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)

12

H index

16

i10 index

553

Citations

RESEARCH PRODUCTION:

53

Articles

64

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 26
   Journals where Christian Francq has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 47 (7.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfr109
   Updated: 2019-04-13    RAS profile: 2019-03-26    
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Relations with other researchers


Works with:

Zakoian, Jean-Michel (15)

darolles, serge (6)

Laurent, Sébastien (5)

Sucarrat, Genaro (2)

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 (23)

Zakoian, Jean-Michel (19)

Bauwens, Luc (15)

Escribano, Alvaro (14)

Hafner, Christian (13)

Sucarrat, Genaro (13)

Pedersen, Rasmus (12)

Rombouts, Jeroen (10)

RAÏSSI, HAMDI (10)

Fiorentini, Gabriele (9)

Ruiz, Esther (9)

Cites to:

Zakoian, Jean-Michel (55)

Engle, Robert (43)

Bollerslev, Tim (29)

Ling, Shiqing (22)

McAleer, Michael (15)

Wintenberger, Olivier (14)

Sucarrat, Genaro (14)

Andrews, Donald (14)

Bauwens, Luc (12)

Drost, Feike C. (11)

Escanciano, Juan Carlos (9)

Main data


Where Christian Francq has published?


Journals with more than one article published# docs
Journal of Time Series Analysis11
Journal of Econometrics9
Econometric Theory7
Journal of Multivariate Analysis3
Journal of Financial Econometrics3
Computational Statistics & Data Analysis3
Journal of the American Statistical Association3
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, Germany32
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
2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2019A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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

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

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

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2017Parameter stability and semiparametric inference in time varying auto-regressive conditional heteroscedasticity models. (2017). Truquet, Lionel . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1391-1414.

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2017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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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.

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

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

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

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

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

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2017Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches. (2017). Azrak, Rajae R ; Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/262612.

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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.

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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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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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2017Higher-order properties of approximate estimators. (2017). Salanié, Bernard ; Kristensen, Dennis ; Salanie, Bernard. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:189-208.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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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.

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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.

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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.

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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.

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

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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.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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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.

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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.

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2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

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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.

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2018Comparative analysis of grey detrended fluctuation analysis methods based on empirical research on China’s interest rate market. (2018). He, Ling-Yun ; Jiang, Min ; Cao, Guangxi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:156-169.

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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.

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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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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.

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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.

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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.

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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.

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2017Testing for high-dimensional white noise using maximum cross correlations. (2017). Chang, Jinyuan ; Zhou, Wen ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531.

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

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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

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

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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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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.

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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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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.

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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.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1715.

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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.

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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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2017On periodic ergodicity of a general periodic mixed Poisson autoregression. (2017). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: MPRA Paper. RePEc:pra:mprapa:79650.

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2017Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models.. (2017). Bibi, Abdelouahab ; Ghezal, Ahmed . In: MPRA Paper. RePEc:pra:mprapa:81126.

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2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345.

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

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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.

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

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

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

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

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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.

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2017Return and volatility spillovers in the Moroccan stock market during the financial crisis. (2017). SAIDI, Youssef ; el Ghini, Ahmed . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1110-8.

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2017Fiscal policy asymmetries and the sustainability of US government debt revisited. (2017). Vázquez, Jesús ; Cassou, Steven ; Vazquez, Jesus ; Shadmani, Hedieh. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1159-4.

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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.

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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.

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2017Estimation and asymptotic covariance matrix for stochastic volatility models. (2017). Cavicchioli, Maddalena. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0373-8.

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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.

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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.

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2017Fourier--type tests involving martingale difference processes. (2017). Hlavka, Zdenk ; Meintanis, Simos G ; Kirch, Claudia ; Hukova, Marie. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:4:p:468-492.

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2017Shrinkage Estimation for Multivariate Hidden Markov Models. (2017). Fiecas, Mark ; Kamgaing, Joseph Tadjuidje ; von Sachs, Rainer ; Franke, Jurgen. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:517:p:424-435.

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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Pauwels, Laurent ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1827.

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2017Empirical Performance of GARCH Models with Heavy-tailed Innovations. (2017). Guo, Zi-Yi. In: EconStor Preprints. RePEc:zbw:esprep:167626.

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2018Networks in risk spillovers: A multivariate GARCH perspective. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Frattarolo, Lorenzo. In: SAFE Working Paper Series. RePEc:zbw:safewp:225.

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2018Inference for structural impulse responses in SVAR-GARCH models. (2018). Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:281.

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Works by Christian Francq:


YearTitleTypeCited
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
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article44
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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2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
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2008Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper.
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2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
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article2
2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
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2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
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2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
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2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
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article3
1997On Bartlett’s Formula for Non‐linear Processes In: Journal of Time Series Analysis.
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1997On White Noises Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
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2001Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
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1998Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers.
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1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
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2002Efficient use of higher‐lag autocorrelations for estimating autoregressive processes In: Journal of Time Series Analysis.
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2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: CORE Discussion Papers RP.
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2004Large sample properties of parameter least squares estimates for time-varying arma models In: Journal of Time Series Analysis.
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2006Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations In: Journal of Time Series Analysis.
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2007Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors In: Journal of Time Series Analysis.
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2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
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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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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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