Francq, Christian; Zakoïan, Jean-Michel Estimating multivariate volatility models equation by equation. (English) Zbl 1414.62362 J. R. Stat. Soc., Ser. B, Stat. Methodol. 78, No. 3, 613-635 (2016). MSC: 62M10 62F12 62P05 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 78, No. 3, 613--635 (2016; Zbl 1414.62362) 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
Francq, Christian; Zakoïan, Jean-Michel Optimal predictions of powers of conditionally heteroscedastic processes. (English) Zbl 07555451 J. R. Stat. Soc., Ser. B, Stat. Methodol. 75, No. 2, 345-367 (2013). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 75, No. 2, 345--367 (2013; Zbl 07555451) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel Inference in nonstationary asymmetric GARCH models. (English) Zbl 1277.62210 Ann. Stat. 41, No. 4, 1970-1998 (2013). MSC: 62M10 62F12 62F05 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Ann. Stat. 41, No. 4, 1970--1998 (2013; Zbl 1277.62210) Full Text: DOI arXiv Euclid
Francq, Christian; Zakoïan, Jean-Michel Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models. (English) Zbl 1274.62590 Econometrica 80, No. 2, 821-861 (2012). MSC: 62M10 62M07 62P20 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Econometrica 80, No. 2, 821--861 (2012; Zbl 1274.62590) Full Text: DOI
Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE. (English) Zbl 1441.62692 J. Econom. 165, No. 2, 246-257 (2011). MSC: 62P20 62M10 62F12 PDFBibTeX XMLCite \textit{C. Francq} et al., J. Econom. 165, No. 2, 246--257 (2011; Zbl 1441.62692) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons. (English) Zbl 1388.62252 J. Am. Stat. Assoc. 104, No. 485, 313-324 (2009). MSC: 62M10 62M09 62P05 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Am. Stat. Assoc. 104, No. 485, 313--324 (2009; Zbl 1388.62252) Full Text: DOI Link
Francq, Christian; Zakoïan, Jean-Michel A tour in the asymptotic theory of GARCH estimation. (English) Zbl 1178.62097 Andersen, Torben G. (ed.) et al., Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer (ISBN 978-3-540-71296-1/hbk; 978-3-540-71297-8/ebook). 85-111 (2009). MSC: 62M10 62F12 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, in: Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer. 85--111 (2009; Zbl 1178.62097) Full Text: DOI Link
Francq, Christian; Zakoian, Jean-Michel Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. (English) Zbl 1116.62025 Stochastic Processes Appl. 117, No. 9, 1265-1284 (2007). MSC: 62E20 62M10 62F12 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoian}, Stochastic Processes Appl. 117, No. 9, 1265--1284 (2007; Zbl 1116.62025) Full Text: DOI
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel Conditional heteroskedasticity driven by hidden Markov chains. (English) Zbl 0972.62077 J. Time Ser. Anal. 22, No. 2, 197-220 (2001). Reviewer: A.Ya.Olenko (Kyïv) MSC: 62M10 62M05 60J10 62F10 PDFBibTeX XMLCite \textit{C. Francq} et al., J. Time Ser. Anal. 22, No. 2, 197--220 (2001; Zbl 0972.62077) Full Text: DOI Link
Francq, Christian; Zakoïan, Jean-Michel Estimating weak GARCH representations. (English) Zbl 0967.62065 Econom. Theory 16, No. 5, 692-728 (2000). MSC: 62M10 62F12 62M09 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Econom. Theory 16, No. 5, 692--728 (2000; Zbl 0967.62065) Full Text: DOI
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel Markov-switching ARCH models. (Modèles ARCH avec changement de régime markovien.) (French) Zbl 0966.62052 C. R. Acad. Sci., Paris, Sér. I, Math. 330, No. 10, 921-924 (2000). MSC: 62M05 62M10 PDFBibTeX XMLCite \textit{C. Francq} et al., C. R. Acad. Sci., Paris, Sér. I, Math. 330, No. 10, 921--924 (2000; Zbl 0966.62052) Full Text: DOI
Francq, Christian; Roussignol, Michel Ergodicity of autoregressive processes with Markov-switching and consistency of the maximum-likelihood estimator. (English) Zbl 0954.62104 Statistics 32, No. 2, 151-173 (1998). Reviewer: Yurii Lin’kov (Donetsk) MSC: 62M10 62F12 62M05 62M09 PDFBibTeX XMLCite \textit{C. Francq} and \textit{M. Roussignol}, Statistics 32, No. 2, 151--173 (1998; Zbl 0954.62104) Full Text: DOI