Francq, Christian; Zakoïan, Jean-Michel Optimal estimating function for weak location-scale dynamic models. (English) Zbl 07731493 J. Time Ser. Anal. 44, No. 5-6, 533-555 (2023). MSC: 62Mxx 62M10 91B84 60G10 62F12 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Time Ser. Anal. 44, No. 5--6, 533--555 (2023; Zbl 07731493) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel Virtual historical simulation for estimating the conditional VaR of large portfolios. (English) Zbl 1456.62246 J. Econom. 217, No. 2, 356-380 (2020). MSC: 62P05 62M10 62F12 62H12 91G70 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Econom. 217, No. 2, 356--380 (2020; Zbl 1456.62246) Full Text: DOI arXiv
Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried; Zakoïan, Jean-Michel Functional GARCH models: the quasi-likelihood approach and its applications. (English) Zbl 1452.62988 J. Econom. 209, No. 2, 353-375 (2019). MSC: 62R10 62M10 62F12 62P05 62P20 PDFBibTeX XMLCite \textit{C. Cerovecki} et al., J. Econom. 209, No. 2, 353--375 (2019; Zbl 1452.62988) Full Text: DOI Link
Francq, Christian; Zakoïan, Jean-Michel Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. (English) Zbl 1452.62763 J. Econom. 205, No. 2, 381-401 (2018). MSC: 62P05 62H12 62M10 62F12 91G70 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Econom. 205, No. 2, 381--401 (2018; Zbl 1452.62763) Full Text: DOI
Darolles, Serge; Francq, Christian; Laurent, Sébastien Asymptotics of Cholesky GARCH models and time-varying conditional betas. (English) Zbl 1452.62626 J. Econom. 204, No. 2, 223-247 (2018). MSC: 62M10 62H12 62P20 PDFBibTeX XMLCite \textit{S. Darolles} et al., J. Econom. 204, No. 2, 223--247 (2018; Zbl 1452.62626) Full Text: DOI HAL
Francq, C.; Jiménez-Gamero, M. D.; Meintanis, S. G. Tests for conditional ellipticity in multivariate GARCH models. (English) Zbl 1403.62162 J. Econom. 196, No. 2, 305-319 (2017). MSC: 62M10 62H15 91B84 PDFBibTeX XMLCite \textit{C. Francq} et al., J. Econom. 196, No. 2, 305--319 (2017; Zbl 1403.62162) Full Text: DOI
Francq, Christian; Sucarrat, Genaro An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (English) Zbl 1351.62164 J. Multivariate Anal. 153, 16-32 (2017). MSC: 62M10 62N02 62P20 91B84 PDFBibTeX XMLCite \textit{C. Francq} and \textit{G. Sucarrat}, J. Multivariate Anal. 153, 16--32 (2017; Zbl 1351.62164) Full Text: DOI
El Ghourabi, Mohamed; Francq, Christian; Telmoudi, Fedya Consistent estimation of the value at risk when the error distribution of the volatility model is misspecified. (English) Zbl 1335.62130 J. Time Ser. Anal. 37, No. 1, 46-76 (2016). MSC: 62M10 62F10 62P05 91B84 91G70 91B30 PDFBibTeX XMLCite \textit{M. El Ghourabi} et al., J. Time Ser. Anal. 37, No. 1, 46--76 (2016; Zbl 1335.62130) Full Text: DOI Link
Duchesne, Pierre; Francq, Christian Multivariate hypothesis testing using generalized and {2}-inverses – with applications. (English) Zbl 1382.62029 Statistics 49, No. 3, 475-496 (2015). MSC: 62H15 62M10 62P12 PDFBibTeX XMLCite \textit{P. Duchesne} and \textit{C. Francq}, Statistics 49, No. 3, 475--496 (2015; Zbl 1382.62029) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel Risk-parameter estimation in volatility models. (English) Zbl 1331.91138 J. Econom. 184, No. 1, 158-173 (2015). MSC: 91B84 62M10 62F12 91B30 91B70 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Econom. 184, No. 1, 158--173 (2015; Zbl 1331.91138) Full Text: DOI Link
Mainassara, Y. Boubacar; Carbon, M.; Francq, C. Computing and estimating information matrices of weak ARMA models. (English) Zbl 1239.62107 Comput. Stat. Data Anal. 56, No. 2, 345-361 (2012). MSC: 62M10 62H12 15B99 65C60 62P05 PDFBibTeX XMLCite \textit{Y. B. Mainassara} et al., Comput. Stat. Data Anal. 56, No. 2, 345--361 (2012; Zbl 1239.62107) Full Text: DOI HAL
Francq, Christian; Zakoïan, Jean-Michel QML estimation of a class of multivariate asymmetric GARCH models. (English) Zbl 1234.62120 Econom. Theory 28, No. 1, 179-206 (2012). MSC: 62M10 62H12 62F12 60G10 65C05 62G20 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Econom. Theory 28, No. 1, 179--206 (2012; Zbl 1234.62120) Full Text: DOI
Francq, Christian; Roy, Roch; Saidi, Abdessamad Asymptotic properties of weighted least squares estimation in weak PARMA models. (English) Zbl 1273.62209 J. Time Ser. Anal. 32, No. 6, 699-723 (2011). MSC: 62M10 62P05 91B82 91B84 62M09 62M15 PDFBibTeX XMLCite \textit{C. Francq} et al., J. Time Ser. Anal. 32, No. 6, 699--723 (2011; Zbl 1273.62209) Full Text: DOI
Mainassara, Y. Boubacar; Francq, C. Estimating structural VARMA models with uncorrelated but non-independent error terms. (English) Zbl 1207.62168 J. Multivariate Anal. 102, No. 3, 496-505 (2011). MSC: 62M10 62G05 62H12 62G20 PDFBibTeX XMLCite \textit{Y. B. Mainassara} and \textit{C. Francq}, J. Multivariate Anal. 102, No. 3, 496--505 (2011; Zbl 1207.62168) Full Text: DOI HAL
Francq, Christian; Zakoïan, Jean-Michel HAC estimation and strong linearity testing in weak ARMA models. (English) Zbl 1102.62096 J. Multivariate Anal. 98, No. 1, 114-144 (2007). MSC: 62M10 62E20 62H15 62J20 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Multivariate Anal. 98, No. 1, 114--144 (2007; Zbl 1102.62096) Full Text: DOI
Francq, Christian; Raïssi, Hamdi Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors. (English) Zbl 1165.62057 J. Time Ser. Anal. 28, No. 3, 454-470 (2007). Reviewer: A. D. Borisenko (Kyïv) MSC: 62M07 62M10 62H15 PDFBibTeX XMLCite \textit{C. Francq} and \textit{H. Raïssi}, J. Time Ser. Anal. 28, No. 3, 454--470 (2006; Zbl 1165.62057) Full Text: DOI HAL
Francq, Christian; Gautier, Antony Estimation of time-varying ARMA models with Markovian changes in regime. (English) Zbl 1095.62108 Stat. Probab. Lett. 70, No. 4, 243-251 (2005). MSC: 62M10 62F12 62H12 PDFBibTeX XMLCite \textit{C. Francq} and \textit{A. Gautier}, Stat. Probab. Lett. 70, No. 4, 243--251 (2005; Zbl 1095.62108) Full Text: DOI