Christian Francq : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

20

H index

36

i10 index

1145

Citations

RESEARCH PRODUCTION:

65

Articles

85

Papers

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 42
   Journals where Christian Francq has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 75 (6.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfr109
   Updated: 2025-05-17    RAS profile: 2025-01-06    
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Relations with other researchers

Works with:

Zakoian, Jean-Michel (11)

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)

Bauwens, Luc (20)

Rahbek, Anders (20)

Hafner, Christian (19)

Sucarrat, Genaro (19)

Cavaliere, Giuseppe (16)

Escribano, Alvaro (14)

Caporin, Massimiliano (14)

Pedersen, Rasmus (14)

Gallo, Giampiero (12)

Cites to:

Zakoian, Jean-Michel (95)

Engle, Robert (69)

Bollerslev, Tim (55)

Laurent, Sébastien (32)

Ling, Shiqing (28)

Bauwens, Luc (25)

Drost, Feike C. (23)

Andrews, Donald (21)

Koopman, Siem Jan (20)

Sentana, Enrique (18)

Horvath, Lajos (18)

Main data

Where Christian Francq has published?

Journals with more than one article published# docs
Journal of Econometrics15
Journal of Time Series Analysis13
Econometric Theory10
Journal of Financial Econometrics4
Journal of Business & Economic Statistics3
Journal of Multivariate Analysis3
Journal of the American Statistical Association3
Computational Statistics & Data Analysis3
Stochastic Processes and their Applications2
Journal of the Royal Statistical Society Series B2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany39
Working Papers / Center for Research in Economics and Statistics23
Post-Print / HAL12
Computing in Economics and Finance 2006 / Society for Computational Economics2
Working Papers / HAL2

Recent works citing Christian Francq (2025 and 2024)

YearTitle of citing document
2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2024). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2024GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

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2025GCov-Based Portmanteau Test. (2025). Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2312.05373.

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2024Structural Periodic Vector Autoregressions. (2024). Dzikowski, Daniel ; Jentsch, Carsten. In: Papers. RePEc:arx:papers:2401.14545.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. (2024). Behme, Anita. In: Papers. RePEc:arx:papers:2407.05866.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2024A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality. (2024). Cox, Gregory Fletcher. In: Papers. RePEc:arx:papers:2409.09962.

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2024The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025On a new robust method of inference for general time series models. (2025). Wang, Zihan ; Li, Dong ; Qiao, Xinghao ; Tong, Howell. In: Papers. RePEc:arx:papers:2503.08655.

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2025Simultaneous Inference Bands for Autocorrelations. (2025). Zahn, Tanja ; Pohle, Marc-Oliver ; Hassler, Uwe. In: Papers. RePEc:arx:papers:2503.18560.

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2024Portmanteau tests for periodic ARMA models with dependent errors. (2024). Manassara, Boubacar Y ; Amir, Ilmi A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:164-188.

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2024Margin‐closed vector autoregressive time series models. (2024). Zhang, Lin ; Joe, Harry ; Nolde, Natalia. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:269-297.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2024On vector linear double autoregression. (2024). Zhu, Qianqian ; Lin, Yuchang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:376-397.

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2024Count network autoregression. (2024). Armillotta, Mirko ; Fokianos, Konstantinos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:584-612.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2024Asymmetric beta-binomial GARCH models for time series with bounded support. (2024). Zhang, Rui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000286.

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2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024The functional central limit theorem for Markov-switching GARCH model. (2024). Lee, Oesook ; Kwon, Dream. In: Economics Letters. RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524002118.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Beutner, Eric ; Heinemann, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024An identification and testing strategy for proxy-SVARs with weak proxies. (2024). Fanelli, Luca ; Cavaliere, Giuseppe ; Angelini, Giovanni. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003202.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Network log-ARCH models for forecasting stock market volatility. (2024). Mattera, Raffaele ; Otto, Philipp. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1539-1555.

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2024How do executive excess compensation affect enterprise technological innovation: Evidence from a panel threshold model of chinese biopharmaceutical companies. (2024). Xu, Yong ; Li, Nicolas ; Ji, Junzhe ; Borah, Dhruba. In: Journal of Business Research. RePEc:eee:jbrese:v:179:y:2024:i:c:s0148296324001875.

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2024A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets. (2024). Cavicchioli, Maddalena. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000610.

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2024The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Working Papers. RePEc:fem:femwpa:2025.04.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571.

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2025On Regime Switching Models. (2025). Tan, Zhenni ; Wu, Yuehua. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1128-:d:1623629.

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2025Estimator’s Properties of Specific Time-Dependent Multivariate Time Series. (2025). Mlard, Guy. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1163-:d:1625328.

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2024On the dependence structure of European vegetable oil markets. (2024). Menier, Romain ; Bagnarosa, Guillaume ; Gohin, Alexandre. In: Post-Print. RePEc:hal:journl:hal-04523660.

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2025Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2025). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andr ; Dinnocenzo, Enzo. In: Working Paper Series. RePEc:hhs:rbnkwp:0446.

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2025A Study of Controlling Shareholders’ Equity Pledge Rate Based on Dividend Policy and Barrier Option. (2025). Liu, Qian ; He, Junjie ; Wang, Liang. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10744-9.

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2024Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456.

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2024Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758.

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2024Periodically homogeneous Markov chains: The discrete state space case. (2024). Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:122287.

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2024Volatility models versus intensity models: analogy and differences. (2024). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:122528.

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2024Penalized Convex Estimation in Dynamic Location-Scale models. (2024). Chentoufi, Reda Alami. In: MPRA Paper. RePEc:pra:mprapa:123283.

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2025Inference on breaks in weak location time series models with quasi-Fisher scores. (2025). Francq, Christian ; Zakoian, Jean-Michel ; Trapani, Lorenzo. In: MPRA Paper. RePEc:pra:mprapa:123741.

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2025A beta prime ARMA model for positive time series. (2025). Aknouche, Abdelhakim ; Almohaimeed, Bader ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:123873.

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2024GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Working Papers. RePEc:pre:wpaper:202425.

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2024Are Intraday Returns Autocorrelated?. (2024). Li, Yufei ; Giraitis, Liudas ; Sucarrat, Genaro. In: Working Papers. RePEc:qmw:qmwecw:987.

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2024Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey’s biweight function. (2024). Zhu, Fukang ; Xiong, Lanyu. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:2:d:10.1007_s00180-022-01293-6.

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2024Bayesian log-linear beta-negative binomial integer-valued Garch model. (2024). Yu, Keming ; Chu, Yuanqi. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:3:d:10.1007_s00180-023-01386-w.

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2024A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. (2024). Pietrzyk, Radosaw ; Maecka, Marta. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:5:d:10.1007_s11135-024-01866-1.

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2024Projection-based white noise and goodness-of-fit tests for functional time series. (2024). Rice, Gregory ; Kokoszka, Piotr ; Kim, Mihyun. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:3:d:10.1007_s11203-024-09315-4.

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2024ARMA model checking with data-driven portmanteau tests. (2024). Baragona, Roberto ; Battaglia, Francesco ; Cucina, Domenico. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-023-00720-2.

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2024Information quantity evaluation of multivariate SETAR processes of order one and applications. (2024). Contreras-Reyes, Javier E. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:3:d:10.1007_s00362-023-01457-6.

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2024On the existence of stationary threshold bilinear processes. (2024). Cavicchioli, Maddalena ; Zemmouri, Imane ; Ghezal, Ahmed. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-024-01539-z.

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2025Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Hudecov, Rka ; Ngatchou-Wandji, Joseph ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

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2025Forecasting natural disaster frequencies using nonstationary count time series models. (2025). Lu, Yang ; Pei, Jian. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:3:d:10.1007_s00362-025-01691-0.

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2024Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data. (2024). Pretorius, Charl ; Nolan, John P ; Meintanis, Simos G. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:2:d:10.1007_s11749-023-00909-3.

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2024Specifications tests for count time series models with covariates. (2024). Meintanis, Simos G ; Hukov, Marie ; Hudecov, Rka. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00933-x.

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2024Bootstrapping GARCH Models Under Dependent Innovations. (2024). Schaumburg, Julia ; Beutner, Eric ; Spanjers, Barend. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240008.

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2024A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors. (2024). Stegehuis, Noah ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240016.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240051.

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2024Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240062.

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2024Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2024). Lucas, Andre ; D'Innocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240069.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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2024Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets. (2024). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1581-1608.

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2025Forecasting Markov switching vector autoregressions: Evidence from simulation and application. (2025). Cavicchioli, Maddalena. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:136-152.

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2024Modeling and forecasting stock return volatility using the HARGARCH model with VIX information. (2024). Wang, Yudong ; Pan, Zhiyuan ; Zhang, Jun ; Huang, Juan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1383-1403.

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2024Specification testing for conditional moment restrictions under local identification failure. (2024). Gospodinov, Nikolay ; Dovonon, Prosper. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:849-891.

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Works by Christian Francq:

YearTitleTypeCited
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
[Full Text][Citation analysis]		paper14
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2017Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2017Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2016Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2016) In: Post-Print.
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