EconPapers: Search

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Poisson QMLE of Count Time Series Models,
Ali Ahmad and Christian Francq, from HAL (2015)
Keywords: Boundary of the parameter space, consistency and asymptotic normality, integer-valued AR and GARCH models, non-normal asymptotic distribution, Poisson quasi-maximum likelihood estimator, time series of counts

COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS,
Abdelhakim Aknouche and Christian Francq, in Econometric Theory (2021)

Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models,
Abdelhakim Aknouche and Christian Francq, in Journal of Econometrics (2023)
Keywords: Autoregressive Conditional Duration model; Exponential; Poisson; Negative Binomial QMLE; INteger-valued AR; INteger-valued GARCH; Weighted LSE;

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns,
Christian Francq and Genaro Sucarrat, in Journal of Multivariate Analysis (2017)
Keywords: Exponential GARCH; Multivariate log-GARCH-X; VARMA-X; Equation-by-Equation estimation (EBEE); Least squares;

Estimation of time-varying ARMA models with Markovian changes in regime,
Christian Francq and Antony Gautier, in Statistics & Probability Letters (2004)
Keywords: Time-varying ARMA models Non-stationary processes Quasi-generalized least-squares estimator Asymptotic covariance matrix Markovian changes in regime

Volatility Estimation When the Zero-Process is Nonstationary,
Christian Francq and Genaro Sucarrat, in Journal of Business & Economic Statistics (2022)

On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses,
Pierre Duchesne and Christian Francq, from University Library of Munich, Germany (2010)
Keywords: two-inverses; generalized Wald's method; generalized inverses; multivariate analysis; singular normal distribution

Portmanteau goodness-of-fit test for asymmetric power GARCH models,
Michel Carbon and Christian Francq, from University Library of Munich, Germany (2010)
Keywords: ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking

Fourier--type estimation of the power garch model with stable--paretian innovations,
Christian Francq and Simos Meintanis, from University Library of Munich, Germany (2012)
Keywords: GARCH model; Minimum distance estimation; Heavy--tailed distribution; Empirical characteristic function

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation,
Christian Francq and Genaro Sucarrat, from University Library of Munich, Germany (2013)
Keywords: Log-GARCH, EGARCH, Quasi Maximum Likelihood, Exponential Chi- Squared, ARMA

Poisson qmle of count time series models,
Ali Ahmad and Christian Francq, from University Library of Munich, Germany (2014)
Keywords: Boundary of the parameter space; Consistency and asymptotic normality; Integer-valued AR and GARCH models; Non-normal asymptotic distribution; Poisson quasi-maximum likelihood estimator; Time series of counts.

Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns,
Christian Francq and Genaro Sucarrat, from University Library of Munich, Germany (2015)
Keywords: Exponential GARCH, multivariate log-GARCH-X, VARMA-X, Equation-by-Equation Estimation (EBEE), Least Squares

Count and duration time series with equal conditional stochastic and mean orders,
Abdelhakim Aknouche and Christian Francq, from University Library of Munich, Germany (2018)
Keywords: Absolute regularity, Autoregressive Conditional Duration, Count time series models, Distance covariance test, Ergodicity, Integer GARCH

Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models,
Abdelhakim Aknouche and Christian Francq, from University Library of Munich, Germany (2019)
Keywords: Autoregressive Conditional Duration model; Exponential, Poisson, Negative Binomial QMLE; INteger-valued AR; INteger-valued GARCH; Weighted LSE.

Stationarity and ergodicity of Markov switching positive conditional mean models,
Abdelhakim Aknouche and Christian Francq, from University Library of Munich, Germany (2020)
Keywords: Autoregressive Conditional Duration, Count time series models, finite mixture models, Ergodicity, Integer-valued GARCH, Markov mixture models.

Stationarity and ergodicity of Markov switching positive conditional mean models,
Abdelhakim Aknouche and Christian Francq, in Journal of Time Series Analysis (2022)

Poisson QMLE of Count Time Series Models,
Ali Ahmad and Christian Francq, in Journal of Time Series Analysis (2016)

On White Noises Driven by Hidden Markov Chains,
Christian Francq and Michel Roussignol, in Journal of Time Series Analysis (1997)

On Bartlett’s Formula for Non‐linear Processes,
Alain Berlinet and Christian Francq, in Journal of Time Series Analysis (1997)

Large sample properties of parameter least squares estimates for time‐varying arma models,
Christian Francq and Antony Gautier, in Journal of Time Series Analysis (2004)

Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors,
Christian Francq and Hamdi Raïssi, in Journal of Time Series Analysis (2007)

Concepts and tools for nonlinear time series modelling,
Alessandra Amendola and Christian Francq, from University Library of Munich, Germany (2009)
Keywords: Consistency and asymptotic normality; MCMC algorithms; Mixing; Nonlinear modelling; Stationarity; Time-series forecasting.

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation,
Christian Francq and Genaro Sucarrat, in Journal of Financial Econometrics (2018)
Keywords: ARMA, EGARCH, exponential Chi-squared, log-GARCH, quasi-maximum likelihood

On the Identifiability of Minimal VARMA Representations,
Alain Berlinet and Christian Francq, in Statistical Inference for Stochastic Processes (1998)
Keywords: Mathematics Subject Classification (1991): 62M10., multivariate ARMA models, identifiability, identification.,

Consistent and asymptotically normal estimators for cyclically time-dependent linear models,
Abdelouahab Bibi and Christian Francq, in Annals of the Institute of Statistical Mathematics (2003)
Keywords: Time varying models, nonstationary processes, quasi-generalized least squares estimator, consistency, asymptotic normality,

Merits and Drawbacks of Variance Targeting in GARCH Models,
Christian Francq and Lajos Horvath, in Journal of Financial Econometrics (2011)

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from HAL (2018)
Keywords: Multivariate-GARCH,Conditional betas,Covariance

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES,
Christian Francq and Le Quyen Thieu, in Econometric Theory (2019)

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, in Journal of Econometrics (2018)
Keywords: Multivariate-GARCH; Conditional betas; Covariance;

Quasi score-driven models,
F. Blasques, Christian Francq and Sébastien Laurent, in Journal of Econometrics (2023)
Keywords: Score-driven models; GARCH; Fat-tails; Asymmetry; QLE; QMLE;

Autoregressive conditional betas,
F. Blasques, Christian Francq and Sébastien Laurent, in Journal of Econometrics (2024)
Keywords: Score driven model; Time-varying parameters; GARCH model; Betas;

Estimating structural VARMA models with uncorrelated but non-independent error terms,
Y. Boubacar Mainassara and Christian Francq, in Journal of Multivariate Analysis (2011)
Keywords: Asymptotic normality Nonlinear processes QMLE Structural representation VARMA models

Estimating structural VARMA models with uncorrelated but non-independent error terms,
Yacouba Boubacar Mainassara and Christian Francq, from University Library of Munich, Germany (2009)
Keywords: Echelon form; Lagrange Multiplier test; Likelihood Ratio test; Nonlinear processes; QMLE; Structural representation; VARMA models; Wald test.

Asymptotic properties of weighted least squares estimation in weak parma models,
Christian Francq, Roch Roy and Abdessamad Saidi, from University Library of Munich, Germany (2011)
Keywords: Weak periodic autoregressive moving average models; Seasonality; Weighted least squares; Asymptotic normality; Strong consistency; Weak periodic white noise; Strong mixing.

Qml inference for volatility models with covariates,
Christian Francq and Le Quyen Thieu, from University Library of Munich, Germany (2015)
Keywords: APARCH model augmented with explanatory variables; Boundary of the parameter space; Consistency and asymptotic distribution of the Gaussian quasi-maximum likelihood estimator; GARCH-X models; Power-transformed and Threshold GARCH with exogenous covariates

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from University Library of Munich, Germany (2018)
Keywords: Multivariate-GARCH; conditional betas; covariance

Quasi score-driven models,
F. Blasques, Christian Francq and Sébastien Laurent, from HAL (2023)
Keywords: Score-driven models,GARCH,Fat-tails,Asymmetry,QLE,QMLE

Optimal estimating function for weak location‐scale dynamic models,
Christian Francq and Jean‐Michel Zakoïan, in Journal of Time Series Analysis (2023)

Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models,
Christian Francq, Roch Roy and Abdessamad Saidi, in Journal of Time Series Analysis (2011)

Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations,
Ahmed El Ghini and Christian Francq, in Journal of Time Series Analysis (2006)

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sebastien Laurent, from HAL (2018)

Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from HAL (2018)
Keywords: multivariate-GARCH,conditional betas,covariance

Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels,
Christian Francq and Jean-Michel Zakoian, in Annals of Economics and Statistics (2016)
Keywords: Asymmetric Power GARCH, Distortion Risk Measures, Estimation Risk, Non-Gaussian Quasi-Maximum Likelihood, Value-at-Risk

Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons,
Christian Francq and ZakoÃ¯an, Jean-Michel, in Journal of the American Statistical Association (2009)

Optimal predictions of powers of conditionally heteroscedastic processes,
Christian Francq and Jean-Michel Zakoian, in Journal of the Royal Statistical Society Series B (2013)

Bartlett's formula for a general class of nonlinear processes,
Christian Francq and Jean-Michel Zakoian, in Journal of Time Series Analysis (2009)

Linear‐representation Based Estimation of Stochastic Volatility Models,
Christian Francq and Jean-Michel Zakoian, in Scandinavian Journal of Statistics (2006)

ESTIMATING WEAK GARCH REPRESENTATIONS,
Christian Francq and Jean-Michel Zakoian, in Econometric Theory (2000)

COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”,
Christian Francq and Jean-Michel Zakoian, in Econometric Theory (2002)

A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE,
Christian Francq and Jean-Michel Zakoian, in Econometric Theory (2005)

MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS,
Christian Francq and Jean-Michel Zakoian, in Econometric Theory (2006)

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS,
Christian Francq and Jean-Michel Zakoian, in Econometric Theory (2012)

LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS,
Christian Francq and Jean-Michel Zakoian, in Econometric Theory (2023)

Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models,
Christian Francq and Jean-Michel Zakoian, in Econometrica (2012)

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference,
Christian Francq and ZakoIÂ¨an, Jean-Michel, in Computational Statistics & Data Analysis (2008)

Inconsistency of the MLE and inference based on weighted LS for LARCH models,
Christian Francq and Jean-Michel Zakoian, in Journal of Econometrics (2010)
Keywords: Conditional homoscedasticity testing Leverage effect Linear ARCH Quasi-maximum likelihood Weighted least-squares

Stationarity of multivariate Markov-switching ARMA models,
Christian Francq and Jean-Michel Zakoian, in Journal of Econometrics (2001)

Risk-parameter estimation in volatility models,
Christian Francq and Jean-Michel Zakoian, in Journal of Econometrics (2015)
Keywords: GARCH; Quantile regression; Quasi-maximum likelihood; Risk measures; Value-at-Risk;

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models,
Christian Francq and Jean-Michel Zakoian, in Journal of Econometrics (2018)
Keywords: Confidence intervals for VaR; Dynamic portfolio; Elliptical distribution; Filtered historical simulation; Minimum variance portfolio; Model risk; Multivariate GARCH;

Virtual Historical Simulation for estimating the conditional VaR of large portfolios,
Christian Francq and Jean-Michel Zakoian, in Journal of Econometrics (2020)
Keywords: Accuracy of VaR estimation; Dynamic portfolio; Estimation risk; Filtered historical simulation; Virtual returns;

Testing the existence of moments for GARCH processes,
Christian Francq and Jean-Michel Zakoian, in Journal of Econometrics (2022)
Keywords: Conditional heteroskedasticity; Efficiency comparisons; Non-Gaussian QMLE; Residual bootstrap; Stationarity tests;

HAC estimation and strong linearity testing in weak ARMA models,
Christian Francq and Jean-Michel Zakoian, in Journal of Multivariate Analysis (2007)
Keywords: ARMA models Nonlinear models Least-squares estimator Long-run variance matrix Diagnostic checking Kernel estimator

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero,
Christian Francq and Jean-Michel Zakoian, in Stochastic Processes and their Applications (2007)
Keywords: Boundary of the parameter space Conditional heteroskedasticity GARCH model Quasi-maximum likelihood estimation Non-normal asymptotic distribution

The L2-structures of standard and switching-regime GARCH models,
Christian Francq and ZakoIÂ¨an, Jean-Michel, in Stochastic Processes and their Applications (2005)
Keywords: ARMA representation GARCH HMM Markov-switching models

Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*,
Christian Francq and Jean-Michel Zakoian, in Journal of Financial Econometrics (2023)
Keywords: asymmetries in financial returns, GARCH innovations, mean–median equality test, quantile testing, testing symmetry of quantiles, value-at-risk

Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions,
Christian Francq and Jean-Michel Zakoian, in Journal of Business & Economic Statistics (2013)

Comment,
Christian Francq and Jean-Michel Zakoian, in Journal of Business & Economic Statistics (2014)

Virtual Historical Simulation for estimating the conditional VaR of large portfolios,
Christian Francq and Jean-Michel Zakoian, from arXiv.org (2019)

Bartlett's formula for a general class of non linear processes,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2009)
Keywords: Bartlett's formula, nonlinear time series model, sample autocorrelation, GARCH model, weak white noise

Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2009)
Keywords: Conditional homoscedasticity testing; Inconsistent estimator; Leverage effect; Linear ARCH; Quasi-maximum likelihood; Weighted least-squares

Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2008)
Keywords: Asymptotic efficiency of tests; Boundary; Chi-bar distribution; GARCH model; Quasi Maximum Likelihood Estimation; Local alternatives

Optimal predictions of powers of conditionally heteroskedastic processes,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2010)
Keywords: APARCH; Infinite ARCH; Conditional Heteroskedasticity; Efficiency of estimators; GARCH; Prediction; Quasi Maximum Likelihood Estimation

Strict stationarity testing and estimation of explosive ARCH models,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2010)
Keywords: ARCH model; Inconsistency of estimators; Local power of tests; Nonstationarity; Quasi Maximum Likelihood Estimation

Risk-parameter estimation in volatility models,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2012)
Keywords: GARCH; Quantile Regression; Quasi-Maximum Likelihood; Risk measures; Value-at-Risk

Inference in non stationary asymmetric garch models,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2013)
Keywords: GARCH models; Inconsistency of estimators; Local power of tests; Nonstationarity; Quasi Maximum Likelihood Estimation

Estimating multivariate GARCH and stochastic correlation models equation by equation,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2014)
Keywords: Constant conditional correlation; Dynamic conditional correlation; Markov switching models; Multivariate GARCH; Quasi maximum likelihood estimation

Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2015)
Keywords: Asymmetric Power GARCH; Distortion Risk Measures; Estimation risk; Non-Gaussian Quasi-Maximum Likelihood; Value-at-Risk

Joint inference on market and estimation risks in dynamic portfolios,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2015)
Keywords: Confidence Intervals for VaR; DCC GARCH model, Estimation risk; Filtered Historical Simulation; Optimal Dynamic Portfolio

Virtual Historical Simulation for estimating the conditional VaR of large portfolios,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2019)
Keywords: Accuracy of VaR estimation, Dynamic Portfolio, Estimation risk, Filtered Historical Simulation, Virtual returns.

Testing the existence of moments for GARCH processes,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2019)
Keywords: Conditional heteroskedasticity, Efficiency comparisons, Non-Gaussian QMLE, Residual Bootstrap, Stationarity tests

Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2021)
Keywords: APARCH; Asymmetric Student-$t$ distribution; Beta-$t$-GARCH; Conditional heteroskedasticity; LAN in time series; Quadratic mean differentiability.

Testing the existence of moments and estimating the tail index of augmented garch processes,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2021)
Keywords: APARCH model; Bahadur slopes; Hill's estimator; Local asymptotic power; Maximal moment exponent; Moment generating function

Finite moments testing in a general class of nonlinear time series models,
Christian Francq and Jean-Michel Zakoian, from University Library of Munich, Germany (2024)
Keywords: Efficiency comparisons of tests; maximal moment exponent; stochastic recurrence equation; tail index

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from HAL (2018)

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from HAL (2017)

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from HAL (2017)
Keywords: Multivariate-GARCH,conditional betas,covariance

Asymptotics of Cholesky GARCH models and time-varying conditional betas,
Serge Darolles, Christian Francq and Sébastien Laurent, from HAL (2016)

Autoregressive conditional betas,
F. Blasques, Christian Francq and Sébastien Laurent, from HAL (2024)
Keywords: Score driven model,Time-varying parameters,GARCH model,Betas

Inconsistency of the MLE and inference based on weighted LS for LARCH models,
Christian Francq and Jean-Michel Zakoian, from HAL (2010)
Keywords: C22,C12,C13,C52,Conditional homoscedasticity testing,Leverage effect,Linear ARCH,Quasi-maximum likelihood,Weighted least-squares

Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models,
Christian Francq and Jean-Michel Zakoian, from HAL (2020)

Estimating Weak Garch Representations,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (1997)

Covariance Matrix Estimation for Estimators of Mixing Wold's Arma,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (1997)

Linear-Representations Based Estimation of Switching-Regime GARCH Models,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (1999)

Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (2000)

Stationarity of Multivariate Markov-Switching ARMA Models,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (2000)

Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (2008)

Can One Really Estimate Nonstationary GARCH Models ?,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (2008)

Barlett’s Formula for Non Linear Processes,
Christian Francq and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (2008)

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