Christian Francq : Citation Profile


Are you Christian Francq?

Centre de Recherche en Économie et Statistique (CREST)

18

H index

35

i10 index

1015

Citations

RESEARCH PRODUCTION:

63

Articles

77

Papers

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 37
   Journals where Christian Francq has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 69 (6.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfr109
   Updated: 2024-04-18    RAS profile: 2024-03-08    
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Relations with other researchers


Works with:

Zakoian, Jean-Michel (12)

Laurent, Sébastien (4)

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 (28)

Zakoian, Jean-Michel (22)

Rahbek, Anders (20)

Hafner, Christian (19)

Sucarrat, Genaro (19)

Bauwens, Luc (18)

Pedersen, Rasmus (14)

Escribano, Alvaro (14)

Cavaliere, Giuseppe (14)

Caporin, Massimiliano (14)

Gallo, Giampiero (12)

Cites to:

Zakoian, Jean-Michel (89)

Engle, Robert (63)

Bollerslev, Tim (52)

Ling, Shiqing (27)

Bauwens, Luc (25)

Laurent, Sébastien (21)

Andrews, Donald (20)

Drost, Feike C. (20)

Rahbek, Anders (18)

Sentana, Enrique (18)

Horvath, Lajos (17)

Main data


Where Christian Francq has published?


Journals with more than one article published# docs
Journal of Econometrics15
Journal of Time Series Analysis12
Econometric Theory9
Journal of Financial Econometrics4
Journal of the American Statistical Association3
Computational Statistics & Data Analysis3
Journal of Business & Economic Statistics3
Journal of Multivariate Analysis3
Journal of the Royal Statistical Society Series B2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany38
Working Papers / Center for Research in Economics and Statistics23
Post-Print / HAL5
Computing in Economics and Finance 2006 / Society for Computational Economics2
Working Papers / HAL2

Recent works citing Christian Francq (2024 and 2023)


YearTitle of citing document
2023A 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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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023An identification and testing strategy for proxy-SVARs with weak proxies. (2022). Fanelli, Luca ; Cavaliere, Giuseppe ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2210.04523.

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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2023Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658.

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2023An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

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2023.

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2023.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023On the growth rate of superadditive processes and the stability of functional GARCH models. (2023). Kandji, Baye Matar. In: Working Papers. RePEc:crs:wpaper:2023-07.

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2023Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591.

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2023Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483.

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2023Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023The economic value rationale of fuel hedging: An empirical perspective from the global airline industry. (2023). Geller, G ; Perret, J K ; Samunderu, E. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:106:y:2023:i:c:s0969699722001430.

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2023A distance-based test of independence between two multivariate time series. (2023). Chu, BA. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001427.

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2023On portmanteau-type tests for nonlinear multivariate time series. (2023). Gooijer, Jan G. ; de Gooijer, Jan G. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000039.

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2023Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables. (2023). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000106.

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2023Simulation Framework to Determine Suitable Innovations for Volatility Persistence Estimation: The GARCH Approach. (2023). Sigauke, Caston ; Chimedza, Charles. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:392-:d:1231462.

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2023.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Karmakar, Sayar ; Wu, Kejin. In: Working Papers. RePEc:pre:wpaper:202326.

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2023Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH. (2023). Reyes-Zarate, Francisco ; Sosa-Castro, Miriam ; Bucio-Pacheco, Christian. In: EconoQuantum, Revista de Economia y Finanzas. RePEc:qua:journl:v:20:y:2023:i:2:p:69-93.

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2023Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

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2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

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2023Testing the equality of the laws of two strictly stationary processes. (2023). Yao, Anne-Francoise ; Reboul, Laurence ; Pommeret, Denys. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09272-w.

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2023On consistency for time series model selection. (2023). Kengne, William. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09284-6.

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2023A general procedure for change-point detection in multivariate time series. (2023). Kengne, William ; Diop, Mamadou Lamine. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00824-z.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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2023Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models. (2023). Gorgi, Paolo ; Armillotta, Mirko. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230054.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2023Efficient estimation of regression models with user-specified parametric model for heteroskedasticty. (2023). Renault, Eric ; Chaudhuri, Saraswata. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1473.

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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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paper11
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 11
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 11
paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 11
paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 11
paper
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios In: Papers.
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paper3
2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 3
article
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2019) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3
paper
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
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article64
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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article27
2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
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paper
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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2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
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article18
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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article11
1997On Bartlett’s Formula for Non?linear Processes In: Journal of Time Series Analysis.
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article1
1997On White Noises Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
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article6
2001Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
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article37
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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article1
2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 1
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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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article12
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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article12
2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
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article16
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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2016Poisson QMLE of Count Time Series Models In: Journal of Time Series Analysis.
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article28
2015Poisson QMLE of Count Time Series Models.(2015) In: Post-Print.
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2014Poisson qmle of count time series models.(2014) In: MPRA Paper.
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2022Stationarity and ergodicity of Markov switching positive conditional mean models In: Journal of Time Series Analysis.
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article1
2020Stationarity and ergodicity of Markov switching positive conditional mean models.(2020) In: MPRA Paper.
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2006Linear?representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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article11
2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: LIDAM Discussion Papers CORE.
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paper9
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: LIDAM Reprints CORE.
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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 nother version. Agregated cites: 9
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2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
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2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
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2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
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2008A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers.
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2008Barlett’s Formula for Non Linear Processes In: Working Papers.
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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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paper1
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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This paper has nother version. Agregated cites: 4
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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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2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models In: Working Papers.
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2023LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS.(2023) In: Econometric Theory.
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2021Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models.(2021) In: MPRA Paper.
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2022Inference on Multiplicative Component GARCH without any Small-Order Moment In: Working Papers.
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2022Estimating dynamic systemic risk measures In: Working Papers.
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1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
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1997Estimating Weak Garch Representations In: Working Papers.
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2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
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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: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 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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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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article29
2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
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article24
2019QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES In: Econometric Theory.
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2015Qml inference for volatility models with covariates.(2015) In: MPRA Paper.
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2021COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS In: Econometric Theory.
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2018Count and duration time series with equal conditional stochastic and mean orders.(2018) In: MPRA Paper.
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