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Christian Francq

Personal Details

First Name:Christian
Middle Name:
Last Name:Francq
Suffix:
RePEc Short-ID:pfr109
[This author has chosen not to make the email address public]
http://christian.francq140.free.fr/
Terminal Degree: (from RePEc Genealogy)

Affiliation

Centre de Recherche en Économie et Statistique (CREST)

Palaiseau, France
http://crest.science/
RePEc:edi:crestfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Maxime Boucher & Christian Francq & Yuichi Goto & Thomas Verdebout, 2027. "On Runs Tests for Directional Data and Their Local and Asymptotic Optimality Properties," Post-Print hal-05430901, HAL.
  2. Wojciech Charemza & Christian Francq & Radu Lupu & Svetlana Makarova & Jean-Michel Zakoïan, 2025. "Testing for the footprints of stabilization economic policy in forecast errors," Post-Print hal-05430912, HAL.
  3. Christian Francq & Jean-Michel Zakoïan, 2025. "Finite moments testing in a general class of nonlinear time series models," Post-Print hal-05417035, HAL.
  4. Christian Francq & Jean-Michel Zakoïan, 2025. "Inference on dynamic systemic risk measures," Post-Print hal-05417049, HAL.
  5. Francq, Christian & Trapani, Lorenzo & Zakoian, Jean-Michel, 2025. "Inference on breaks in weak location time series models with quasi-Fisher scores," MPRA Paper 123741, University Library of Munich, Germany.
  6. Christian Francq & Christophe Hurlin & Sébastien Laurent & Jean‐michel Zakoïan, 2025. "Time Series for QFFE: Special Issue of the Journal of Time Series Analysis," Post-Print hal-05443886, HAL.
  7. F. Blasques & Christian Francq & Sébastien Laurent, 2024. "Autoregressive conditional betas," Post-Print hal-05417169, HAL.
  8. Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.
  9. F. Blasques & Christian Francq & Sébastien Laurent, 2024. "Autoregressive conditional betas," Post-Print hal-04676069, HAL.
  10. Christian Francq & Jean‐michel Zakoïan, 2023. "Optimal estimating function for weak location‐scale dynamic models," Post-Print hal-05417208, HAL.
  11. Abdelhakim Aknouche & Christian Francq, 2023. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," Post-Print hal-05417229, HAL.
  12. F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
  13. Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2023. "Inference On Garch-Midas Models Without Any Small-Order Moment," Post-Print hal-05417192, HAL.
  14. Christian Francq & Jean-Michel Zakoïan, 2023. "Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models," Post-Print hal-05417201, HAL.
  15. F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-05417225, HAL.
  16. Christian Francq & Thomas Verdebout & Jean-Michel Zakoian, 2023. "Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models," Post-Print hal-05417181, HAL.
  17. Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.
  18. Christian Francq & Jean-Michel Zakoïan, 2022. "Testing the existence of moments for GARCH processes," Post-Print hal-05417262, HAL.
  19. Christian Francq & Jean-Michel Zakoian, 2022. "Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models," Post-Print hal-05417197, HAL.
  20. Christian Francq & Jean-Michel Zakoïan, 2022. "Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models," Post-Print hal-05417235, HAL.
  21. Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022. "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers 2022-09, Center for Research in Economics and Statistics.
  22. Christian Francq & Jean-Michel Zakoïan, 2022. "Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models," Working Papers 2022-06, Center for Research in Economics and Statistics.
  23. Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
  24. Abdelhakim Aknouche & Christian Francq, 2021. "Stationarity and ergodicity of Markov switching positive conditional mean models," Post-Print hal-05417251, HAL.
  25. Christian Francq & Genaro Sucarrat, 2021. "Volatility Estimation When the Zero-Process is Nonstationary," Post-Print hal-05417244, HAL.
  26. S. Cervello & J. Dubreucq & M. Trichanh & A. Dubrulle & I. Amado & M. Bralet & M. Chirio-Espitalier & S. Delille & E. Fakra & Christian Francq & N. Guillard-Bouhet & J. Graux & C. Lançon & J. Zakoian , 2021. "Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial," Post-Print hal-05431336, HAL.
  27. Aknouche, Abdelhakim & Francq, Christian, 2020. "Stationarity and ergodicity of Markov switching positive conditional mean models," MPRA Paper 102503, University Library of Munich, Germany.
  28. Christian Francq & Jean-Michel Zakoïan, 2020. "Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models," Working Papers hal-02898909, HAL.
  29. Christian Francq & Jean-Michel Zakoïan, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Post-Print hal-05417259, HAL.
  30. Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
  31. Abdelhakim Aknouche & Christian Francq, 2020. "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Post-Print hal-05417254, HAL.
  32. Aknouche, Abdelhakim & Francq, Christian, 2019. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper 97382, University Library of Munich, Germany.
  33. Christian Francq & Jean‐michel Zakoian, 2019. "GARCH Models," Post-Print hal-05430939, HAL.
  34. Francq, Christian & Zakoian, Jean-Michel, 2019. "Testing the existence of moments for GARCH processes," MPRA Paper 98892, University Library of Munich, Germany.
  35. Christian Francq & Jean-Michel Zakoian, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers 1909.04661, arXiv.org.
  36. Clément Cerovecki & Christian Francq & Siegfried Hörmann & Jean-Michel Zakoïan, 2019. "Functional GARCH models: The quasi-likelihood approach and its applications," Post-Print hal-05417265, HAL.
  37. Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018. "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper 83990, University Library of Munich, Germany.
  38. Christian Francq & Le Quyen Thieu, 2018. "Qml Inference For Volatility Models With Covariates," Post-Print hal-05417285, HAL.
  39. Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
  40. Aknouche, Abdelhakim & Francq, Christian, 2018. "Count and duration time series with equal conditional stochastic and mean orders," MPRA Paper 90838, University Library of Munich, Germany.
  41. Pierre Duchesne & Christian Francq, 2018. "On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and," Post-Print hal-05417902, HAL.
  42. Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-05417292, HAL.
  43. Christian Francq & Jean-Michel Zakoïan, 2018. "Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models," Post-Print hal-05417295, HAL.
  44. Christian Francq & Genaro Sucarrat, 2018. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," Post-Print hal-05417304, HAL.
  45. Christian Francq & Genaro Sucarrat, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Post-Print hal-05417319, HAL.
  46. Christian Francq & M.D. Jiménez-Gamero & S.G. Meintanis, 2017. "Tests for conditional ellipticity in multivariate GARCH models," Post-Print hal-05417316, HAL.
  47. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating Multivariate Volatility Models Equation by Equation," Post-Print hal-05417324, HAL.
  48. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero," Post-Print hal-05417906, HAL.
  49. Christian Francq & Jean-Michel Zakoïan, 2016. "Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels," Post-Print hal-05430924, HAL.
  50. Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Post-Print hal-01500747, HAL.
  51. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Post-Print hal-05417486, HAL.
  52. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2016. "Goodness-of-fit tests for Log-GARCH and EGARCH models," Post-Print hal-05417313, HAL.
  53. Ali Ahmad & Christian Francq, 2015. "Poisson QMLE of Count Time Series Models," Post-Print hal-01533548, HAL.
  54. Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2015. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Post-Print hal-05417346, HAL.
  55. Francq, Christian & Thieu, Le Quyen, 2015. "Qml inference for volatility models with covariates," MPRA Paper 63198, University Library of Munich, Germany.
  56. Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
  57. Christian Francq & Jean-Michel Zakoïan, 2015. "Risk-parameter estimation in volatility models," Post-Print hal-05417474, HAL.
  58. Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
  59. Christian Francq & Simos Meintanis, 2015. "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Post-Print hal-05417341, HAL.
  60. Ali Ahmad & Christian Francq, 2015. "Poisson QMLE of Count Time Series Models," Post-Print hal-05417334, HAL.
  61. Francq, Christian & Sucarrat, Genaro, 2015. "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper 67140, University Library of Munich, Germany.
  62. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
  63. Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
  64. Pierre Duchesne & Christian Francq, 2014. "Multivariate hypothesis testing using generalized and {2}-inverses – with applications," Post-Print hal-05417482, HAL.
  65. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Center for Research in Economics and Statistics.
  66. Ahmad, Ali & Francq, Christian, 2014. "Poisson qmle of count time series models," MPRA Paper 59804, University Library of Munich, Germany.
  67. Christian Francq & Jean-Michel Zakoïan, 2014. "Comment," Post-Print hal-05431338, HAL.
  68. Christian Francq & Jean-Michel Zakoïan, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Post-Print hal-05430959, HAL.
  69. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal Predictions of Powers of Conditionally Heteroscedastic Processes," Post-Print hal-05417520, HAL.
  70. Francq, Christian & Sucarrat, Genaro, 2013. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper 51783, University Library of Munich, Germany.
  71. Christian Francq & Jean-Michel Zakoïan, 2013. "Inference in nonstationary asymmetric GARCH models," Post-Print hal-05417494, HAL.
  72. Christian Francq & Jean-Michel Zakoïan, 2013. "Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions," Post-Print hal-05417510, HAL.
  73. Christian Francq & Jean-Michel Zakoian, 2013. "Inference in Non Stationary Asymmetric Garch Models," Working Papers 2013-11, Center for Research in Economics and Statistics.
  74. El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013. "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper 51150, University Library of Munich, Germany.
  75. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Post-Print hal-05417502, HAL.
  76. Y. Boubacar Mainassara & M. Carbon & Christian Francq, 2012. "Computing and estimating information matrices of weak ARMA models," Post-Print hal-05417544, HAL.
  77. Christan Francq & Jean-Michel Zakoian, 2012. "Optimal Predictions of Powers of Conditionally Heteroskedastic Processes," Working Papers 2012-17, Center for Research in Economics and Statistics.
  78. Stéphane Auray & Christian Francq & Jean-Michel Zakoian, 2012. "Quelques remarques sur les prix Nobel 2011 d’économie et la modélisation des séries économiques," Post-Print hal-05431342, HAL.
  79. Francq, Christian & Meintanis, Simos, 2012. "Fourier--type estimation of the power garch model with stable--paretian innovations," MPRA Paper 41667, University Library of Munich, Germany.
  80. David Belsley & Cathy W.S. Chen & Christian Francq & Giampiero Gallo & Lynda Khalaf & Erricos John Kontoghiorghes & Herman van Dijk, 2012. "The sixth special issue on computational econometrics," Post-Print hal-05431349, HAL.
  81. Francq, Christian & Zakoian, Jean-Michel, 2012. "Risk-parameter estimation in volatility models," MPRA Paper 41713, University Library of Munich, Germany.
  82. Christian Francq & Jean-Michel Zakoïan, 2012. "Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models," Post-Print hal-05417534, HAL.
  83. Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.
  84. Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Center for Research in Economics and Statistics.
  85. Christian Francq & Jean-Michel Zakoïan, 2011. "Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models," Post-Print hal-05417552, HAL.
  86. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Post-Print hal-05417839, HAL.
  87. Michel Carbon & Christian Francq, 2011. "Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models," Post-Print hal-05431360, HAL.
  88. Christian Francq & Guillaume Lepage & Jean-Michel Zakoïan, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Post-Print hal-05417560, HAL.
  89. Y. Boubacar Mainassara & Christian Francq, 2011. "Estimating structural VARMA models with uncorrelated but non-independent error terms," Post-Print hal-05417844, HAL.
  90. Duchesne, Pierre & Francq, Christian, 2010. "On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses," MPRA Paper 19740, University Library of Munich, Germany.
  91. Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print hal-05417866, HAL.
  92. Michel Carbon & Christian Francq & Lanh Tat Tran, 2010. "Asymptotic normality of frequency polygons for random fields," Post-Print hal-05417870, HAL.
  93. Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
  94. Sophie Dabo-Niang & Christian Francq & Jean-Michel Zakoïan, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Post-Print hal-05417860, HAL.
  95. Boubacar Mainassara, Yacouba & Carbon, Michel & Francq, Christian, 2010. "Computing and estimating information matrices of weak arma models," MPRA Paper 27685, University Library of Munich, Germany.
  96. Carbon, Michel & Francq, Christian, 2010. "Portmanteau goodness-of-fit test for asymmetric power GARCH models," MPRA Paper 27686, University Library of Munich, Germany.
  97. Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print hal-00732536, HAL.
  98. Francq, Christian & Zakoian, Jean-Michel, 2010. "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process," MPRA Paper 20779, University Library of Munich, Germany.
  99. Christian Francq & Jean-Michel Zakoïan, 2009. "Modèles Garch : Structure, inférence statistique et applications financières," Post-Print hal-05430936, HAL.
  100. Amendola, Alessandra & Christian, Francq, 2009. "Concepts and tools for nonlinear time series modelling," MPRA Paper 15140, University Library of Munich, Germany.
  101. Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Sup-Tests for Linearity in a General Nonlinear AR(1) Model," Working Papers 2009-16, Center for Research in Economics and Statistics.
  102. Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Center for Research in Economics and Statistics.
  103. Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Merits and Drawbacks of Variance Targeting in GARCH Models," Working Papers 2009-17, Center for Research in Economics and Statistics.
  104. Christian Francq & Jean‐michel Zakoïan, 2009. "Bartlett's formula for a general class of nonlinear processes," Post-Print hal-05417890, HAL.
  105. Christian Francq & Jean-Michel Zakoïan, 2009. "A Tour in the Asymptotic Theory of GARCH Estimation," Post-Print hal-05417896, HAL.
  106. 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.
  107. 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.
  108. Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Properties of the QMLE and the Weighted LSE for LARCH(q) Models," Working Papers 2009-19, Center for Research in Economics and Statistics.
  109. 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.
  110. 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.
  111. Alessandra Amendola & Christian Francq, 2009. "Concepts of and tools for Nonlinear Time-Series Modelling," Post-Print hal-05417886, HAL.
  112. Christian Francq & Jean-Michel Zakoïan, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Post-Print hal-05417892, HAL.
  113. Christian Francq & Jean-Michel Zakoïan, 2008. "Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero," Working Papers 2008-07, Center for Research in Economics and Statistics.
  114. 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.
  115. Christian Francq & Jean-Michel Zakoïan, 2008. "Can One Really Estimate Nonstationary GARCH Models ?," Working Papers 2008-06, Center for Research in Economics and Statistics.
  116. Christian Francq & Jean-Michel Zakoïan, 2008. "Barlett’s Formula for Non Linear Processes," Working Papers 2008-05, Center for Research in Economics and Statistics.
  117. 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, Center for Research in Economics and Statistics.
  118. Alain Berlinet & Christian Francq, 2008. "Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariés," Post-Print hal-05431291, HAL.
  119. Christian Francq & Svetlana Makarova, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Post-Print hal-05417904, HAL.
  120. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
  121. Christian Francq & Jean-Michel Zakoïan, 2008. "Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference," Post-Print hal-05417908, HAL.
  122. Michel Carbon & Christian Francq & Lanh Tat Tran, 2007. "Kernel regression estimation for random fields," Post-Print hal-05431361, HAL.
  123. Christian Francq & Jean-Michel Zakoian, 2007. "Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero," Post-Print hal-05417913, HAL.
  124. Christian Francq & Jean-Michel Zakoïan, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Post-Print hal-05417909, HAL.
  125. Christian Francq & Jean-Michel Zakoïan, 2006. "On Efficient Inference in GARCH Processes," Post-Print hal-05431229, HAL.
  126. Christian Francq & Jean‐michel Zakoïan, 2006. "Linear‐representation Based Estimation of Stochastic Volatility Models," Post-Print hal-05431364, HAL.
  127. Christian Francq & Jean-Michel Zakoïan, 2006. "Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process," Post-Print hal-05431365, HAL.
  128. 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.
  129. Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan, 2006. "Stochastic unit-root bilinear processes," Computing in Economics and Finance 2006 63, Society for Computational Economics.
  130. Ahmed El Ghini & Christian Francq, 2006. "Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations," Post-Print hal-05431363, HAL.
  131. Alessandra Amendola & Christian Francq & Siem Jan Koopman, 2006. "Special Issue on Nonlinear Modelling and Financial Econometrics," Post-Print hal-05431350, HAL.
  132. Christian Francq & Roch Roy & Jean-Michel Zakoïan, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Post-Print hal-05431367, HAL.
  133. Christian Francq & Jean-Michel Zakoïan, 2005. "The L 2 -structures of standard and switching-regime GARCH models," Post-Print hal-05431368, HAL.
  134. Christian Francq & Jean-Michel Zakoïan, 2005. "A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size," Post-Print hal-05431370, HAL.
  135. Christian Francq & Jean-Michel Zakoïan, 2005. "Recent Results for Linear Time Series Models with Non Independent Innovations," Post-Print hal-05431232, HAL.
  136. Christian Francq & Jean-Michel Zakoïan, 2004. "Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes," Post-Print hal-05431371, HAL.
  137. Christian Francq & Antony Gautier, 2004. "Estimation of time-varying ARMA models with Markovian changes in regime," Post-Print hal-05431377, HAL.
  138. Christian Francq & Antony Gautier, 2004. "Estimation de modèles ARMA à changements de régime récurrents," Post-Print hal-05431237, HAL.
  139. Christian Francq & Antony Gautier, 2004. "Large sample properties of parameter least squares estimates for time‐varying arma models," Post-Print hal-05431374, HAL.
  140. Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Post-Print hal-05431379, HAL.
  141. Christian Francq & Lanh Tat Tran, 2002. "Nonparametric estimation of density, regression and dependence coefficients," Post-Print hal-05431380, HAL.
  142. Laurence Broze & Christian Francq & Jean‐michel Zakoïan, 2002. "Efficient use of higher‐lag autocorrelations for estimating autoregressive processes," Post-Print hal-05431269, HAL.
  143. Christian Francq & Jean-Michel Zakoïan, 2002. "Autocovariance structure of powers of switching-regime ARMA Processes," Post-Print hal-05431262, HAL.
  144. Christian Francq & Jean-Michel Zakoïan, 2002. "Comments On The Paper By Minxian Yang: “Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients”," Post-Print hal-05431267, HAL.
  145. BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, 2002. "Efficient use of higher-lag autocorrelations for estimating autoregressive processes," LIDAM Reprints CORE 1580, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  146. Christian Francq & Michel Roussignol, 2001. "On White Noises Driven by Hidden Markov Chains," Post-Print hal-05431304, HAL.
  147. Laurence Broze & Christian Francq & Jean-Michel Zakoı̈an, 2001. "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Post-Print hal-05431272, HAL.
  148. Christian Francq & J.-M. Zakoı̈an, 2001. "Stationarity of multivariate Markov–switching ARMA models," Post-Print hal-05431274, HAL.
  149. Christian Francq & Michel Roussignol & Jean‐michel Zakoian, 2001. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Post-Print hal-05431276, HAL.
  150. Alain Berlinet & Christian Francq, 2001. "On Bartlett’s Formula for Non‐linear Processes," Post-Print hal-05431305, HAL.
  151. Christian Francq & Jean-Michel Zakoïan, 2000. "Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations," Working Papers 2000-47, Center for Research in Economics and Statistics.
  152. Christian Francq & Michel Roussignol & Jean-Michel Zakoı̈an, 2000. "Modèles ARCH avec changement de régime markovien," Post-Print hal-05431239, HAL.
  153. Christian Francq & Jean-Michel Zakoïan, 2000. "Stationnarité des modèles ARMA à changement de régime markovien," Post-Print hal-05431243, HAL.
  154. Christian Francq & Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Center for Research in Economics and Statistics.
  155. Christian Francq & J.M. Zakoïan, 2000. "Multivariate arma models with generalized autoregressive linear innovation," Post-Print hal-05431283, HAL.
  156. BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, 2000. "Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," LIDAM Discussion Papers CORE 2000033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  157. Christian Francq & Jean-Michel Zakoïan, 2000. "Estimating Weak Garch Representations," Post-Print hal-05431279, HAL.
  158. Christian Francq & Jean-Michel Zakoı̈an, 2000. "Covariance matrix estimation for estimators of mixing weak ARMA models," Post-Print hal-05431281, HAL.
  159. Christian Francq, 1999. "Arma models with bilinear innovations," Post-Print hal-05431296, HAL.
  160. Laurence Broze & Christian Francq & Jean-Michel Zakoïan, 1999. "Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes," Working Papers 99-56, Center for Research in Economics and Statistics.
  161. Christian Francq & Jean-Michel Zakoïan, 1999. "Linear-Representations Based Estimation of Switching-Regime GARCH Models," Working Papers 99-57, Center for Research in Economics and Statistics.
  162. Alain Berlinet & Christian Francq, 1998. "On the Identifiability of Minimal VARMA Representations," Post-Print hal-05431297, HAL.
  163. Christian Francq & Michel Roussignol & Jean-Michel Zakoïan, 1998. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Working Papers 98-45, Center for Research in Economics and Statistics.
  164. Christian Francq & Jean-Michel Zakoïan, 1998. "Estimation de représentations GARCH faibles," Post-Print hal-05431246, HAL.
  165. Christian Francq & Michel Roussignol, 1998. "Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator," Post-Print hal-05431301, HAL.
  166. Christian Francq & Jean-Michel Zakoïan, 1998. "Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles," Post-Print hal-05431248, HAL.
  167. Christian Francq & Jean-Michel Zakoïan, 1998. "Estimating linear representations of nonlinear processes," Post-Print hal-05431303, HAL.
  168. Christian Francq & Jean-Michel Zakoïan, 1997. "Estimating Weak Garch Representations," Working Papers 97-40, Center for Research in Economics and Statistics.
  169. Christian Francq & Jean-Michel Zakoïan, 1997. "Covariance Matrix Estimation for Estimators of Mixing Wold's Arma," Working Papers 97-19, Center for Research in Economics and Statistics.
  170. Christian Francq & Michel Menvielle, 1996. "A model for the Am (Km) planetary geomagnetic activity index and application to prediction," Post-Print hal-05431308, HAL.
  171. Alain Berlinet & Christian Francq, 1994. "Identification of a univariate ARMA model," Post-Print hal-05431334, HAL.
  172. Alain Berlinet & Christian Francq, 1990. "Stationnarité et identification d'un processus bilinéaire strictement superdiagonal," Post-Print hal-05431332, HAL.

Articles

  1. Christian Francq & Christophe Hurlin & Sébastien Laurent & Jean‐Michel Zakoian, 2025. "Time Series for QFFE: Special Issue of the Journal of Time Series Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 46(2), pages 214-215, March.
  2. Wojciech Charemza & Christian Francq & Radu Lupu & Svetlana Makarova & Jean-Michel Zakoïan, 2025. "Testing for the footprints of stabilization economic policy in forecast errors," PLOS ONE, Public Library of Science, vol. 20(12), pages 1-23, December.
  3. Francq, Christian & Zakoïan, Jean-Michel, 2025. "Inference on dynamic systemic risk measures," Journal of Econometrics, Elsevier, vol. 247(C).
  4. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2024. "Autoregressive conditional betas," Journal of Econometrics, Elsevier, vol. 238(2).
  5. Francq, Christian & Kandji, Baye Matar & Zakoian, Jean-Michel, 2024. "Inference On Garch-Midas Models Without Any Small-Order Moment," Econometric Theory, Cambridge University Press, vol. 40(6), pages 1422-1455, December.
  6. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023. "Quasi score-driven models," Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
  7. Aknouche, Abdelhakim & Francq, Christian, 2023. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," Journal of Econometrics, Elsevier, vol. 237(2).
  8. Christian Francq & Jean-Michel Zakoïan, 2023. "Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1443-1482.
  9. Christian Francq & Jean‐Michel Zakoïan, 2023. "Optimal estimating function for weak location‐scale dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 533-555, September.
  10. Francq, Christian & Zakoian, Jean-Michel, 2023. "Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models," Econometric Theory, Cambridge University Press, vol. 39(5), pages 1067-1092, October.
  11. Abdelhakim Aknouche & Christian Francq, 2022. "Stationarity and ergodicity of Markov switching positive conditional mean models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 436-459, May.
  12. Christian Francq & Genaro Sucarrat, 2022. "Volatility Estimation When the Zero-Process is Nonstationary," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 53-66, December.
  13. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
  14. Aknouche, Abdelhakim & Francq, Christian, 2021. "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Econometric Theory, Cambridge University Press, vol. 37(2), pages 248-280, April.
  15. Francq, Christian & Zakoïan, Jean-Michel, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
  16. Francq, Christian & Thieu, Le Quyen, 2019. "Qml Inference For Volatility Models With Covariates," Econometric Theory, Cambridge University Press, vol. 35(1), pages 37-72, February.
  17. Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel, 2019. "Functional GARCH models: The quasi-likelihood approach and its applications," Journal of Econometrics, Elsevier, vol. 209(2), pages 353-375.
  18. Francq, Christian & Zakoïan, Jean-Michel, 2018. "Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models," Journal of Econometrics, Elsevier, vol. 205(2), pages 381-401.
  19. Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  20. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2018. "Goodness-of-fit tests for Log-GARCH and EGARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 27-51, March.
  21. Christian Francq & Genaro Sucarrat, 2018. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 129-154.
  22. Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
  23. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
  24. Christian Francq & Jean-Michel Zakoïan, 2016. "Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels," Annals of Economics and Statistics, GENES, issue 123-124, pages 9-28.
  25. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
  26. Ali Ahmad & Christian Francq, 2016. "Poisson QMLE of Count Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 291-314, May.
  27. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
  28. Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
  29. Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
  30. Francq, Christian & Zakoïan, Jean-Michel, 2015. "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, vol. 184(1), pages 158-173.
  31. Christian Francq & Jean-Michel Zakoïan, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 198-201, April.
  32. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, March.
  33. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
  34. Christian Francq & Jean-Michel Zakoïan, 2013. "Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 412-425, October.
  35. Francq, Christian & Zakoïan, Jean-Michel, 2012. "Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models," Econometric Theory, Cambridge University Press, vol. 28(1), pages 179-206, February.
  36. Christian Francq & Jean‐Michel Zakoïan, 2012. "Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models," Econometrica, Econometric Society, vol. 80(2), pages 821-861, March.
  37. Boubacar Mainassara, Y. & Carbon, M. & Francq, C., 2012. "Computing and estimating information matrices of weak ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 345-361.
  38. Boubacar Mainassara, Y. & Francq, C., 2011. "Estimating structural VARMA models with uncorrelated but non-independent error terms," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 496-505, March.
  39. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
  40. Christian Francq & Lajos Horváth, 2011. "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 9(4), pages 619-656.
  41. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.
  42. Francq, Christian & Horvath, Lajos & Zakoïan, Jean-Michel, 2010. "Sup-Tests For Linearity In A General Nonlinear Ar(1) Model," Econometric Theory, Cambridge University Press, vol. 26(4), pages 965-993, August.
  43. Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
  44. Francq, Christian & Zakoïan, Jean-Michel, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
  45. Christian Francq & Jean‐Michel Zakoïan, 2009. "Bartlett's formula for a general class of nonlinear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 449-465, July.
  46. 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.
  47. 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.
  48. 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.
  49. Christian Francq & Hamdi Raïssi, 2007. "Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 454-470, May.
  50. Francq, Christian & Zakoian, Jean-Michel, 2007. "Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1265-1284, September.
  51. 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.
  52. 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.
  53. 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, Wiley Blackwell, vol. 27(6), pages 843-855, November.
  54. 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;Swedish Statistical Association, vol. 33(4), pages 785-806, December.
  55. Francq, Christian & Zakoïan, 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(5), pages 815-834, October.
  56. 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.
  57. Francq, Christian & Zakoïan, 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(6), pages 1165-1171, December.
  58. Francq, Christian & ZakoI¨an, Jean-Michel, 2005. "The L2-structures of standard and switching-regime GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1557-1582, September.
  59. 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.
  60. Christian Francq & Antony Gautier, 2004. "Large sample properties of parameter least squares estimates for time‐varying arma models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 765-783, September.
  61. Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 41-68, March.
  62. Laurence Broze & Christian Francq & Jean‐Michel Zakoïan, 2002. "Efficient use of higher‐lag autocorrelations for estimating autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(3), pages 287-312, May.
  63. Francq, Christian & Zakoïan, Jean-Michel, 2002. "Comments On The Paper By Minxian Yang: “Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients”," Econometric Theory, Cambridge University Press, vol. 18(3), pages 815-818, June.
  64. 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.
  65. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
  66. Christian Francq & Michel Roussignol & Jean‐Michel Zakoian, 2001. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 197-220, March.
  67. Francq, Christian & Zakoïan, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, vol. 16(5), pages 692-728, October.
  68. 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.
  69. Alain Berlinet & Christian Francq, 1997. "On Bartlett’s Formula for Non‐linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(6), pages 535-552, November.
  70. Christian Francq & Michel Roussignol, 1997. "On White Noises Driven by Hidden Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(6), pages 553-578, November.

Chapters

  1. Christian Francq & Thomas Verdebout & Jean-Michel Zakoian, 2023. "Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models," Springer Books, in: Yan Liu & Junichi Hirukawa & Yoshihide Kakizawa (ed.), Research Papers in Statistical Inference for Time Series and Related Models, chapter 0, pages 123-153, Springer.
  2. Christian Francq & Jean-Michel Zakoïan, 2009. "A Tour in the Asymptotic Theory of GARCH Estimation," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 4, pages 85-111, Springer.
  3. Pierre Duchesne & Christian Francq, 2008. "On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and," Springer Books, in: Paula Brito (ed.), Compstat 2008, pages 143-154, Springer.
  4. Christian Francq & Jean-Michel Zakoïan, 2005. "Recent Results for Linear Time Series Models with Non Independent Innovations," Springer Books, in: Pierre Duchesne & Bruno RÉMillard (ed.), Statistical Modeling and Analysis for Complex Data Problems, chapter 0, pages 241-265, Springer.

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 50 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (45) 2006-07-15 2009-02-14 2009-05-16 2009-05-16 2009-05-16 2009-05-16 2009-08-16 2009-08-30 2010-01-16 2010-03-06 2010-04-24 2010-05-08 2011-01-03 2011-01-03 2011-02-19 2012-05-22 2012-09-30 2012-10-13 2012-10-13 2013-03-16 2013-11-09 2013-12-06 2014-03-15 2014-08-09 2015-01-19 2015-03-27 2015-10-17 2015-10-25 2015-10-25 2015-12-01 2018-02-19 2018-02-19 2019-01-21 2019-09-16 2020-01-13 2020-03-16 2020-08-17 2020-09-07 2020-11-02 2021-03-15 2021-11-22 2022-04-25 2022-06-20 2023-05-15 2024-07-15. Author is listed
  2. NEP-ETS: Econometric Time Series (39) 2006-07-15 2009-02-14 2009-05-16 2009-05-16 2009-05-16 2009-05-16 2009-08-16 2009-08-30 2010-03-06 2010-04-24 2010-05-08 2011-01-03 2011-01-03 2012-05-22 2012-09-30 2012-10-06 2012-10-13 2013-03-16 2013-12-06 2014-03-15 2014-05-24 2014-08-09 2015-01-19 2015-03-27 2015-10-17 2015-10-25 2018-02-19 2018-02-19 2019-01-21 2020-01-13 2020-03-16 2020-08-17 2020-09-07 2020-11-02 2021-03-15 2021-11-22 2022-04-25 2022-06-20 2024-07-15. Author is listed
  3. NEP-ORE: Operations Research (19) 2009-02-14 2009-05-16 2009-05-16 2009-05-16 2010-04-24 2012-10-06 2014-03-15 2014-08-09 2015-01-19 2015-03-27 2015-12-01 2019-01-21 2019-09-23 2020-01-13 2020-03-16 2020-09-07 2021-03-15 2021-11-22 2022-04-25. Author is listed
  4. NEP-RMG: Risk Management (10) 2009-05-16 2012-05-22 2012-10-13 2013-11-09 2015-10-25 2015-12-01 2019-05-20 2019-09-16 2019-09-23 2022-06-20. Author is listed
  5. NEP-FOR: Forecasting (4) 2009-05-16 2010-04-24 2012-10-06 2026-01-19
  6. NEP-CIS: Confederation of Independent States (2) 2011-02-19 2026-01-19
  7. NEP-MIC: Microeconomics (2) 2009-08-30 2010-05-08
  8. NEP-BEC: Business Economics (1) 2019-05-20
  9. NEP-CMP: Computational Economics (1) 2019-09-16
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2011-02-19

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