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Christian Francq

ENSAE ParisTech

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Publication

Featured researches published by Christian Francq.

Econometric Theory | 2002

COMMENTS ON THE PAPER BY MINXIAN YANG

Christian Francq; Jean-Michel Zako an

This paper discusses the stationarity conditions proposed by M. Yang (2000, Econometric Theory 16, 23–43), in the framework of Markov-switching first-order autoregressions. A weaker second-order stationarity assumption is proposed.

MPRA Paper | 2010

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process

Christian Francq; Jean-Michel Zakoian

MPRA Paper | 2010

Strict stationarity testing and estimation of explosive ARCH models

Christian Francq; Jean-Michel Zakoian

Archive | 2006

QUASI-LIKELIHOOD INFERENCE IN GARCH PROCESSES WHEN SOME COEFFICIENTS ARE EQUAL TO ZERO

Christian Francq; Jean-Michel Zakoian

Archive | 1997

Covariance Matrix Estimation for Estimators of Mixing Wold's Arma

Christian Francq; Jean-Michel Zakoian

Archive | 2011

STRICT STATIONARITY TESTING AND ESTIMATION OF EXPLOSIVE AND STATIONARY GARCH MODELS 1

Christian Francq; Jean-Michel Zakoian

Archive | 1999

Linear-Representations Based Estimation of Switching-Regime GARCH Models

Christian Francq; Jean-Michel Zakoian

MPRA Paper | 2014

Estimating multivariate GARCH and stochastic correlation models equation by equation

Christian Francq; Jean-Michel Zakoian

MPRA Paper | 2010

Optimal predictions of powers of conditionally heteroskedastic processes

Christian Francq; Jean-Michel Zakoian

MPRA Paper | 2008

Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space

Christian Francq; Lajos Horváth; Jean-Michel Zakoian

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Collaboration

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Olivier Wintenberger

University of Paris

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Lajos Horváth

University of Utah

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Clément Cerovecki

Université libre de Bruxelles

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Siegfried Hörmann

Université libre de Bruxelles

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