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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10013162003
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Estimating the marginal law of a time series with applications to heavy-tailed distributions
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 412-425
Persistent link: https://www.econbiz.de/10010337860
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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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An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian; Sucarrat, Genaro - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
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Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian; Zakoïan, Jean-Michel - In: Annals of economics and statistics 123/124 (2016), pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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Estimating dynamic systemic risk measures
Cantin, Loïc; Francq, Christian; Zakoïan, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10013206985