Christian Francq : Citation Profile


Are you Christian Francq?

Centre de Recherche en Économie et Statistique (CREST) (99% share)
Université de Lille (1% share)

15

H index

22

i10 index

654

Citations

RESEARCH PRODUCTION:

53

Articles

68

Papers

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 29
   Journals where Christian Francq has often published
   Relations with other researchers
   Recent citing documents: 109.    Total self citations: 58 (8.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfr109
   Updated: 2020-08-01    RAS profile: 2020-04-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Zakoian, Jean-Michel (16)

darolles, serge (6)

Laurent, Sébastien (5)

Sucarrat, Genaro (3)

Horvath, Lajos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Francq.

Is cited by:

Zhu, Ke (37)

Zakoian, Jean-Michel (19)

Hafner, Christian (19)

Bauwens, Luc (15)

Sucarrat, Genaro (15)

Escribano, Alvaro (14)

Pedersen, Rasmus (13)

RAÏSSI, HAMDI (11)

Saikkonen, Pentti (10)

Fiorentini, Gabriele (10)

Rombouts, Jeroen (10)

Cites to:

Zakoian, Jean-Michel (68)

Engle, Robert (54)

Bollerslev, Tim (41)

Ling, Shiqing (26)

Andrews, Donald (19)

Drost, Feike C. (17)

McAleer, Michael (17)

Bauwens, Luc (15)

Laurent, Sébastien (14)

Sentana, Enrique (12)

Teräsvirta, Timo (12)

Main data


Where Christian Francq has published?


Journals with more than one article published# docs
Journal of Time Series Analysis11
Journal of Econometrics10
Econometric Theory7
Computational Statistics & Data Analysis3
Journal of the American Statistical Association3
Journal of Financial Econometrics3
Journal of Multivariate Analysis3
Stochastic Processes and their Applications2
Journal of the Royal Statistical Society Series B2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany35
Working Papers / Center for Research in Economics and Statistics20
Post-Print / HAL4
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Christian Francq (2019 and 2018)


YearTitle of citing document
2018Determinants of growth differences between Eastern and Southern EU countries: A panel-data approach. (2018). Paravalos, Evangelos ; Chatzigiatroudakis, Ioannis ; Caraveli, Helen. In: Working Papers. RePEc:aeb:wpaper:201803:y:2018.

Full description at Econpapers || Download paper

2018Efficient bargaining versus Right to manage in the era of liberalization. (2018). Miaouli, Natasha ; Koliousi, Panagiota. In: Working Papers. RePEc:aeb:wpaper:201804:y:2018.

Full description at Econpapers || Download paper

2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

Full description at Econpapers || Download paper

2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

Full description at Econpapers || Download paper

2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

Full description at Econpapers || Download paper

2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

Full description at Econpapers || Download paper

2018A supreme test for periodic explosive GARCH. (2018). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan . In: Papers. RePEc:arx:papers:1812.03475.

Full description at Econpapers || Download paper

2019A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622.

Full description at Econpapers || Download paper

2019A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808.

Full description at Econpapers || Download paper

2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

Full description at Econpapers || Download paper

2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

Full description at Econpapers || Download paper

2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

Full description at Econpapers || Download paper

2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

Full description at Econpapers || Download paper

2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

Full description at Econpapers || Download paper

2019Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin . In: Papers. RePEc:arx:papers:1908.02545.

Full description at Econpapers || Download paper

2019Hybrid quantile estimation for asymmetric power GARCH models. (2019). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1911.09343.

Full description at Econpapers || Download paper

2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

Full description at Econpapers || Download paper

2020An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077.

Full description at Econpapers || Download paper

2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

Full description at Econpapers || Download paper

2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

Full description at Econpapers || Download paper

2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

Full description at Econpapers || Download paper

2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

Full description at Econpapers || Download paper

2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

Full description at Econpapers || Download paper

2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

Full description at Econpapers || Download paper

2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

Full description at Econpapers || Download paper

2019Robust Tests for White Noise and Cross-Correlation. (2019). Phillips, Peter ; PEter, ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194.

Full description at Econpapers || Download paper

2020Robust Tests for White Noise and Cross-Correlation. (2020). Phillips, Peter ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194r.

Full description at Econpapers || Download paper

2018Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

Full description at Econpapers || Download paper

2019Swedish krona-euro return volatility and non-traditional monetary policies. (2019). Tori, Scott L. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00187.

Full description at Econpapers || Download paper

2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

Full description at Econpapers || Download paper

2019Time–varying rational expectations models. (2019). Neusser, Klaus. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:3.

Full description at Econpapers || Download paper

2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

Full description at Econpapers || Download paper

2019Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach. (2019). Smallwood, Aaron D. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:332-344.

Full description at Econpapers || Download paper

2020Are cyclical patterns of international housing markets interdependent?. (2020). Chang, Kuang-Liang. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:14-24.

Full description at Econpapers || Download paper

2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

Full description at Econpapers || Download paper

2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

Full description at Econpapers || Download paper

2018The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17.

Full description at Econpapers || Download paper

2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

Full description at Econpapers || Download paper

2018A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes. (2018). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:258-278.

Full description at Econpapers || Download paper

2018Subvector inference when the true parameter vector may be near or at the boundary. (2018). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:285-306.

Full description at Econpapers || Download paper

2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

Full description at Econpapers || Download paper

2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

Full description at Econpapers || Download paper

2019Strict stationarity testing and GLAD estimation of double autoregressive models. (2019). Li, Dong ; Guo, Shaojun. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:319-337.

Full description at Econpapers || Download paper

2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Ziegel, Johanna F ; Patton, Andrew J ; Chen, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

Full description at Econpapers || Download paper

2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

Full description at Econpapers || Download paper

2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

Full description at Econpapers || Download paper

2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

Full description at Econpapers || Download paper

2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

Full description at Econpapers || Download paper

2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

Full description at Econpapers || Download paper

2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

Full description at Econpapers || Download paper

2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

Full description at Econpapers || Download paper

2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

Full description at Econpapers || Download paper

2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

Full description at Econpapers || Download paper

2019Quasi ex-ante inflation forecast uncertainty. (2019). Díaz, Carlos ; Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:994-1007.

Full description at Econpapers || Download paper

2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

Full description at Econpapers || Download paper

2019Modeling, simulation and inference for multivariate time series of counts using trawl processes. (2019). , Almut. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:110-129.

Full description at Econpapers || Download paper

2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:754-765.

Full description at Econpapers || Download paper

2019Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method. (2019). Dai, Yimin ; Wei, YU ; Tang, Yong ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314414.

Full description at Econpapers || Download paper

2018On periodic ergodicity of a general periodic mixed Poisson autoregression. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:134:y:2018:i:c:p:15-21.

Full description at Econpapers || Download paper

2018A power comparison between autocorrelation based tests. (2018). RAÏSSI, HAMDI ; Raissi, Hamdi ; Khardani, Salah ; ben Hajria, Raja. In: Statistics & Probability Letters. RePEc:eee:stapro:v:143:y:2018:i:c:p:1-6.

Full description at Econpapers || Download paper

2019Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model. (2019). Arvanitis, Stelios. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:166-172.

Full description at Econpapers || Download paper

2019Ergodicity conditions for a double mixed Poisson autoregression. (2019). Demmouche, Nacer ; Aknouche, Abdelhakim. In: Statistics & Probability Letters. RePEc:eee:stapro:v:147:y:2019:i:c:p:6-11.

Full description at Econpapers || Download paper

2019Limit theory for moderate deviation from Integrated GARCH processes. (2019). Tao, Yubo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:126-136.

Full description at Econpapers || Download paper

2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). Pauwels, Laurent ; McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111553.

Full description at Econpapers || Download paper

2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

Full description at Econpapers || Download paper

2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

Full description at Econpapers || Download paper

2019Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series. (2019). Kawakatsu, Hiroyuki. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:48-:d:298380.

Full description at Econpapers || Download paper

2018The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Fink, Holger ; Port, Henry ; Fuest, Andreas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

Full description at Econpapers || Download paper

2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

Full description at Econpapers || Download paper

2020An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Working Papers. RePEc:hal:wpaper:hal-02733439.

Full description at Econpapers || Download paper

2020Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02898909.

Full description at Econpapers || Download paper

2018Outliers and misleading leverage effect in asymmetric GARCH-type models. (2018). Carnero, M. Angeles ; Espartero, Ana Perez. In: Working Papers. Serie AD. RePEc:ivi:wpasad:2018-01.

Full description at Econpapers || Download paper

2020Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models. (2020). Cavicchioli, Maddalena. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9877-7.

Full description at Econpapers || Download paper

2018U.S. CEOs of SBUs in Luxury Goods Organizations: A Mixed Methods Comparison of Ethical Decision-Making Profiles. (2018). Wisler, Jacqueline C. In: Journal of Business Ethics. RePEc:kap:jbuset:v:149:y:2018:i:2:d:10.1007_s10551-016-3069-y.

Full description at Econpapers || Download paper

2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

Full description at Econpapers || Download paper

2018Testing for randomness in a random coefficient autoregression model. (2018). Horvath, Lajos ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/03.

Full description at Econpapers || Download paper

2018The Log-GARCH Model via ARMA Representations. (2018). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100386.

Full description at Econpapers || Download paper

2020Periodic autoregressive conditional duration. (2020). Almohaimeed, Bader ; Aknouche, Abdelhakim ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:101696.

Full description at Econpapers || Download paper

2020Forecasting transaction counts with integer-valued GARCH models. (2020). Almohaimeed, Bader ; Aknouche, Abdelhakim ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:101779.

Full description at Econpapers || Download paper

2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations. (2018). Zakoian, Jean-Michel ; Monfort, Alain ; gourieroux, christian. In: MPRA Paper. RePEc:pra:mprapa:87834.

Full description at Econpapers || Download paper

2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837.

Full description at Econpapers || Download paper

2018Ergodicity conditions for a double mixed Poisson autoregression. (2018). Aknouche, Abdelhakim ; Demouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:88843.

Full description at Econpapers || Download paper

2018Bayesian MCMC analysis of periodic asymmetric power GARCH models. (2018). Aknouche, Abdelhakim ; Touche, Nassim ; Demmouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:91136.

Full description at Econpapers || Download paper

2020Robust Tests for White Noise and Cross-Correlation. (2020). Giraitis, Liudas ; Dalla, Violetta ; PEter, . In: Working Papers. RePEc:qmw:qmwecw:906.

Full description at Econpapers || Download paper

2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-06.

Full description at Econpapers || Download paper

2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-22.

Full description at Econpapers || Download paper

2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26.

Full description at Econpapers || Download paper

2020Asymptotic theory of the adaptive Sparse Group Lasso. (2020). Poignard, Benjamin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-018-0692-7.

Full description at Econpapers || Download paper

2020Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches. (2020). Bruzda, Joanna. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:28:y:2020:i:1:d:10.1007_s10100-018-0591-2.

Full description at Econpapers || Download paper

2020Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6.

Full description at Econpapers || Download paper

2018Goodness-of-fit testing of a count time series’ marginal distribution. (2018). Weiss, Christian H. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0674-z.

Full description at Econpapers || Download paper

2020Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs. (2020). Rabehasaina, Landy ; Woo, Jae-Kyung. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:94:y:2020:i:3:d:10.1007_s11134-020-09646-y.

Full description at Econpapers || Download paper

2018Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Al-Eid, Eid . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9160-x.

Full description at Econpapers || Download paper

2020Estimation of weak ARMA models with regime changes. (2020). Rabehasaina, Landy ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09202-3.

Full description at Econpapers || Download paper

2020A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process. (2020). Cavicchioli, Maddalena. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00472-y.

Full description at Econpapers || Download paper

2020Bahadur intercept with applications to one-sided testing. (2020). Lu, Zeng-Hua . In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0955-z.

Full description at Econpapers || Download paper

2020Mean targeting estimator for the integer-valued GARCH(1, 1) model. (2020). Li, QI ; Zhu, Fukang. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0958-9.

Full description at Econpapers || Download paper

2018Editorial. (2018). Meintanis, S G ; Jimenez-Gamero, M D ; Hukova, M. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-018-0577-3.

Full description at Econpapers || Download paper

2018A new bivariate integer-valued GARCH model allowing for negative cross-correlation. (2018). Cui, Yan ; Zhu, Fukang . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:2:d:10.1007_s11749-017-0552-4.

Full description at Econpapers || Download paper

2019Asymptotic Theory for Rotated Multivariate GARCH Models. (2019). Pauwels, Laurent ; McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Working Papers. RePEc:syb:wpbsba:2123/20178.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Christian Francq:


YearTitleTypeCited
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
[Full Text][Citation analysis]
paper0
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios In: Papers.
[Full Text][Citation analysis]
paper1
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2019) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article47
2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article15
2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2008Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article2
2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article16
2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article5
1997On Bartlett’s Formula for Non‐linear Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
1997On White Noises Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article2
2001Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article12
1998Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 12
paper
2002Efficient use of higher‐lag autocorrelations for estimating autoregressive processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article1
2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2004Large sample properties of parameter least squares estimates for time-varying arma models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article9
2006Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
2007Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article8
2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article13
2009Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2011Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article2
2011Asymptotic properties of weighted least squares estimation in weak parma models.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2016Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
2013Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2016Poisson QMLE of Count Time Series Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article9
2015Poisson QMLE of Count Time Series Models.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
2014Poisson qmle of count time series models.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2006Linear‐representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article10
2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper8
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
[Full Text][Citation analysis]
paper75
2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75
article
2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
[Full Text][Citation analysis]
paper3
2008A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers.
[Full Text][Citation analysis]
paper0
2008Barlett’s Formula for Non Linear Processes In: Working Papers.
[Full Text][Citation analysis]
paper0
2008Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers.
[Full Text][Citation analysis]
paper1
2008Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers.
[Full Text][Citation analysis]
paper1
2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
[Full Text][Citation analysis]
paper3
2010SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
[Full Text][Citation analysis]
paper48
2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
2009Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers.
[Full Text][Citation analysis]
paper0
2011Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers.
[Full Text][Citation analysis]
paper8
2013Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions.(2013) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2013Inference in Non Stationary Asymmetric Garch Models In: Working Papers.
[Full Text][Citation analysis]
paper15
2013Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2014Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers.
[Full Text][Citation analysis]
paper0
1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
[Full Text][Citation analysis]
paper1
1997Estimating Weak Garch Representations In: Working Papers.
[Full Text][Citation analysis]
paper32
2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
1999Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]
paper1
1999Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers.
[Full Text][Citation analysis]
paper4
2002COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS†In: Econometric Theory.
[Full Text][Citation analysis]
article4
2005A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE In: Econometric Theory.
[Full Text][Citation analysis]
article6
2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS In: Econometric Theory.
[Full Text][Citation analysis]
article25
2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article13
2019QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES In: Econometric Theory.
[Full Text][Citation analysis]
article5
2015Qml inference for volatility models with covariates.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2012Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models In: Econometrica.
[Full Text][Citation analysis]
article33
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article3
2008Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article18
2012Computing and estimating information matrices of weak ARMA models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2010Computing and estimating information matrices of weak arma models.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2008A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article10
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2011Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE In: Journal of Econometrics.
[Full Text][Citation analysis]
article19
2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
[Full Text][Citation analysis]
article25
2012Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2015Risk-parameter estimation in volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]
article16
2012Risk-parameter estimation in volatility models.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2017Tests for conditional ellipticity in multivariate GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2019Functional GARCH models: The quasi-likelihood approach and its applications In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2018Functional GARCH models: the quasi-likelihood approach and its applications.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2011Estimating structural VARMA models with uncorrelated but non-independent error terms In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article10
2009Estimating structural VARMA models with uncorrelated but non-independent error terms.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article9
2015Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2007HAC estimation and strong linearity testing in weak ARMA models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article9
2005The L2-structures of standard and switching-regime GARCH models In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article16
2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article15
2004Estimation of time-varying ARMA models with Markovian changes in regime In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article8
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
[Citation analysis]
paper0
2016Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article11
2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2018An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article2
2013An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2009Concepts and tools for nonlinear time series modelling In: MPRA Paper.
[Full Text][Citation analysis]
paper2
2009Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models. In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2008Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2009Combining parametric and nonparametric approaches for more efficient time series prediction In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2010On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2010QML estimation of a class of multivariate GARCH models without moment conditions on the observed process In: MPRA Paper.
[Full Text][Citation analysis]
paper4
2010Strict stationarity testing and estimation of explosive ARCH models In: MPRA Paper.
[Full Text][Citation analysis]
paper2
2010Portmanteau goodness-of-fit test for asymmetric power GARCH models In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2012Fourier--type estimation of the power garch model with stable--paretian innovations In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2014Estimating multivariate GARCH and stochastic correlation models equation by equation In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2015Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2015Tests for sphericity in multivariate garch models In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2015Joint inference on market and estimation risks in dynamic portfolios In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2018Count and duration time series with equal conditional stochastic and mean orders In: MPRA Paper.
[Full Text][Citation analysis]
paper2
2019Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2019Testing the existence of moments for GARCH processes In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2006Stochastic unit-root bilinear processes In: Computing in Economics and Finance 2006.
[Citation analysis]
paper0
2006Inference in GARCH when some coefficients are equal to zero In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
paper2
2003Consistent and asymptotically normal estimators for cyclically time-dependent linear models In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article9
1998On the Identifiability of Minimal VARMA Representations In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
article0
2018Goodness-of-fit tests for Log-GARCH and EGARCH models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]
article1
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team