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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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Optimal predictions of powers of conditionally heteroskedastic processes
Francq, Christian; Zakoïan, Jean-Michael - 2012
Persistent link: https://www.econbiz.de/10009748872
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Inference in non stationary asymmetric GARCH models
Francq, Christian; Zakoïan, Jean-Michel - 2013
Persistent link: https://www.econbiz.de/10010348528
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Multi-level conditional VaR estimation in dynamic models
Francq, Christian; Zakoïan, Jean-Michel - 2014
Persistent link: https://www.econbiz.de/10010390368
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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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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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Estimating the marginal law of a time series with applications to heavy tailed distributions
Francq, Christian; Zakoïan, Jean-Michel - 2011
Persistent link: https://www.econbiz.de/10009552653
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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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A tour in the asymptotic theory of GARCH estimation
Francq, Christian; Zakoïan, Jean-Michel - In: Handbook of financial time series, (pp. 85-111). 2009
Persistent link: https://www.econbiz.de/10003833783
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A tour in the asymptotic theory of GARCH estimation
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755834