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ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
Abramson, Ari; Cohen, Israel; Alexander, C.; Lazar, E.; … - In: Econometric theory 23 (2007) 3, pp. 485-500
Persistent link: https://www.econbiz.de/10007718227
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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. 246-258
Persistent link: https://www.econbiz.de/10009806620
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Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of the American Statistical Association : JASA 104 (2009) 485, pp. 313-324
Persistent link: https://www.econbiz.de/10008240467
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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/10010171390
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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/10007292703
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QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 28 (2011) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10009832944
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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. 151-166
Persistent link: https://www.econbiz.de/10008455131
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Stationarity of multivariate Markov-switching ARMA models
Francq, C.; Zakoi͏̈an, J.-M. - In: Journal of econometrics 102 (2001) 2, pp. 339-364
Persistent link: https://www.econbiz.de/10006774231
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A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
Regnard, Nazim; Zakoïan, Jean-Michel - In: Energy economics 33 (2011) 6, pp. 1240-1252
Persistent link: https://www.econbiz.de/10009807595
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ESTIMATION-ADJUSTED VAR
Gourieroux, Christian; Zakoïan, Jean-Michel - In: Econometric theory 29 (2013) 4, pp. 735-770
Persistent link: https://www.econbiz.de/10010155200