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A tour in the asymptotic theory of GARCH estimation
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755834
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Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755835
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Barlett's formula for non linear processes
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755836
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Can one really estimate nonstationary GARCH models?
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755837
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Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755838
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Sup-tests for linearity in a general nonlinear AR(1) model
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935353
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Inference in non stationary asymmetric GARCH models
Francq, Christian; Zakoïan, Jean-Michel - 2013
Persistent link: https://www.econbiz.de/10010348528
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Linear-representations based estimation of switching-regime GARCH models
Francq, Christian; Zakoïan, Jean-Michel - 1999
Persistent link: https://www.econbiz.de/10001430409
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Efficient use of high order autocorrelations for estimating autoregressive processes
Broze, Laurence; Francq, Christian; Zakoïan, Jean-Michel - 1999
Persistent link: https://www.econbiz.de/10001430412
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Estimating stochastic volatility models : a new approach based on ARMA representations
Francq, Christian; Zakoïan, Jean-Michel - 2000
Persistent link: https://www.econbiz.de/10001549029