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Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755835
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Barlett's formula for non linear processes
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755836
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Can one really estimate nonstationary GARCH models?
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755837
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Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755838
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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/10003878194
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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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A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 21 (2005) 6, pp. 1165-1171
Persistent link: https://www.econbiz.de/10003193583
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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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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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Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 2, pp. 223-247
Persistent link: https://www.econbiz.de/10011974730