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Christian Francq - MaRDI portal

Christian Francq

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Person:288101

Available identifiers

zbMath Open francq.christianWikidataQ41802378 ScholiaQ41802378MaRDI QIDQ288101

List of research outcomes

PublicationDate of PublicationType
Autoregressive conditional betas2024-02-13Paper
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models2023-11-17Paper
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS2023-10-24Paper
Optimal estimating function for weak location‐scale dynamic models2023-08-24Paper
Quasi score-driven models2023-04-14Paper
Stationarity and ergodicity of Markov switching positive conditional mean models2022-08-08Paper
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes2022-07-11Paper
Testing the existence of moments for GARCH processes2022-03-16Paper
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models2022-02-01Paper
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS2021-06-11Paper
Virtual historical simulation for estimating the conditional VaR of large portfolios2020-06-18Paper
GARCH Models2019-07-03Paper
Estimating Multivariate Volatility Models Equation by Equation2019-06-12Paper
Functional GARCH models: the quasi-likelihood approach and its applications2019-04-30Paper
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES2019-03-27Paper
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models2018-06-21Paper
Asymptotics of Cholesky GARCH models and time-varying conditional betas2018-05-25Paper
Goodness-of-fit tests for Log-GARCH and EGARCH models2018-03-23Paper
Tests for conditional ellipticity in multivariate GARCH models2017-01-13Paper
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns2016-12-15Paper
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE2016-08-15Paper
Inconsistency of the MLE and inference based on weighted LS for LARCH models2016-08-04Paper
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test2016-06-03Paper
Fourier-type estimation of the power GARCH model with stable-Paretian innovations2016-05-24Paper
Poisson QMLE of Count Time Series Models2016-05-03Paper
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified2016-01-25Paper
Goodness-of-fit tests for extended Log-GARCH models2016-01-21Paper
Multivariate hypothesis testing using generalized and {2}-inverses – with applications2015-07-20Paper
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons2015-06-22Paper
Combining Nonparametric and Optimal Linear Time Series Predictions2015-06-17Paper
Risk-parameter estimation in volatility models2014-11-24Paper
GARCH models without positivity constraints: exponential or log GARCH?2014-04-30Paper
Inference in nonstationary asymmetric GARCH models2013-12-11Paper
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models2013-11-06Paper
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models2013-10-04Paper
Computing and estimating information matrices of weak ARMA models2012-06-08Paper
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS2012-03-29Paper
Estimating structural VARMA models with uncorrelated but non-independent error terms2011-03-14Paper
Bartlett's formula for a general class of nonlinear processes2011-02-22Paper
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL2010-08-13Paper
Asymptotic normality of frequency polygons for random fields2009-11-30Paper
A Tour in the Asymptotic Theory of GARCH Estimation2009-11-27Paper
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference2009-06-12Paper
https://portal.mardi4nfdi.de/entity/Q35352602008-11-10Paper
Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations2008-06-18Paper
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors2007-12-16Paper
Linear‐representation Based Estimation of Stochastic Volatility Models2007-12-16Paper
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero2007-08-20Paper
Diagnostic Checking in ARMA Models With Uncorrelated Errors2007-08-20Paper
Kernel regression estimation for random fields2007-02-14Paper
HAC estimation and strong linearity testing in weak ARMA models2007-01-09Paper
On Efficient Inference in GARCH Processes2007-01-09Paper
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS2006-11-14Paper
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE2006-03-22Paper
The \(L^2\)-structures of standard and switching-regime GARCH models2005-09-29Paper
Large sample properties of parameter least squares estimates for time‐varying arma models2005-05-20Paper
Estimation of time-varying ARMA models with Markovian changes in regime2005-03-08Paper
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes2005-02-21Paper
Consistent and asymptotically normal estimators for cyclically time-dependent linear models2004-10-05Paper
Estimating ARMA models with recurrent regime changes2004-08-20Paper
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes2003-10-22Paper
Nonparametric estimation of density, regression and dependence coefficients2003-06-23Paper
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”2003-05-18Paper
Multivariate arma models with generalized autoregressive linear innovation2002-04-21Paper
Stationarity of multivariate Markov-switching ARMA models2002-03-19Paper
Covariance matrix estimation for estimators of mixing weak ARMA models2002-01-08Paper
Conditional Heteroskedasticity Driven by Hidden Markov Chains2001-09-16Paper
ESTIMATING WEAK GARCH REPRESENTATIONS2001-09-02Paper
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes2001-08-20Paper
Modèles ARCH avec changement de régime markovien2001-08-17Paper
Stationnarité des modèles ARMA à changement de régime markovien2000-11-09Paper
Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas2000-10-29Paper
Estimating linear representations of nonlinear processes2000-08-21Paper
Identification of a univariate ARMA model2000-03-02Paper
Arma models with bilinear innovations1999-09-02Paper
On White Noises Driven by Hidden Markov Chains1999-09-02Paper
On the identifiability of minimal VARMA representations1999-08-16Paper
Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator1999-04-27Paper
On Bartlett’s Formula for Non‐linear Processes1999-04-22Paper
Estimation de représentations GARCH faibles1999-02-14Paper
Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles1999-02-09Paper
Estimating linear representations of nonlinear processes1998-05-01Paper
https://portal.mardi4nfdi.de/entity/Q48964681997-02-24Paper

Research outcomes over time


Doctoral students

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