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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - In: Journal of econometrics 101 (2001) 2, pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
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Stationarity of multivariateMarkov-switching ARMA models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 102 (2001) 2, pp. 339-364
Persistent link: https://www.econbiz.de/10001580640
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Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel - In: Journal of econometrics 165 (2011) 2, pp. 246-257
Persistent link: https://www.econbiz.de/10009409634
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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Inconsistency of the MLE and inference based on weighted LS for LARCH models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 159 (2010) 1, pp. 151-165
Persistent link: https://www.econbiz.de/10008839933
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A class of stochastic unit-root bilinear processes : mixing properties and unit-root test
Francq, Christian; Makarova, Svetlana D.; Zakoïan, … - In: Journal of econometrics 142 (2008) 1, pp. 312-326
Persistent link: https://www.econbiz.de/10003608201
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Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - In: Journal of econometrics 189 (2015) 2, pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried - In: Journal of econometrics 209 (2019) 2, pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307