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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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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
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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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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
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Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian; Jiménez-Gamero, M. D.; Meintanis, S. G. - In: Journal of econometrics 196 (2017) 2, pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
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A new class of robust observation-driven models
Blasques, Francisco; Francq, Christian; Laurent, Sébastien - 2020
This paper introduces a new class of observation-driven models, including score models as a special case. This new class inherits and extends the basic ideas behind the development of score models and addresses a number of unsolved issues in the score literature. In particular, the new class of...
Persistent link: https://www.econbiz.de/10012299806
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QML inference for volatility models with covariates
Francq, Christian; Le Quyen Thieu - In: Econometric theory 35 (2019) 1, pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
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Count and duration time series with equal conditional stochastic and mean orders
Aknouche, Abdelhakim; Francq, Christian - In: Econometric theory 37 (2021) 2, pp. 248-280
Persistent link: https://www.econbiz.de/10012505389
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Autoregressive conditional betas
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 238 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015073921