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Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried - In: Journal of econometrics 209 (2019) 2, pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
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A class of stochastic unit-root bilinear processes : mixing properties and unit-root test
Francq, Christian; Makarova, Svetlana D.; Zakoïan, … - In: Journal of econometrics 142 (2008) 1, pp. 312-326
Persistent link: https://www.econbiz.de/10003608201
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Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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Testing the existence of moments for GARCH processes
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 227 (2022) 1, pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim; Francq, Christian - In: Journal of econometrics 237 (2023) 2,2, pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307