Center for Research in Economics and Statistics Downloads
  9. Sup-Tests for Linearity in a General Nonlinear AR(1) Model
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    See also Journal Article SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL, Econometric Theory, Cambridge University Press (2010) Downloads View citations (5) (2010)

2008

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

    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) Downloads View citations (35) (2009)

2006

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

2002

  1. 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) Downloads (2002)

2001

  1. 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) Downloads

    See also Journal Article Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Economics Letters, Elsevier (2001) Downloads View citations (10) (2001)

2000

  1. Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
  2. Stationarity of Multivariate Markov-Switching ARMA Models
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Stationarity of multivariate Markov-switching ARMA models, Journal of Econometrics, Elsevier (2001) Downloads View citations (99) (2001)

1999

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

1998

  1. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)

    See also Journal Article Conditional Heteroskedasticity Driven by Hidden Markov Chains, Journal of Time Series Analysis, Wiley Blackwell (2001) Downloads View citations (38) (2001)

1997

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

Journal Articles

2024

  1. Autoregressive conditional betas
    Journal of Econometrics, 2024, 238, (2) Downloads
    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 Downloads

2023

  1. LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
    Econometric Theory, 2023, 39, (5), 1067-1092 Downloads View citations (1)
    See also Working Paper Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models, Working Papers (2022) Downloads (2022)
  2. Optimal estimating function for weak location‐scale dynamic models
    Journal of Time Series Analysis, 2023, 44, (5-6), 533-555 Downloads
  3. Quasi score-driven models
    Journal of Econometrics, 2023, 234, (1), 251-275 Downloads View citations (10)
    See also Working Paper Quasi score-driven models, Post-Print (2023) Downloads View citations (10) (2023)
  4. Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*
    Journal of Financial Econometrics, 2023, 21, (5), 1443-1482 Downloads
  5. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
    Journal of Econometrics, 2023, 237, (2) Downloads 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) Downloads View citations (2) (2019)

2022

  1. Stationarity and ergodicity of Markov switching positive conditional mean models
    Journal of Time Series Analysis, 2022, 43, (3), 436-459 Downloads View citations (6)
    See also Working Paper Stationarity and ergodicity of Markov switching positive conditional mean models, MPRA Paper (2020) Downloads (2020)
  2. Testing the existence of moments for GARCH processes
    Journal of Econometrics, 2022, 227, (1), 47-64 Downloads View citations (4)
    See also Working Paper Testing the existence of moments for GARCH processes, MPRA Paper (2019) Downloads (2019)
  3. Volatility Estimation When the Zero-Process is Nonstationary
    Journal of Business & Economic Statistics, 2022, 41, (1), 53-66 Downloads View citations (3)

2021

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

2020

  1. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
    Journal of Econometrics, 2020, 217, (2), 356-380 Downloads View citations (4)
    See also Working Paper Virtual Historical Simulation for estimating the conditional VaR of large portfolios, MPRA Paper (2019) Downloads View citations (1) (2019)

2019

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

2018

  1. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    Journal of Financial Econometrics, 2018, 16, (1), 129-154 Downloads View citations (5)
    See also Working Paper An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation, MPRA Paper (2013) Downloads View citations (3) (2013)
  2. Asymptotics of Cholesky GARCH models and time-varying conditional betas
    Journal of Econometrics, 2018, 204, (2), 223-247 Downloads View citations (14)
    See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) Downloads View citations (13) (2018)
  3. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
    Journal of Econometrics, 2018, 205, (2), 381-401 Downloads View citations (12)
  4. 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 Downloads View citations (6)

2017

  1. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
    Journal of Multivariate Analysis, 2017, 153, (C), 16-32 Downloads View citations (10)
    See also Working Paper Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns, MPRA Paper (2015) Downloads View citations (6) (2015)
  2. Tests for conditional ellipticity in multivariate GARCH models
    Journal of Econometrics, 2017, 196, (2), 305-319 Downloads View citations (9)

2016

  1. Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
    Journal of Time Series Analysis, 2016, 37, (1), 46-76 Downloads View citations (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) Downloads (2013)
  2. Estimating multivariate volatility models equation by equation
    Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 Downloads View citations (24)
  3. Intrinsic Liquidity in Conditional Volatility Models
    Annals of Economics and Statistics, 2016, (123-124), 225-245 Downloads
    See also Working Paper Intrinsic Liquidity in Conditional Volatility Models, Post-Print (2016) (2016)
  4. Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
    Annals of Economics and Statistics, 2016, (123-124), 9-28 Downloads
  5. Poisson QMLE of Count Time Series Models
    Journal of Time Series Analysis, 2016, 37, (3), 291-314 Downloads View citations (37)
    See also Working Paper Poisson QMLE of Count Time Series Models, Post-Print (2015) (2015)
  6. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 Downloads View citations (18)
    See also Working Paper Variance targeting estimation of multivariate GARCH models, MPRA Paper (2014) Downloads View citations (7) (2014)

2015

  1. Risk-parameter estimation in volatility models
    Journal of Econometrics, 2015, 184, (1), 158-173 Downloads View citations (31)
    See also Working Paper Risk-parameter estimation in volatility models, MPRA Paper (2012) Downloads View citations (5) (2012)

2014

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

2013

  1. Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
    Journal of Business & Economic Statistics, 2013, 31, (4), 412-425 Downloads View citations (10)
    See also Working Paper Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions, Working Papers (2011) Downloads View citations (1) (2011)
  2. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 Downloads View citations (37)
    See also Working Paper Garch models without positivity constraints: exponential or log garch?, MPRA Paper (2012) Downloads View citations (15) (2012)
  3. Optimal predictions of powers of conditionally heteroscedastic processes
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 345-367 Downloads View citations (29)
    See also Working Paper Optimal Predictions of Powers of Conditionally Heteroskedastic Processes, Working Papers (2012) Downloads View citations (2) (2012)

2012

  1. Computing and estimating information matrices of weak ARMA models
    Computational Statistics & Data Analysis, 2012, 56, (2), 345-361 Downloads View citations (6)
    See also Working Paper Computing and estimating information matrices of weak arma models, MPRA Paper (2010) Downloads (2010)
  2. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Econometric Theory, 2012, 28, (1), 179-206 Downloads View citations (40)
  3. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Econometrica, 2012, 80, (2), 821-861 Downloads View citations (53)

2011

  1. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
    Journal of Time Series Analysis, 2011, 32, (6), 699-723 Downloads View citations (5)
    See also Working Paper Asymptotic properties of weighted least squares estimation in weak parma models, MPRA Paper (2011) Downloads View citations (5) (2011)
  2. Estimating structural VARMA models with uncorrelated but non-independent error terms
    Journal of Multivariate Analysis, 2011, 102, (3), 496-505 Downloads View citations (16)
    See also Working Paper Estimating structural VARMA models with uncorrelated but non-independent error terms, MPRA Paper (2009) Downloads View citations (2) (2009)
  3. Merits and Drawbacks of Variance Targeting in GARCH Models
    Journal of Financial Econometrics, 2011, 9, (4), 619-656 Downloads View citations (54)
    See also Working Paper Merits and Drawbacks of Variance Targeting in GARCH Models, Working Papers (2009) Downloads View citations (7) (2009)
  4. Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
    Journal of Econometrics, 2011, 165, (2), 246-257 Downloads View citations (30)

2010

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

2009

  1. Bartlett's formula for a general class of nonlinear processes
    Journal of Time Series Analysis, 2009, 30, (4), 449-465 Downloads View citations (19)
    See also Working Paper Bartlett's formula for a general class of non linear processes, MPRA Paper (2009) Downloads View citations (16) (2009)
  2. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Journal of the American Statistical Association, 2009, 104, (485), 313-324 Downloads View citations (35)
    See also Working Paper Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons, Working Papers (2008) Downloads (2008)

2008

  1. A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
    Journal of Econometrics, 2008, 142, (1), 312-326 Downloads View citations (9)
  2. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
    Computational Statistics & Data Analysis, 2008, 52, (6), 3027-3046 Downloads View citations (32)

2007

  1. HAC estimation and strong linearity testing in weak ARMA models
    Journal of Multivariate Analysis, 2007, 98, (1), 114-144 Downloads View citations (15)
  2. Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
    Journal of Time Series Analysis, 2007, 28, (3), 454-470 Downloads View citations (14)
  3. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
    Stochastic Processes and their Applications, 2007, 117, (9), 1265-1284 Downloads View citations (43)

2006

  1. Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations
    Journal of Time Series Analysis, 2006, 27, (6), 843-855 Downloads View citations (3)
  2. Linear‐representation Based Estimation of Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 Downloads View citations (12)
  3. 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 Downloads View citations (37)
  4. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 Downloads View citations (3)

2005

  1. A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
    Econometric Theory, 2005, 21, (6), 1165-1171 Downloads View citations (11)
  2. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Journal of the American Statistical Association, 2005, 100, 532-544 Downloads View citations (80)
  3. The L2-structures of standard and switching-regime GARCH models
    Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 Downloads View citations (22)

2004

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

2003

  1. Consistent and asymptotically normal estimators for cyclically time-dependent linear models
    Annals of the Institute of Statistical Mathematics, 2003, 55, (1), 41-68 Downloads View citations (11)

2002

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

2001

  1. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Journal of Time Series Analysis, 2001, 22, (2), 197-220 Downloads View citations (38)
    See also Working Paper Conditional Heteroskedasticity Driven by Hidden Markov Chains, Working Papers (1998) Downloads View citations (10) (1998)
  2. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    Economics Letters, 2001, 71, (3), 317-322 Downloads View citations (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)
  3. Stationarity of multivariate Markov-switching ARMA models
    Journal of Econometrics, 2001, 102, (2), 339-364 Downloads View citations (99)
    See also Working Paper Stationarity of Multivariate Markov-Switching ARMA Models, Working Papers (2000) Downloads (2000)

2000

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

1998

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

1997

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