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1

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Francq, Christian, Zakoïan, Jean-Michel

Journal:

Year:

2004

Language:

english

File:

PDF, 285 KB

english, 2004

2

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*

Francq, Christian, Sucarrat, Genaro

Journal:

Journal of Financial Econometrics

Year:

2017

Language:

english

File:

PDF, 584 KB

english, 2017

3

On White Noises Driven by Hidden Markov Chains

Christian Francq, Michel Roussignol

Journal:

Journal of Time Series Analysis

Year:

1997

Language:

english

File:

PDF, 992 KB

english, 1997

4

Conditional Heteroskedasticity Driven by Hidden Markov Chains

Christian Francq, Michel Roussignol, Jean-Michel Zakoian

Journal:

Journal of Time Series Analysis

Year:

2001

Language:

english

File:

PDF, 452 KB

english, 2001

5

Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

Christian Francq, Roch Roy, Abdessamad Saidi

Journal:

Journal of Time Series Analysis

Year:

2011

Language:

english

File:

PDF, 1.06 MB

english, 2011

6

Stationnarité des modèles ARMA à changement de régime markovien

Christian Francq, Jean-Michel Zakoïan

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

2000

Language:

french

File:

PDF, 125 KB

french, 2000

7

Diagnostic Checking in ARMA Models With Uncorrelated Errors

Francq, Christian, Roy, Roch, Zakoïan, Jean-Michel

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 442 KB

english, 2005

8

Arma models with bilinear innovations

Francq, Christian

Journal:

Communications in Statistics Stochastic Models

Year:

1999

Language:

english

File:

PDF, 874 KB

english, 1999

9

Poisson QMLE of Count Time Series Models

Ahmad, Ali, Francq, Christian

Journal:

Journal of Time Series Analysis

Year:

2016

Language:

english

File:

PDF, 402 KB

english, 2016

10

Functional GARCH models: The quasi-likelihood approach and its applications

Cerovecki, Clément, Francq, Christian, Hörmann, Siegfried, Zakoïan, Jean-Michel

Journal:

Journal of Econometrics

Year:

2019

Language:

english

File:

PDF, 4.06 MB

english, 2019

11

GARCH Models (Structure, Statistical Inference and Financial Applications) || Estimating GARCH Models by Quasi-Maximum Likelihood

Francq, Christian, Zakoian, Jean-Michel

Year:

2019

Language:

english

File:

PDF, 376 KB

english, 2019

12

GARCH Models (Structure, Statistical Inference and Financial Applications) || Multivariate GARCH Processes

Francq, Christian, Zakoian, Jean-Michel

Year:

2019

Language:

english

File:

PDF, 333 KB

english, 2019

13

Estimation de modèles ARMA à changements de régime récurrents

Christian Francq, Antony Gautier

Journal:

Comptes Rendus Mathematique

Year:

2004

Language:

french

File:

PDF, 105 KB

french, 2004

14

A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test

Christian Francq, Svetlana Makarova, Jean-Michel Zakoı¨an

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 256 KB

english, 2008

15

Estimation of time-varying ARMA models with Markovian changes in regime

Christian Francq, Antony Gautier

Journal:

Statistics & Probability Letters

Year:

2004

Language:

english

File:

PDF, 232 KB

english, 2004

16

Modèles ARCH avec changement de régime markovien

Christian Francq, Michel Roussignol, Jean-Michel Zakoı̈an

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

2000

Language:

french

File:

PDF, 132 KB

french, 2000

17

The -structures of standard and switching-regime GARCH models

Christian Francq, Jean-Michel Zakoı¨an

Journal:

Stochastic Processes and their Applications

Year:

2005

Language:

english

File:

PDF, 379 KB

english, 2005

18

Maximum Likelihood Estimation of Pure GARCH and ARMA-GARCH Processes

Christian Francq and Jean-Michel Zakoïan

Journal:

Year:

2004

Language:

english

File:

PDF, 2.32 MB

english, 2004

19

Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions

Francq, Christian, Zakoïan, Jean-Michel

Journal:

Journal of Business and Economic Statistics

Year:

2013

Language:

english

File:

PDF, 404 KB

english, 2013

20

Comment

Francq, Christian, Zakoïan, Jean-Michel

Journal:

Journal of Business and Economic Statistics

Year:

2014

Language:

english

File:

PDF, 179 KB

english, 2014

21

GARCH Models (Structure, Statistical Inference and Financial Applications) || Estimating ARCH Models by Least Squares

Francq, Christian, Zakoïan, Jean-Michel

Year:

2010

Language:

english

File:

PDF, 531 KB

english, 2010

22

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

Francq, Christian, Thieu, Le Quyen

Journal:

Econometric Theory

Year:

2018

Language:

english

File:

PDF, 542 KB

english, 2018

23

GARCH Models (Structure, Statistical Inference and Financial Applications) || Estimating ARCH Models by Least Squares

Francq, Christian, Zakoian, Jean-Michel

Year:

2019

Language:

english

File:

PDF, 133 KB

english, 2019

24

GARCH Models (Structure, Statistical Inference and Financial Applications) ||

Francq, Christian, Zakoian, Jean‐Michel

Year:

2019

File:

PDF, 5.63 MB

2019

25

Special Issue on Nonlinear Modelling and Financial Econometrics

Alessandra Amendola, Christian Francq, Siem Jan Koopman

Journal:

Computational Statistics & Data Analysis

Year:

2006

Language:

english

File:

PDF, 116 KB

english, 2006

26

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

Christian Francq, Jean-Michel Zakoı¨an

Journal:

Computational Statistics & Data Analysis

Year:

2008

Language:

english

File:

PDF, 370 KB

english, 2008

27

Inconsistency of the MLE and inference based on weighted LS for LARCH models

Christian Francq, Jean-Michel Zakoïan

Journal:

Journal of Econometrics

Year:

2010

Language:

english

File:

PDF, 612 KB

english, 2010

28

HAC estimation and strong linearity testing in weak ARMA models

Christian Francq, Jean-Michel Zakoïan

Journal:

Journal of Multivariate Analysis

Year:

2007

Language:

english

File:

PDF, 374 KB

english, 2007

29

Kernel regression estimation for random fields

Michel Carbon, Christian Francq, Lanh Tat Tran

Journal:

Journal of Statistical Planning and Inference

Year:

2007

Language:

english

File:

PDF, 281 KB

english, 2007

30

Asymptotic normality of frequency polygons for random fields

Michel Carbon, Christian Francq, Lanh Tat Tran

Journal:

Journal of Statistical Planning and Inference

Year:

2010

Language:

english

File:

PDF, 188 KB

english, 2010

31

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

Christian Francq, Jean-Michel Zakoian

Journal:

Stochastic Processes and their Applications

Year:

2007

Language:

english

File:

PDF, 419 KB

english, 2007

32

Estimating linear representations of nonlinear processes

Christian Francq, Jean-Michel Zakoïan

Journal:

Journal of Statistical Planning and Inference

Year:

1998

Language:

english

File:

PDF, 1.25 MB

english, 1998

33

Covariance matrix estimation for estimators of mixing weak ARMA models

Christian Francq, Jean-Michel Zakoı̈an

Journal:

Journal of Statistical Planning and Inference

Year:

2000

Language:

english

File:

PDF, 240 KB

english, 2000

34

Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles

Christian Francq, Jean-Michel Zakoïan

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1998

File:

PDF, 231 KB

1998

35

Estimation de représentations GARCH faibles

Christian Francq, Jean-Michel Zakoïan

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1998

File:

PDF, 251 KB

1998

36

Consistent and asymptotically normal estimators for cyclically time-dependent linear models

Abdelouahab Bibi, Christian Francq

Journal:

Annals of the Institute of Statistical Mathematics

Year:

2003

Language:

english

File:

PDF, 1.44 MB

english, 2003

37

On Bartlett’s Formula for Non-linear Processes

Alain Berlinet, Christian Francq

Journal:

Journal of Time Series Analysis

Year:

1997

Language:

english

File:

PDF, 629 KB

english, 1997

38

Efficient use of higher-lag autocorrelations for estimating autoregressive processes

LAURENCE BROZE, CHRISTIAN FRANCQ, JEAN-MICHEL ZAKOÏAN

Journal:

Journal of Time Series Analysis

Year:

2002

Language:

english

File:

PDF, 382 KB

english, 2002

39

A model for the Am (Km) planetary geomagnetic activity index and application to prediction

Christian Francq, Michel Menvielle

Journal:

Geophysical Journal International

Year:

1996

Language:

english

File:

PDF, 1.21 MB

english, 1996

40

Linear-representation Based Estimation of Stochastic Volatility Models

CHRISTIAN FRANCQ, JEAN-MICHEL ZAKOÏAN

Journal:

Scandinavian Journal of Statistics

Year:

2006

Language:

english

File:

PDF, 607 KB

english, 2006

41

Large sample properties of parameter least squares estimates for time-varying arma models

Christian Francq, Antony Gautier

Journal:

Journal of Time Series Analysis

Year:

2004

Language:

english

File:

PDF, 204 KB

english, 2004

42

Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations

Ahmed El Ghini, Christian Francq

Journal:

Journal of Time Series Analysis

Year:

2006

Language:

english

File:

PDF, 171 KB

english, 2006

43

Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors

Christian Francq, Hamdi Raïssi

Journal:

Journal of Time Series Analysis

Year:

2007

Language:

english

File:

PDF, 561 KB

english, 2007

44

Bartlett's formula for a general class of nonlinear processes

Christian Francq, Jean-Michel Zakoïan

Journal:

Journal of Time Series Analysis

Year:

2009

Language:

english

File:

PDF, 272 KB

english, 2009

45

On the Identifiability of Minimal VARMA Representations

Alain Berlinet, Christian Francq

Journal:

Statistical Inference for Stochastic Processes

Year:

1998

Language:

english

File:

PDF, 92 KB

english, 1998

46

Estimation du comportement asymptotique des autocovariances et autocorrélations empiriques de processus multivariés

Alain Berlinet and Christian Francq

Journal:

Canadian Journal of Statistics

Year:

1999

File:

PDF, 1.05 MB

1999

47

The sixth special issue on computational econometrics

David A. Belsley, Cathy W.S. Chen, Christian Francq, Giampiero Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Year:

2012

Language:

english

File:

PDF, 154 KB

english, 2012

48

Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

Christian Francq, Guillaume Lepage, Jean-Michel Zakoïan

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 385 KB

english, 2011

49

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

Francq, Christian, Zakoïan, Jean-Michel

Journal:

Econometric Theory

Year:

2012

Language:

english

File:

PDF, 623 KB

english, 2012

50

Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes

Laurence Broze, Christian Francq, Jean-Michel Zakoı̈an

Journal:

Economics Letters

Year:

2001

Language:

english

File:

PDF, 95 KB

english, 2001