Christian Francq : Citation Profile


Are you Christian Francq?

Centre de Recherche en Économie et Statistique (CREST) (99% share)
Université Charles-de-Gaulle (Lille 3) (1% share)

11

H index

13

i10 index

402

Citations

RESEARCH PRODUCTION:

44

Articles

56

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 20
   Journals where Christian Francq has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 38 (8.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfr109
   Updated: 2017-04-22    RAS profile: 2017-03-03    
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Relations with other researchers


Works with:

Zakoian, Jean-Michel (17)

Sucarrat, Genaro (3)

Horvath, Lajos (2)

Wintenberger, Olivier (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 (19)

Bauwens, Luc (15)

Hafner, Christian (13)

Zakoian, Jean-Michel (13)

Sucarrat, Genaro (13)

Pedersen, Rasmus (12)

Escribano, Alvaro (12)

Rombouts, Jeroen (10)

Saikkonen, Pentti (9)

Meitz, Mika (8)

Storti, Giuseppe (8)

Cites to:

Zakoian, Jean-Michel (49)

Engle, Robert (33)

Bollerslev, Tim (24)

Ling, Shiqing (19)

Andrews, Donald (15)

Sucarrat, Genaro (13)

McAleer, Michael (12)

Escribano, Alvaro (10)

Wintenberger, Olivier (10)

Sentana, Enrique (9)

Hallin, Marc (8)

Main data


Where Christian Francq has published?


Journals with more than one article published# docs
Journal of Time Series Analysis7
Journal of Econometrics7
Econometric Theory6
Journal of Multivariate Analysis3
Computational Statistics & Data Analysis3
Journal of the American Statistical Association3
Journal of Business & Economic Statistics2
Journal of the Royal Statistical Society Series B2
Stochastic Processes and their Applications2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany29
Working Papers / Centre de Recherche en Economie et Statistique20
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Christian Francq (2017 and 2016)


YearTitle of citing document
2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio . In: Papers. RePEc:arx:papers:1604.01338.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2016Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159.

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2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

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2016Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness. (2016). Spierdijk, Laura . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:545-559.

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2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (2016). Sucarrat, Genaro ; Escribano, Alvaro ; Gronneberg, Steffen . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:582-594.

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2016Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes. (2016). Ziel, Florian . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:773-793.

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2016Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests. (2016). Yoon, Gawon . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:725-732.

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2016Nonstationary GARCH with t-distributed innovations. (2016). Pedersen, Rasmus ; Rahbek, Anders . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:19-21.

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2016GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (2016). Prokhorov, Artem ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:18-45.

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2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

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2016Root-T consistent density estimation in GARCH models. (2016). Delaigle, Aurore ; Rombouts, Jeroen ; Meister, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:55-63.

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2016White noise testing and model diagnostic checking for functional time series. (2016). Zhang, Xianyang . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:76-95.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Cavaliere, Giuseppe ; Robert, A M ; Nielsen, Morten Orregaard . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016A simple model for now-casting volatility series. (2016). Hafner, Christian ; Breitung, Jorg . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1247-1255.

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2016Estimating the risk-return trade-off with overlapping data inference. (2016). Hodrick, Robert ; Hedegaard, Esben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:135-145.

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2016Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. (2016). GUPTA, RANGAN ; Chang, Tsangyao ; Aye, Goodness C. In: Resources Policy. RePEc:eee:jrpoli:v:48:y:2016:i:c:p:77-84.

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2016Statistical inference for nonparametric GARCH models. (2016). Meister, Alexander ; Kreiss, Jens-Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:10:p:3009-3040.

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2017Conditional maximum likelihood estimation for a class of observation-driven time series models for count data. (2017). Cui, Yunwei ; Zheng, QI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:123:y:2017:i:c:p:193-201.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04.

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2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492.

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2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe ; Lalaharison, Hanjarivo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017Automatic Portmanteau Tests with Applications to Market Risk Management. (2017). Escanciano, Juan Carlos ; Du, Zaichao ; Zhu, Guangwei . In: Caepr Working Papers. RePEc:inu:caeprp:2017002.

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2016ZD-GARCH model: a new way to study heteroscedasticity. (2016). Zhu, Ke ; Li, Dong ; Ling, Shiqing . In: MPRA Paper. RePEc:pra:mprapa:68621.

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2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: MPRA Paper. RePEc:pra:mprapa:72736.

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2016Variance targeting estimation of the BEKK-X model. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75572.

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2016Equation by equation estimation of the semi-diagonal BEKK model with covariates. (2016). Quyen, LE. In: MPRA Paper. RePEc:pra:mprapa:75582.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

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2017Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574.

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2016Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. (2016). Chen, Cathy W. S. ; Lee, Sangyeol . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:1:d:10.1007_s00180-015-0624-4.

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2016Modified Schwarz and Hannan–Quinn information criteria for weak VARMA models. (2016). Mainassara, Yacouba Boubacar ; Kokonendji, Celestin C. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:2:d:10.1007_s11203-015-9123-z.

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2016On periodic time-varying bilinear processes: structure and asymptotic inference. (2016). Ghezal, Ahmed ; Bibi, Abdelouahab . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:25:y:2016:i:3:d:10.1007_s10260-015-0344-5.

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2016Weak VARMA representations of regime-switching state-space models. (2016). Cavicchioli, Maddalena . In: Statistical Papers. RePEc:spr:stpapr:v:57:y:2016:i:3:d:10.1007_s00362-015-0675-1.

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2016Semi-parametric estimation and forecasting for exogenous log-GARCH models. (2016). Chen, Ming ; Song, Qiongxia . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:25:y:2016:i:1:d:10.1007_s11749-015-0442-6.

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2016Hidden Markov models in time series, with applications in economics. (2016). Kaufmann, Sylvia. In: Working Papers. RePEc:szg:worpap:1606.

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2016.

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Works by Christian Francq:


YearTitleTypeCited
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
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article34
2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association.
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article4
2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2008Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 4
paper
2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
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article1
2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
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article11
2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
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paper
2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 11
paper
2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
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article0
2004Large sample properties of parameter least squares estimates for time-varying arma models In: Journal of Time Series Analysis.
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article7
2006Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations In: Journal of Time Series Analysis.
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article3
2007Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors In: Journal of Time Series Analysis.
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article6
2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
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article7
2009Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper.
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2011Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models In: Journal of Time Series Analysis.
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2011Asymptotic properties of weighted least squares estimation in weak parma models.(2011) In: MPRA Paper.
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2016Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified In: Journal of Time Series Analysis.
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article1
2013Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.(2013) In: MPRA Paper.
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2016Poisson QMLE of Count Time Series Models In: Journal of Time Series Analysis.
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article2
2014Poisson qmle of count time series models.(2014) In: MPRA Paper.
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2006Linear-representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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article6
2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: CORE Discussion Papers.
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Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.() In: CORE Discussion Papers RP.
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2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters.
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This paper has another version. Agregated cites: 6
article
Efficient use of higher-lag autocorrelations for estimating autoregressive processes In: CORE Discussion Papers RP.
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2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
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paper53
2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
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article
2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
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paper3
2008A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers.
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paper0
2008Barlett’s Formula for Non Linear Processes In: Working Papers.
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paper0
2008Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers.
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paper1
2008Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers.
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2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
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2010SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory.
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2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
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2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
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2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
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2009Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers.
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2011Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers.
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2013Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions.(2013) In: Journal of Business & Economic Statistics.
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2013Inference in Non Stationary Asymmetric Garch Models In: Working Papers.
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2013Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper.
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2014Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers.
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1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
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paper1
1997Estimating Weak Garch Representations In: Working Papers.
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paper30
2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
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1998Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Working Papers.
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1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
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1999Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers.
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1999Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers.
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2002COMMENTS ON THE PAPER BY MINXIAN YANG: In: Econometric Theory.
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2005A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE In: Econometric Theory.
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article3
2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS In: Econometric Theory.
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article20
2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
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article10
2012Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models In: Econometrica.
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2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
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article2
2008Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis.
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2012Computing and estimating information matrices of weak ARMA models In: Computational Statistics & Data Analysis.
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2010Computing and estimating information matrices of weak arma models.(2010) In: MPRA Paper.
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2008A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics.
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article5
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models In: Journal of Econometrics.
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article5
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models.(2010) In: Post-Print.
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2011Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE In: Journal of Econometrics.
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2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
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2012Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper.
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2015Risk-parameter estimation in volatility models In: Journal of Econometrics.
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2012Risk-parameter estimation in volatility models.(2012) In: MPRA Paper.
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2017Tests for conditional ellipticity in multivariate GARCH models In: Journal of Econometrics.
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2011Estimating structural VARMA models with uncorrelated but non-independent error terms In: Journal of Multivariate Analysis.
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2009Estimating structural VARMA models with uncorrelated but non-independent error terms.(2009) In: MPRA Paper.
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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns In: Journal of Multivariate Analysis.
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article0
2007HAC estimation and strong linearity testing in weak ARMA models In: Journal of Multivariate Analysis.
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2005The L2-structures of standard and switching-regime GARCH models In: Stochastic Processes and their Applications.
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2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero In: Stochastic Processes and their Applications.
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2004Estimation of time-varying ARMA models with Markovian changes in regime In: Statistics & Probability Letters.
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2016Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics.
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2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
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2009Concepts and tools for nonlinear time series modelling In: MPRA Paper.
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2009Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models. In: MPRA Paper.
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2008Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper.
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2009Combining parametric and nonparametric approaches for more efficient time series prediction In: MPRA Paper.
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2010On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses In: MPRA Paper.
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2010QML estimation of a class of multivariate GARCH models without moment conditions on the observed process In: MPRA Paper.
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2010Strict stationarity testing and estimation of explosive ARCH models In: MPRA Paper.
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