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Conditional heteroskedasticity driven by hidden Markov chains
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel - 1998
Persistent link: https://www.econbiz.de/10000998050
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Non-redunance of high order moment conditions for efficient GMM estimation of weak AR processes
Broze, Laurence; Francq, Christian; Zakoïan, Jean-Michel - In: Economics letters 71 (2001) 3, pp. 317-322
Persistent link: https://www.econbiz.de/10001574253
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Estimating stochastic volatility models : a new approach based on ARMA representations
Francq, Christian; Zakoïan, Jean-Michel - 2000
Persistent link: https://www.econbiz.de/10001549029
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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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Covariance matrix estimation for estimators of mixing Wold's Arma
Francq, Christian; Zakoïan, Jean-Michel - 1997
Persistent link: https://www.econbiz.de/10000968635
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Estimating Linear Representations of Nonlinear Processes.
Francq, C.; Zakoian, J.M. - 1995
Persistent link: https://www.econbiz.de/10005671498
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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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Diagnostic checking in ARMA models with uncorrelated errors
Francq, Christian; Roy, Roch; Zakoïan, Jean-Michel - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 532-544
Persistent link: https://www.econbiz.de/10002929352
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 39 (2023) 5, pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807