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Antony Gautier

Personal Details

First Name:Antony
Middle Name:
Last Name:Gautier
Suffix:
RePEc Short-ID:pga334
http://perso.univ-lille3.fr/~agautier/

Affiliation

UFR Mathématiques Sciences Économiques et Sociales
Université Charles-de-Gaulle (Lille 3)

Lille, France
http://www.univ-lille3.fr/portail/index.php?page=Mses

: 03.20.41.62.37


RePEc:edi:umli3fr (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. 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.
  2. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. 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.

    Cited by:

    1. Nazim Regnard & Jean-Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
    2. Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
    3. Rajae R. Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.

  2. 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.

    Cited by:

    1. Nazim Regnard & Jean-Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
    2. Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
    3. Rajae R. Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.
    4. K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
    5. Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.

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