19
H index
33
i10 index
1038
Citations
Christian Francq : Citation Profile
Centre de Recherche en Économie et Statistique (CREST) | RESEARCH PRODUCTION: 58 Articles 84 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1997 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Francq. | Is cited by:
| Cites to:
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Main data
Where Christian Francq has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 39 |
| Working Papers / Center for Research in Economics and Statistics | 23 |
| Post-Print / HAL | 11 |
| Computing in Economics and Finance 2006 / Society for Computational Economics | 2 |
| Working Papers / HAL | 2 |
Recent works citing Christian Francq (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper |
| 2024 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
| 2023 | An identification and testing strategy for proxy-SVARs with weak proxies. (2022). Fanelli, Luca ; Cavaliere, Giuseppe ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2210.04523. Full description at Econpapers || Download paper |
| 2023 | On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921. Full description at Econpapers || Download paper |
| 2023 | Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658. Full description at Econpapers || Download paper |
| 2024 | An 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. Full description at Econpapers || Download paper |
| 2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper |
| 2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
| 2023 | Spatial 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. Full description at Econpapers || Download paper |
| 2024 | GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346. Full description at Econpapers || Download paper |
| 2024 | High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17127. Full description at Econpapers || Download paper |
| 2024 | Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Trapani, Lorenzo ; Horvath, Lajos. In: Papers. RePEc:arx:papers:2404.17885. Full description at Econpapers || Download paper |
| 2024 | On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641. Full description at Econpapers || Download paper |
| 2023 | A new GJR?GARCH model for ??valued time series. (2022). Zhu, Fukang ; Xu, Yue. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:490-500. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2023 | Estimation of change?point for a class of count time series models. (2021). Zheng, QI ; Wu, Rongning ; Cui, Yunwei. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1277-1313. Full description at Econpapers || Download paper |
| 2023 | Realized 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. Full description at Econpapers || Download paper |
| 2023 | On 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. Full description at Econpapers || Download paper |
| 2024 | Asymmetric 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. Full description at Econpapers || Download paper |
| 2023 | Modeling 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. Full description at Econpapers || Download paper |
| 2023 | Quantile 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. Full description at Econpapers || Download paper |
| 2024 | Conditional-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. Full description at Econpapers || Download paper |
| 2023 | Impulse response function analysis for Markov switching var models. (2023). Cavicchioli, Maddalena. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003828. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204. Full description at Econpapers || Download paper |
| 2023 | Modeling 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. Full description at Econpapers || Download paper |
| 2023 | GARCH 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. Full description at Econpapers || Download paper |
| 2023 | Bootstrap 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. Full description at Econpapers || Download paper |
| 2023 | Moments, 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. Full description at Econpapers || Download paper |
| 2023 | A new generalized exponentially weighted moving average quantile model and its statistical inference. (2023). Zhu, KE. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002269. Full description at Econpapers || Download paper |
| 2023 | Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141. Full description at Econpapers || Download paper |
| 2023 | Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165. Full description at Econpapers || Download paper |
| 2024 | A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701. Full description at Econpapers || Download paper |
| 2024 | An 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. Full description at Econpapers || Download paper |
| 2024 | Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299. Full description at Econpapers || Download paper |
| 2023 | Feasible 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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | Networks 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. Full description at Econpapers || Download paper |
| 2023 | Loss 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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | Discovering 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. Full description at Econpapers || Download paper |
| 2024 | Accelerating 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2024 | How do executive excess compensation affect enterprise technological innovation: Evidence from a panel threshold model of chinese biopharmaceutical companies. (2024). Borah, Dhruba ; Li, Nicolas ; Ji, Junzhe ; Xu, Yong. In: Journal of Business Research. RePEc:eee:jbrese:v:179:y:2024:i:c:s0148296324001875. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | On 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. Full description at Econpapers || Download paper |
| 2023 | Statistical 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. Full description at Econpapers || Download paper |
| 2023 | Exploring 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. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2023 | Skewness 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. Full description at Econpapers || Download paper |
| 2023 | Simulation 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | On the dependence structure of European vegetable oil markets. (2023). Gohin, Alexandre ; Bagnarosa, Guillaume ; Menier, Romain. In: Post-Print. RePEc:hal:journl:hal-04523660. Full description at Econpapers || Download paper |
| 2023 | Testing for parameter change epochs in GARCH time series. (2023). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:467-491.. Full description at Econpapers || Download paper |
| 2023 | FIEGARCH, 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. Full description at Econpapers || Download paper |
| 2024 | Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456. Full description at Econpapers || Download paper |
| 2024 | Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758. Full description at Econpapers || Download paper |
| 2023 | Climate 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. Full description at Econpapers || Download paper |
| 2023 | Volatilidad 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. Full description at Econpapers || Download paper |
| 2023 | Heterogeneous 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Testing 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. Full description at Econpapers || Download paper |
| 2023 | On 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Consistency, 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. Full description at Econpapers || Download paper |
| 2023 | Pseudo-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. Full description at Econpapers || Download paper |
| 2023 | A three?dimensional asymmetric power HEAVY model. (2022). Noikokyris, Emmanouil ; Karanasos, Menelaos ; Chortareas, Georgios ; Yfanti, Stavroula. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:2737-2761. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Efficient 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. Full description at Econpapers || Download paper |
Works by Christian Francq:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2018 | Asymptotics 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: 12 | article | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2017 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2017 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2016 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2019 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2020 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2019 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 65 |
| 2009 | Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 29 |
| 2008 | Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2008 | Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2010 | Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 2 |
| 2009 | Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2013 | Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 19 |
| 2012 | Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2010 | Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2016 | Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 13 |
| 1997 | On White Noises Driven by Hidden Markov Chains In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 2001 | Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 40 |
| 1998 | Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 1998 | Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2007 | Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
| 2009 | Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 16 |
| 2009 | Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2011 | Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
| 2011 | Asymptotic properties of weighted least squares estimation in weak parma models.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
| 2013 | Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Poisson QMLE of Count Time Series Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 29 |
| 2015 | Poisson QMLE of Count Time Series Models.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2014 | Poisson qmle of count time series models.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2022 | Stationarity and ergodicity of Markov switching positive conditional mean models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
| 2020 | Stationarity and ergodicity of Markov switching positive conditional mean models.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2000 | Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 9 |
| 2001 | Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2001 | Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2002 | Efficient use of higher-lag autocorrelations for estimating autoregressive processes In: LIDAM Reprints CORE. [Citation analysis] | paper | 1 |
| 2000 | Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 93 |
| 2001 | Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
| 2000 | Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Barlett’s Formula for Non Linear Processes In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2009 | Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers. [Full Text][Citation analysis] | paper | 62 |
| 2011 | Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | article | |
| 2009 | Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | paper | |
| 2009 | Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2013 | Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions.(2013) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2013 | Inference in Non Stationary Asymmetric Garch Models In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2013 | Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2014 | Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS.(2023) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models.(2021) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Inference on Multiplicative Component GARCH without any Small-Order Moment In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Estimating dynamic systemic risk measures In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1997 | Estimating Weak Garch Representations In: Working Papers. [Full Text][Citation analysis] | paper | 34 |
| 2000 | ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 1999 | Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2002 | COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” In: Econometric Theory. [Full Text][Citation analysis] | article | 8 |
| 2005 | A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
| 2006 | MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS In: Econometric Theory. [Full Text][Citation analysis] | article | 29 |
| 2012 | QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
| 2019 | QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES In: Econometric Theory. [Full Text][Citation analysis] | article | 31 |
| 2015 | Qml inference for volatility models with covariates.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2021 | COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
| 2018 | Count and duration time series with equal conditional stochastic and mean orders.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2012 | Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models In: Econometrica. [Full Text][Citation analysis] | article | 52 |
| 2006 | Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 2008 | Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 28 |
| 2012 | Computing and estimating information matrices of weak ARMA models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
| 2010 | Computing and estimating information matrices of weak arma models.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2008 | A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2010 | Inconsistency of the MLE and inference based on weighted LS for LARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 2010 | Inconsistency of the MLE and inference based on weighted LS for LARCH models.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2011 | Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2013 | GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2012 | Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2015 | Risk-parameter estimation in volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2012 | Risk-parameter estimation in volatility models.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2017 | Tests for conditional ellipticity in multivariate GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2018 | Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2019 | Functional GARCH models: The quasi-likelihood approach and its applications In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2018 | Functional GARCH models: the quasi-likelihood approach and its applications.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2022 | Testing the existence of moments for GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Testing the existence of moments for GARCH processes.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2023 | Quasi score-driven models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2023 | Quasi score-driven models.(2023) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2023 | Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2019 | Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2024 | Autoregressive conditional betas In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Estimating structural VARMA models with uncorrelated but non-independent error terms In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 17 |
| 2009 | Estimating structural VARMA models with uncorrelated but non-independent error terms.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2017 | An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 13 |
| 2015 | Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2007 | HAC estimation and strong linearity testing in weak ARMA models In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 11 |
| 2005 | The L2-structures of standard and switching-regime GARCH models In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 20 |
| 2007 | Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 36 |
| 2004 | Estimation of time-varying ARMA models with Markovian changes in regime In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 14 |
| 2016 | Intrinsic Liquidity in Conditional Volatility Models In: Post-Print. [Citation analysis] | paper | 0 |
| 2020 | Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 20 |
| 2014 | Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2018 | An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2013 | An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2023 | Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Testing the existence of moments and estimating the tail index of augmented garch processes In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Finite moments testing in a general class of nonlinear time series models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Concepts and tools for nonlinear time series modelling In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models. In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Combining parametric and nonparametric approaches for more efficient time series prediction In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | QML estimation of a class of multivariate GARCH models without moment conditions on the observed process In: MPRA Paper. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Strict stationarity testing and estimation of explosive ARCH models In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Portmanteau goodness-of-fit test for asymmetric power GARCH models In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Fourier--type estimation of the power garch model with stable--paretian innovations In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Estimating multivariate GARCH and stochastic correlation models equation by equation In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Tests for sphericity in multivariate garch models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Joint inference on market and estimation risks in dynamic portfolios In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Stochastic unit-root bilinear processes In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2006 | Inference in GARCH when some coefficients are equal to zero In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Consistent and asymptotically normal estimators for cyclically time-dependent linear models In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] | article | 10 |
| 1998 | On the Identifiability of Minimal VARMA Representations In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 2 |
| 2018 | Goodness-of-fit tests for Log-GARCH and EGARCH models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 6 |
| 2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Volatility Estimation When the Zero-Process is Nonstationary In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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