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Information about:
Christian Francq

Personal Details | Affiliation | Works
This is information that was supplied by Christian Francq in registering through RePEc. If you are Christian Francq , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Christian
Middle Name:
Last Name: Francq
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RePEc Short-ID: pfr109

Email:
Homepage: http://perso.univ-lille3.fr/~cfrancq
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany. [Downloadable!]

  2. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany. [Downloadable!]

  3. Francq, Christian & Zakoian, Jean-Michel, 2009. "Bartlett's formula for a general class of non linear processes," MPRA Paper 13224, University Library of Munich, Germany. [Downloadable!]
    Published as:

  4. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany. [Downloadable!]

  5. Amendola, Alessandra & Francq, Christian, 2009. "Concepts and tools for nonlinear time series modelling," MPRA Paper 15140, University Library of Munich, Germany. [Downloadable!]

  6. Francq, Christian & Zakoian, Jean-Michel, 2009. "Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models," MPRA Paper 15147, University Library of Munich, Germany. [Downloadable!]

  7. Christian Francq ; Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Centre de Recherche en Economie et Statistique, revised Mar 2008. [Downloadable!]

  8. Christian Francq ; Jean-Michel Zakoïan, 2008. "Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero," Working Papers 2008-07, Centre de Recherche en Economie et Statistique, revised Jul 2008. [Downloadable!]

  9. Christian Francq ; Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Centre de Recherche en Economie et Statistique, revised Apr 2008. [Downloadable!]
    Other versions:
    Published as:

  10. Christian Francq ; Jean-Michel Zakoïan, 2008. "Can One Really Estimate Nonstationary GARCH Models ?," Working Papers 2008-06, Centre de Recherche en Economie et Statistique, revised Jun 2008. [Downloadable!]

  11. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany. [Downloadable!]

  12. Christian Francq ; Jean-Michel Zakoïan, 2008. "Barlett’s Formula for Non Linear Processes," Working Papers 2008-05, Centre de Recherche en Economie et Statistique, revised May 2008. [Downloadable!]

  13. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics. [Downloadable!]

  14. Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan, 2006. "Stochastic unit-root bilinear processes," Computing in Economics and Finance 2006 63, Society for Computational Economics.

  15. Christian Francq ; Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Centre de Recherche en Economie et Statistique. [Downloadable!]
    Published as:

  16. Christian Francq ; Jean-Michel Zakoïan, 2000. "Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations," Working Papers 2000-47, Centre de Recherche en Economie et Statistique. [Downloadable!]

  17. BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, 2000. "Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," CORE Discussion Papers 2000033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  18. Christian Francq & Michel Roussignol & Jean-Michel Zakoian, . "Conditional heteroskedasticity driven by hidden Markov chains," Sonderforschungsbereich 373 1998-86, Humboldt Universitaet Berlin.
    Other versions:

  19. Christian Francq ; Jean-Michel Zakoïan, . "Estimating Weak Garch Representations," Working Papers 97-40, Centre de Recherche en Economie et Statistique. [Downloadable!]
    Published as:

  20. Laurence Broze ; Christian Francq ; Jean-Michel Zakoïan, . "Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes," Working Papers 99-56, Centre de Recherche en Economie et Statistique. [Downloadable!]

  21. Christian Francq ; Jean-Michel Zakoïan, . "Linear-Representations Based Estimation of Switching-Regime GARCH Models," Working Papers 99-57, Centre de Recherche en Economie et Statistique. [Downloadable!]

  22. Christian Francq ; Jean-Michel Zakoïan, . "Covariance Matrix Estimation for Estimators of Mixing Wold's Arma," Working Papers 97-19, Centre de Recherche en Economie et Statistique. [Downloadable!]

Articles

  1. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324. [Downloadable!] (restricted)
    Other versions:

  2. Christian Francq & Jean-Michel Zakoïan, 2009. "Bartlett's formula for a general class of nonlinear processes," Journal of Time Series Analysis, Blackwell Publishing, vol. 30(4), pages 449-465, 07. [Downloadable!] (restricted)
    Other versions:

  3. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January. [Downloadable!] (restricted)

  4. Francq, Christian & ZakoI¨an, Jean-Michel, 2008. "Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3027-3046, February. [Downloadable!] (restricted)

  5. Christian Francq & Hamdi Raïssi, 2007. "Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors," Journal of Time Series Analysis, Blackwell Publishing, vol. 28(3), pages 454-470, 05. [Downloadable!] (restricted)

  6. Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January. [Downloadable!] (restricted)

  7. Amendola, Alessandra & Francq, Christian & Koopman, Siem Jan, 2006. "Special Issue on Nonlinear Modelling and Financial Econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2115-2117, December. [Downloadable!] (restricted)

  8. Ahmed El Ghini & Christian Francq, 2006. "Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(6), pages 843-855, November. [Downloadable!] (restricted)

  9. CHRISTIAN FRANCQ & JEAN-MICHEL ZAKOÏAN, 2006. "Linear-representation Based Estimation of Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 33(4), pages 785-806. [Downloadable!] (restricted)

  10. Francq, Christian & Zako an, Jean-Michel, 2006. "Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process," Econometric Theory, Cambridge University Press, vol. 22(05), pages 815-834, October. [Downloadable!]

  11. Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June. [Downloadable!] (restricted)

  12. Francq, Christian & Zako an, Jean-Michel, 2005. "A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1165-1171, December. [Downloadable!]

  13. Christian Francq & Antony Gautier, 2004. "Large sample properties of parameter least squares estimates for time-varying arma models," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(5), pages 765-783, 09. [Downloadable!] (restricted)

  14. Francq, Christian & Gautier, Antony, 2004. "Estimation of time-varying ARMA models with Markovian changes in regime," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 243-251, December. [Downloadable!] (restricted)

  15. Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Annals of the Institute of Statistical Mathematics, Springer, vol. 55(1), pages 41-68, March. [Downloadable!] (restricted)

  16. Francq, Christian & Zako an, Jean-Michel, 2002. "Comments On The Paper By Minxian Yang:," Econometric Theory, Cambridge University Press, vol. 18(03), pages 815-818, June. [Downloadable!]

  17. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June. [Downloadable!] (restricted)
    Other versions:

  18. Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel, 2001. "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 71(3), pages 317-322, June. [Downloadable!] (restricted)
    Other versions:

  19. Francq, Christian & Zako an, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 692-728, October. [Downloadable!]
    Other versions:

  20. Alain Berlinet & Christian Francq, 1998. "On the Identifiability of Minimal VARMA Representations," Statistical Inference for Stochastic Processes, Springer, vol. 1(1), pages 1-15, January. [Downloadable!] (restricted)

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (8) 2006-07-15 2009-02-14 2009-05-16 2009-05-16 2009-05-16 2009-05-16 2009-08-16 2009-08-30 Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2006-07-15 2009-02-14 2009-05-16 2009-05-16 2009-05-16 2009-05-16 2009-08-16 2009-08-30 Author is listed
  3. NEP-FOR: Forecasting (1) 2009-05-16
  4. NEP-MIC: Microeconomics (1) 2009-08-30
  5. NEP-ORE: Operations Research (4) 2009-02-14 2009-05-16 2009-05-16 2009-05-16 Author is listed
  6. NEP-RMG: Risk Management (1) 2009-05-16
Did you know? RePEc stands for Research Papers in Economics.

This page was last updated on 2009-11-15.

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