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Robust optimal tests for causality in multivariate time series
Saidi, Abdessamad; Roy, Roch - In: Econometric theory 24 (2008) 4, pp. 948-987
Persistent link: https://www.econbiz.de/10003736842
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ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
Saidi, Abdessamad; Roy, Roch - In: Econometric theory 24 (2008) 4, pp. 948-987
Persistent link: https://www.econbiz.de/10008069004
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Estimating weak GARCH representations
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 16 (2000) 5, pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
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A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 21 (2005) 6, pp. 1165-1171
Persistent link: https://www.econbiz.de/10003193583
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Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 22 (2006) 5, pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
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Inference on GARCH-MIDAS models without any small-order moment
Francq, Christian; Kandji, Baye Matar; Zakoïan, Jean-Michel - In: Econometric theory 40 (2024) 6, pp. 1422-1455
Persistent link: https://www.econbiz.de/10015374582
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QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 28 (2012) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
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Sup-tests for linearity in a general nonlinear AR(1) model
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Econometric theory 26 (2010) 4, pp. 965-993
Persistent link: https://www.econbiz.de/10003993816
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Count and duration time series with equal conditional stochastic and mean orders
Aknouche, Abdelhakim; Francq, Christian - In: Econometric theory 37 (2021) 2, pp. 248-280
Persistent link: https://www.econbiz.de/10012505389
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QML inference for volatility models with covariates
Francq, Christian; Le Quyen Thieu - In: Econometric theory 35 (2019) 1, pp. 37-72
Persistent link: https://www.econbiz.de/10012146117