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2022
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Econometric theory, , 2022.
By C. Francq and J. -M. Zakoian@article{Francq2022, author={Francq, C. and Zakoian, J.-M.}, title={LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-series MODELS}, journal={Econometric Theory}, year={2022}, doi={10.1017/S0266466622000093}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85127819635&doi=10.1017%2fS0266466622000093&partnerID=40&md5=4ed8e2d0a10edc09b6ca7ebba27e5c2d}, publisher={Cambridge University Press}, }Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models
Bernoulli, vol. 28, pp. 548-578, 2022.
By C. Francq and J-M. Zakoian@article{francq2022adaptiveness, author={Francq, C. and Zakoian, J-M.}, title={Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models}, journal={Bernoulli}, volume={28}, pages={548-578}, year={2022}, url={https://projecteuclid.org/journals/bernoulli/volume-28/issue-1/Adaptiveness-of-the-empirical-distribution-of-residuals-in-semi-parametric/10.3150/21-BEJ1357.short}, }Testing the existence of moments for garch processes
Journal of econometrics, vol. 227, iss. 1, pp. 47-64, 2022.
By C. Francq and J. -M. Zakoian@article{Francq202247, author={Francq, C. and Zakoian, J.-M.}, title={Testing the existence of moments for GARCH processes}, journal={Journal of Econometrics}, year={2022}, volume={227}, number={1}, pages={47-64}, doi={10.1016/j.jeconom.2020.05.009}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089738496&doi=10.1016%2fj.jeconom.2020.05.009&partnerID=40&md5=5923fdca7d6399821b600257fbaabdd6}, publisher={Elsevier Ltd}, }
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2021
Cognitive remediation and professional insertion of people with schizophrenia: remedrehab, a randomized controlled trial
European psychiatry : the journal of the association of european psychiatrists, vol. 64, iss. 1, p. e31, 2021.
By S. Cervello, J. Dubreucq, M. Trichanh, A. Dubrulle, I. Amado, M. C. Bralet, M. Chirio-Espitalier, S. Delille, E. Fakra, C. Francq, N. Guillard-Bouhet, J. Graux, C. Lançon, J. M. Zakoian, E. Gauthier, C. Demily, and N. Franck@article{Cervello2021e31, author={Cervello, S. and Dubreucq, J. and Trichanh, M. and Dubrulle, A. and Amado, I. and Bralet, M.C. and Chirio-Espitalier, M. and Delille, S. and Fakra, E. and Francq, C. and Guillard-Bouhet, N. and Graux, J. and Lançon, C. and Zakoian, J.M. and Gauthier, E. and Demily, C. and Franck, N.}, title={Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial}, journal={European psychiatry : the journal of the Association of European Psychiatrists}, year={2021}, volume={64}, number={1}, pages={e31}, doi={10.1192/j.eurpsy.2021.25}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106069122&doi=10.1192%2fj.eurpsy.2021.25&partnerID=40&md5=7b6fbda88ec6634903cf2f750c47474e}, publisher={NLM (Medline)}, }Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
Bernoulli, vol. 28, iss. 1, pp. 548-578, 2021.
By C. Francq and J. -M. Zakoian@article{Francq2021548, author={Francq, C. and Zakoian, J.-M.}, title={Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models}, journal={Bernoulli}, year={2021}, volume={28}, number={1}, pages={548-578}, doi={10.3150/21-BEJ1357}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85120427422&doi=10.3150%2f21-BEJ1357&partnerID=40&md5=a543174475828e4b6c49cf4257be3c87}, publisher={International Statistical Institute}, }
2020
Virtual historical simulation for estimating the conditional var of large portfolios
Journal of econometrics, vol. 217, iss. 2, pp. 356-380, 2020.
By C. Francq and J. -M. Zakoian@article{Francq2020356, author={Francq, C. and Zakoian, J.-M.}, title={Virtual Historical Simulation for estimating the conditional VaR of large portfolios}, journal={Journal of Econometrics}, year={2020}, volume={217}, number={2}, pages={356-380}, doi={10.1016/j.jeconom.2019.12.008}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076861554&doi=10.1016%2fj.jeconom.2019.12.008&partnerID=40&md5=b98abefb643f2a72ec3bf83559542bfc}, publisher={Elsevier Ltd}, }
2019
Mixed causal-noncausal ar processes and the modelling of explosive bubbles
Econometric theory, vol. 35, iss. 6, pp. 1234-1270, 2019.
By S. Fries and J. -M. Zakoian@article{Fries20191234, author={Fries, S. and Zakoian, J.-M.}, title={MIXED CAUSAL-NONCAUSAL AR PROCESSES and the MODELLING of EXPLOSIVE BUBBLES}, journal={Econometric Theory}, year={2019}, volume={35}, number={6}, pages={1234-1270}, doi={10.1017/S0266466618000452}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079505607&doi=10.1017%2fS0266466618000452&partnerID=40&md5=44923d48e5b18208c481320bcbe978e0}, publisher={Cambridge University Press}, }Functional garch models: the quasi-likelihood approach and its applications
Journal of econometrics, vol. 209, iss. 2, pp. 353-375, 2019.
By C. Cerovecki, C. Francq, S. Hörmann, and J. -M. Zakoian@article{Cerovecki2019353, author={Cerovecki, C. and Francq, C. and Hörmann, S. and Zakoian, J.-M.}, title={Functional GARCH models: The quasi-likelihood approach and its applications}, journal={Journal of Econometrics}, year={2019}, volume={209}, number={2}, pages={353-375}, doi={10.1016/j.jeconom.2019.01.006}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061362787&doi=10.1016%2fj.jeconom.2019.01.006&partnerID=40&md5=45fafc096d5eb14a95eba9052ec5824f}, publisher={Elsevier Ltd}, }Consistent pseudo-maximum likelihood estimators and groups of transformations
Econometrica, vol. 87, iss. 1, pp. 327-345, 2019.
By C. Gouriéroux, A. Monfort, and J. -M. Zakoian@article{Gouriéroux2019327, author={Gouriéroux, C. and Monfort, A. and Zakoian, J.-M.}, title={Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations}, journal={Econometrica}, year={2019}, volume={87}, number={1}, pages={327-345}, doi={10.3982/ECTA14727}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060941030&doi=10.3982%2fECTA14727&partnerID=40&md5=84db0982ba3299f9e96a04cdb695d80d}, publisher={Blackwell Publishing Ltd}, }
2018
Estimation risk for the var of portfolios driven by semi-parametric multivariate models
Journal of econometrics, vol. 205, iss. 2, pp. 381-401, 2018.
By C. Francq and J. -M. Zakoian@article{Francq2018381, author={Francq, C. and Zakoian, J.-M.}, title={Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models}, journal={Journal of Econometrics}, year={2018}, volume={205}, number={2}, pages={381-401}, doi={10.1016/j.jeconom.2018.03.018}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046132506&doi=10.1016%2fj.jeconom.2018.03.018&partnerID=40&md5=c8c256d2e8ec683db241cd47538e6d0b}, publisher={Elsevier Ltd}, }
2017
Local explosion modelling by non-causal process
Journal of the royal statistical society. series b: statistical methodology, vol. 79, iss. 3, pp. 737-756, 2017.
By C. Gouriéroux and J. -M. Zakoian@article{Gouriéroux2017737, author={Gouriéroux, C. and Zakoian, J.-M.}, title={Local explosion modelling by non-causal process}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2017}, volume={79}, number={3}, pages={737-756}, doi={10.1111/rssb.12193}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85018858670&doi=10.1111%2frssb.12193&partnerID=40&md5=3cc5d31fe3eb89fe8e882b8ad52b01bd}, publisher={Blackwell Publishing Ltd}, }
2016
Estimating multivariate volatility models equation by equation
Journal of the royal statistical society. series b: statistical methodology, vol. 78, iss. 3, pp. 613-635, 2016.
By C. Francq and J. -M. Zakoian@article{Francq2016613, author={Francq, C. and Zakoian, J.-M.}, title={Estimating multivariate volatility models equation by equation}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2016}, volume={78}, number={3}, pages={613-635}, doi={10.1111/rssb.12126}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948170163&doi=10.1111%2frssb.12126&partnerID=40&md5=b2089e4aeb12332e319116a1c57d930a}, publisher={Blackwell Publishing Ltd}, }
2015
Asymptotic inference in multiple-threshold double autoregressive models
Journal of econometrics, vol. 189, iss. 2, pp. 415-427, 2015.
By D. Li, S. Ling, and J. -M. Zakoian@article{Li2015415, author={Li, D. and Ling, S. and Zakoian, J.-M.}, title={Asymptotic inference in multiple-threshold double autoregressive models}, journal={Journal of Econometrics}, year={2015}, volume={189}, number={2}, pages={415-427}, doi={10.1016/j.jeconom.2015.03.033}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945475841&doi=10.1016%2fj.jeconom.2015.03.033&partnerID=40&md5=2400668b81e4ef3b90a107220e404a2b}, publisher={Elsevier Ltd}, }On uniqueness of moving average representations of heavy-tailed stationary processes
Journal of time series analysis, vol. 36, iss. 6, pp. 876-887, 2015.
By C. Gouriéroux and J. -M. Zakoian@article{Gouriéroux2015876, author={Gouriéroux, C. and Zakoian, J.-M.}, title={On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes}, journal={Journal of Time Series Analysis}, year={2015}, volume={36}, number={6}, pages={876-887}, doi={10.1111/jtsa.12139}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944441178&doi=10.1111%2fjtsa.12139&partnerID=40&md5=d5c80f7c680632e11ae78788baa54d7c}, }Risk-parameter estimation in volatility models
Journal of econometrics, vol. 184, iss. 1, pp. 158-173, 2015.
By C. Francq and J. -M. Zakoian@article{Francq2015158, author={Francq, C. and Zakoian, J.-M.}, title={Risk-parameter estimation in volatility models}, journal={Journal of Econometrics}, year={2015}, volume={184}, number={1}, pages={158-173}, doi={10.1016/j.jeconom.2014.06.019}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84913590668&doi=10.1016%2fj.jeconom.2014.06.019&partnerID=40&md5=ae9a1aef10b2c73b059c7b7abaf688f7}, publisher={Elsevier Ltd}, }
2014
Comment
Journal of business and economic statistics, vol. 32, iss. 2, pp. 198-201, 2014.
By C. Francq and J. -M. Zakoian@article{Francq2014198, author={Francq, C. and Zakoian, J.-M.}, title={Comment}, journal={Journal of Business and Economic Statistics}, year={2014}, volume={32}, number={2}, pages={198-201}, doi={10.1080/07350015.2013.879829}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925940270&doi=10.1080%2f07350015.2013.879829&partnerID=40&md5=350b7b3de2fa85a007343e91ab9d1a0e}, publisher={American Statistical Association}, }Cfenetwork: the annals of computational and financial econometrics: 2nd issue
Computational statistics and data analysis, vol. 76, pp. 1-3, 2014.
By E. J. Kontoghiorghes, H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. -M. Dufour, R. Engle, A. Harvey, S. J. Koopman, H. Pesaran, P. C. B. Phillips, R. J. Smith, M. West, Q. Yao, A. Amendola, M. Billio, C. W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, E. Jacquier, K. Judd, G. Koop, H. Lütkepohl, J. G. MacKinnon, S. Mittnik, Y. Omori, D. S. G. Pollock, T. Proietti, J. V. K. Rombouts, O. Scaillet, W. Semmler, M. K. P. So, M. Steel, R. Taylor, E. Tzavalis, J. -M. Zakoian, H. Peter Boswijk, A. Luati, and J. Maheu@article{Kontoghiorghes20141, author={Kontoghiorghes, E.J. and Van Dijk, H.K. and Belsley, D.A. and Bollerslev, T. and Diebold, F.X. and Dufour, J.-M. and Engle, R. and Harvey, A. and Koopman, S.J. and Pesaran, H. and Phillips, P.C.B. and Smith, R.J. and West, M. and Yao, Q. and Amendola, A. and Billio, M. and Chen, C.W.S. and Chiarella, C. and Colubi, A. and Deistler, M. and Francq, C. and Hallin, M. and Jacquier, E. and Judd, K. and Koop, G. and Lütkepohl, H. and MacKinnon, J.G. and Mittnik, S. and Omori, Y. and Pollock, D.S.G. and Proietti, T. and Rombouts, J.V.K. and Scaillet, O. and Semmler, W. and So, M.K.P. and Steel, M. and Taylor, R. and Tzavalis, E. and Zakoian, J.-M. and Peter Boswijk, H. and Luati, A. and Maheu, J.}, title={CFEnetwork: The Annals of computational and financial econometrics: 2nd issue}, journal={Computational Statistics and Data Analysis}, year={2014}, volume={76}, pages={1-3}, doi={10.1016/j.csda.2014.04.006}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901451542&doi=10.1016%2fj.csda.2014.04.006&partnerID=40&md5=74f8e8ce1c760e8a1f879dfd8dce5089}, publisher={Elsevier B.V.}, }
2013
Estimation-adjusted var
Econometric theory, vol. 29, iss. 4, pp. 735-770, 2013.
By C. Gourieroux and J. -M. Zakoian@article{Gourieroux2013735, author={Gourieroux, C. and Zakoian, J.-M.}, title={Estimation-adjusted var}, journal={Econometric Theory}, year={2013}, volume={29}, number={4}, pages={735-770}, doi={10.1017/S0266466612000680}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880857098&doi=10.1017%2fS0266466612000680&partnerID=40&md5=c5331251732ba03a591180c9bf8b02e6}, }Optimal predictions of powers of conditionally heteroscedastic processes
Journal of the royal statistical society. series b: statistical methodology, vol. 75, iss. 2, pp. 345-367, 2013.
By C. Francq and J. -M. Zakoian@article{Francq2013345, author={Francq, C. and Zakoian, J.-M.}, title={Optimal predictions of powers of conditionally heteroscedastic processes}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2013}, volume={75}, number={2}, pages={345-367}, doi={10.1111/j.1467-9868.2012.01045.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873303984&doi=10.1111%2fj.1467-9868.2012.01045.x&partnerID=40&md5=9bafacbc3f3b1884cb8d4f7f72df6f67}, }Estimating the marginal law of a time series with applications to heavy-tailed distributions
Journal of business and economic statistics, vol. 31, iss. 4, pp. 412-425, 2013.
By C. Francq and J. -M. Zakoian@article{Francq2013412, author={Francq, C. and Zakoian, J.-M.}, title={Estimating the marginal law of a time series with applications to heavy-tailed distributions}, journal={Journal of Business and Economic Statistics}, year={2013}, volume={31}, number={4}, pages={412-425}, doi={10.1080/07350015.2013.801776}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901624855&doi=10.1080%2f07350015.2013.801776&partnerID=40&md5=83222dfc5db5d733d094bccdcd6fff51}, publisher={American Statistical Association}, }Inference in nonstationary asymmetric garch models
Annals of statistics, vol. 41, iss. 4, pp. 1970-1998, 2013.
By C. Francq and J. -M. Zakoian@article{Francq20131970, author={Francq, C. and Zakoian, J.-M.}, title={Inference in nonstationary asymmetric GARCH models}, journal={Annals of Statistics}, year={2013}, volume={41}, number={4}, pages={1970-1998}, doi={10.1214/13-AOS1132}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899888886&doi=10.1214%2f13-AOS1132&partnerID=40&md5=90a782f8e1136c16384c3436040ea950}, publisher={Institute of Mathematical Statistics}, }Garch models without positivity constraints: exponential or log garch?
Journal of econometrics, vol. 177, iss. 1, pp. 34-46, 2013.
By C. Francq, O. Wintenberger, and J. -M. Zakoian@article{Francq201334, author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.}, title={GARCH models without positivity constraints: Exponential or log GARCH?}, journal={Journal of Econometrics}, year={2013}, volume={177}, number={1}, pages={34-46}, doi={10.1016/j.jeconom.2013.05.004}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883460405&doi=10.1016%2fj.jeconom.2013.05.004&partnerID=40&md5=8b0aa2c212edb9ba90c588ba223c16fd}, publisher={Elsevier Ltd}, }
2012
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Econometrica, vol. 80, iss. 2, pp. 821-861, 2012.
By C. Francq and J. -M. Zakoian@article{Francq2012821, author={Francq, C. and Zakoian, J.-M.}, title={Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models}, journal={Econometrica}, year={2012}, volume={80}, number={2}, pages={821-861}, doi={10.3982/ECTA9405}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858599878&doi=10.3982%2fECTA9405&partnerID=40&md5=bd3c453094b5230e1687f09f947e7ee0}, }Qml estimation of a class of multivariate asymmetric garch models
Econometric theory, vol. 28, iss. 1, pp. 179-206, 2012.
By C. Francq and J. -M. Zakoian@article{Francq2012179, author={Francq, C. and Zakoian, J.-M.}, title={QML estimation of a class of multivariate asymmetric GARCH models}, journal={Econometric Theory}, year={2012}, volume={28}, number={1}, pages={179-206}, doi={10.1017/S0266466611000156}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84857335523&doi=10.1017%2fS0266466611000156&partnerID=40&md5=6cc87e92302bf6597e03e8d56653d47a}, }
2011
Merits and drawbacks of variance targeting in garch models
Journal of financial econometrics, vol. 9, iss. 4, pp. 619-656, 2011.
By C. Francq, L. Horváth, and J. -M. Zakoian@article{Francq2011619, author={Francq, C. and Horváth, L. and Zakoian, J.-M.}, title={Merits and drawbacks of variance targeting in GARCH models}, journal={Journal of Financial Econometrics}, year={2011}, volume={9}, number={4}, pages={619-656}, doi={10.1093/jjfinec/nbr004}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053192102&doi=10.1093%2fjjfinec%2fnbr004&partnerID=40&md5=3397fbfa50ac0f898dc6754378ff5637}, }
2010
Combining nonparametric and optimal linear time series predictions
Journal of the american statistical association, vol. 105, iss. 492, pp. 1554-1565, 2010.
By S. Dabo-Niang, C. Francq, and J. -M. Zakoian@article{Dabo-Niang20101554, author={Dabo-Niang, S. and Francq, C. and Zakoian, J.-M.}, title={Combining nonparametric and optimal linear time series predictions}, journal={Journal of the American Statistical Association}, year={2010}, volume={105}, number={492}, pages={1554-1565}, doi={10.1198/jasa.2010.tm09549}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651311765&doi=10.1198%2fjasa.2010.tm09549&partnerID=40&md5=8a270f33c2d3bdfbfd4b6614eed50b3c}, }Sup-tests for linearity in a general nonlinear ar(1) model
Econometric theory, vol. 26, iss. 4, pp. 965-993, 2010.
By C. Francq, L. Horvath, and J. -M. Zakoian@article{Francq2010965, author={Francq, C. and Horvath, L. and Zakoian, J.-M.}, title={Sup-tests for linearity in a general nonlinear AR(1) model}, journal={Econometric Theory}, year={2010}, volume={26}, number={4}, pages={965-993}, doi={10.1017/S0266466609990430}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77957283222&doi=10.1017%2fS0266466609990430&partnerID=40&md5=3e60a015551f06d06bc511f58705bc61}, }Garch models: structure, statistical inference and financial applications
Garch models: structure, statistical inference and financial applications, , 2010.
By C. Francq and J. -M. Zakoian@book{Francq2010, author={Francq, C. and Zakoian, J.-M.}, title={GARCH Models: Structure, Statistical Inference and Financial Applications}, journal={GARCH Models: Structure, Statistical Inference and Financial Applications}, year={2010}, page_count={489}, doi={10.1002/9780470670057}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84891583720&doi=10.1002%2f9780470670057&partnerID=40&md5=1cda1ba18505c20762a76ca00db3d950}, publisher={John Wiley and Sons}, }
2009
Bartlett's formula for a general class of nonlinear processes
Journal of time series analysis, vol. 30, iss. 4, pp. 449-465, 2009.
By C. Francq and J. -M. Zakoian@article{Francq2009449, author={Francq, C. and Zakoian, J.-M.}, title={Bartlett's formula for a general class of nonlinear processes}, journal={Journal of Time Series Analysis}, year={2009}, volume={30}, number={4}, pages={449-465}, doi={10.1111/j.1467-9892.2009.00623.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650677380&doi=10.1111%2fj.1467-9892.2009.00623.x&partnerID=40&md5=fa1f1300ddcb866a59c8249014b93cef}, }Testing the nullity of garch coefficients: correction of the standard tests and relative efficiency comparisons
Journal of the american statistical association, vol. 104, iss. 485, pp. 313-324, 2009.
By C. Francq and J. -M. Zakoian@article{Francq2009313, author={Francq, C. and Zakoian, J.-M.}, title={Testing the nullity of GARCH coefficients: Correction of the standard tests and relative efficiency comparisons}, journal={Journal of the American Statistical Association}, year={2009}, volume={104}, number={485}, pages={313-324}, doi={10.1198/jasa.2009.0117}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350335991&doi=10.1198%2fjasa.2009.0117&partnerID=40&md5=f820ade5311fbdf0dd0a5f4ccb58061c}, }
2008
Deriving the autocovariances of powers of markov-switching garch models, with applications to statistical inference
Computational statistics and data analysis, vol. 52, iss. 6, pp. 3027-3046, 2008.
By C. Francq and J. -M. Zakoian@article{Francq20083027, author={Francq, C. and Zakoian, J.-M.}, title={Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference}, journal={Computational Statistics and Data Analysis}, year={2008}, volume={52}, number={6}, pages={3027-3046}, doi={10.1016/j.csda.2007.08.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-39049146619&doi=10.1016%2fj.csda.2007.08.003&partnerID=40&md5=65c3c99cecc593cabe3c1aefdc2a492c}, }A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
Journal of econometrics, vol. 142, iss. 1, pp. 312-326, 2008.
By C. Francq, S. Makarova, and J. -M. Zakoian@article{Francq2008312, author={Francq, C. and Makarova, S. and Zakoian, J.-M.}, title={A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test}, journal={Journal of Econometrics}, year={2008}, volume={142}, number={1}, pages={312-326}, doi={10.1016/j.jeconom.2007.04.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36148967680&doi=10.1016%2fj.jeconom.2007.04.003&partnerID=40&md5=9968e93dcecd26ab9f73462a042f730e}, }
2007
Quasi-maximum likelihood estimation in garch processes when some coefficients are equal to zero
Stochastic processes and their applications, vol. 117, iss. 9, pp. 1265-1284, 2007.
By C. Francq and J. -M. Zakoian@article{Francq20071265, author={Francq, C. and Zakoian, J.-M.}, title={Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero}, journal={Stochastic Processes and their Applications}, year={2007}, volume={117}, number={9}, pages={1265-1284}, doi={10.1016/j.spa.2007.01.001}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34447535241&doi=10.1016%2fj.spa.2007.01.001&partnerID=40&md5=4329adf26fc0c503c5cf0a56c46f5df1}, }Hac estimation and strong linearity testing in weak arma models
Journal of multivariate analysis, vol. 98, iss. 1, pp. 114-144, 2007.
By C. Francq and J. -M. Zakoian@article{Francq2007114, author={Francq, C. and Zakoian, J.-M.}, title={HAC estimation and strong linearity testing in weak ARMA models}, journal={Journal of Multivariate Analysis}, year={2007}, volume={98}, number={1}, pages={114-144}, doi={10.1016/j.jmva.2006.02.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750213990&doi=10.1016%2fj.jmva.2006.02.003&partnerID=40&md5=5bf638f8c40af14dac3d443556df5ead}, }
2006
Linear-representation based estimation of stochastic volatility models
Scandinavian journal of statistics, vol. 33, iss. 4, pp. 785-806, 2006.
By C. Francq and J. -M. Zakoian@article{Francq2006785, author={Francq, C. and Zakoian, J.-M.}, title={Linear-representation based estimation of stochastic volatility models}, journal={Scandinavian Journal of Statistics}, year={2006}, volume={33}, number={4}, pages={785-806}, doi={10.1111/j.1467-9469.2006.00495.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750995253&doi=10.1111%2fj.1467-9469.2006.00495.x&partnerID=40&md5=f5dadd2e55a74b0ddcf4ca95ac8df4ff}, }Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process
Econometric theory, vol. 22, iss. 5, pp. 815-834, 2006.
By C. Franco and J. -M. Zakoian@article{Franco2006815, author={Franco, C. and Zakoian, J.-M.}, title={Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process}, journal={Econometric Theory}, year={2006}, volume={22}, number={5}, pages={815-834}, doi={10.1017/S0266466606060373}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749368377&doi=10.1017%2fS0266466606060373&partnerID=40&md5=678f2017dfc982c99cbfa4b9c3195b8f}, }Stationarity and geometric ergodicity of a class of nonlinear arch models
Annals of applied probability, vol. 16, iss. 4, pp. 2256-2271, 2006.
By Y. Saïdi and J. -M. Zakoian@article{Saïdi20062256, author={Saïdi, Y. and Zakoian, J.-M.}, title={Stationarity and geometric ergodicity of a class of nonlinear ARCH models}, journal={Annals of Applied Probability}, year={2006}, volume={16}, number={4}, pages={2256-2271}, doi={10.1214/105051606000000565}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846893175&doi=10.1214%2f105051606000000565&partnerID=40&md5=e18a28f14b225b91d03cbdae5978a365}, publisher={Institute of Mathematical Statistics}, }
2005
A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size
Econometric theory, vol. 21, iss. 6, pp. 1165-1171, 2005.
By C. Francq and J. -M. Zakoian@article{Francq20051165, author={Francq, C. and Zakoian, J.-M.}, title={A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size}, journal={Econometric Theory}, year={2005}, volume={21}, number={6}, pages={1165-1171}, doi={10.1017/S0266466605050577}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-25644454310&doi=10.1017%2fS0266466605050577&partnerID=40&md5=8ea9213a2e9e7d81011ed8fc383ca06c}, }The l2-structures of standard and switching-regime garch models
Stochastic processes and their applications, vol. 115, iss. 9, pp. 1557-1582, 2005.
By C. Francq and J. -M. Zakoian@article{Francq20051557, author={Francq, C. and Zakoian, J.-M.}, title={The L2-structures of standard and switching-regime GARCH models}, journal={Stochastic Processes and their Applications}, year={2005}, volume={115}, number={9}, pages={1557-1582}, doi={10.1016/j.spa.2005.04.005}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-23044457404&doi=10.1016%2fj.spa.2005.04.005&partnerID=40&md5=ef01d33acde672deb5566242965db614}, }Diagnostic checking in arma models with uncorrelated errors
Journal of the american statistical association, vol. 100, iss. 470, pp. 532-544, 2005.
By C. Franco, R. Roy, and J. -M. Zakoian@article{Franco2005532, author={Franco, C. and Roy, R. and Zakoian, J.-M.}, title={Diagnostic checking in ARMA models with uncorrelated errors}, journal={Journal of the American Statistical Association}, year={2005}, volume={100}, number={470}, pages={532-544}, doi={10.1198/016214504000001510}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444444745&doi=10.1198%2f016214504000001510&partnerID=40&md5=00ec8409ef0b426e548f995b12038c30}, }
2004
Maximum likelihood estimation of pure garch and arma-garch processes
Bernoulli, vol. 10, iss. 4, pp. 605-637, 2004.
By C. Francq and J. -M. Zakoian@article{Francq2004605, author={Francq, C. and Zakoian, J.-M.}, title={Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes}, journal={Bernoulli}, year={2004}, volume={10}, number={4}, pages={605-637}, doi={10.3150/bj/1093265632}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645008897&doi=10.3150%2fbj%2f1093265632&partnerID=40&md5=718dd1f4b8b35274ac496253140a5873}, }
2002
Comments on the paper by minxian yang: "some properties of vector autoregressive processes with markov-switching coefficients"
Econometric theory, vol. 18, iss. 3, pp. 815-818, 2002.
By C. Franco and J. -M. Zakoian@article{Franco2002815, author={Franco, C. and Zakoian, J.-M.}, title={Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"}, journal={Econometric Theory}, year={2002}, volume={18}, number={3}, pages={815-818}, doi={10.1017/S0266466602183125}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036627459&doi=10.1017%2fS0266466602183125&partnerID=40&md5=13789f5b1d8a5a40996949ba31515913}, }Autocovariance structure of powers of switching-regime arma processes
Esaim - probability and statistics, vol. 6, pp. 259-270, 2002.
By C. Francq and J. -M. Zakoian@article{Francq2002259, author={Francq, C. and Zakoian, J.-M.}, title={Autocovariance structure of powers of switching-regime ARMA processes}, journal={ESAIM - Probability and Statistics}, year={2002}, volume={6}, pages={259-270}, doi={10.1051/ps:2002014}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037002888&doi=10.1051%2fps%3a2002014&partnerID=40&md5=c49ffeb1c49c74e4ca139ccab83aab98}, publisher={EDP Sciences}, }
2001
Stationarity of multivariate markov-switching arma models
Journal of econometrics, vol. 102, iss. 2, pp. 339-364, 2001.
By C. Francq and J. -M. Zakoian@article{Francq2001339, author={Francq, C. and Zakoian, J.-M.}, title={Stationarity of multivariate Markov-switching ARMA models}, journal={Journal of Econometrics}, year={2001}, volume={102}, number={2}, pages={339-364}, doi={10.1016/S0304-4076(01)00057-4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044399313&doi=10.1016%2fS0304-4076%2801%2900057-4&partnerID=40&md5=93cafb0a4fa9f846fa475b47d42ab128}, }Contemporaneous asymmetry in garch processes
Journal of econometrics, vol. 101, iss. 2, pp. 257-294, 2001.
By M. El Babsiri and J. -M. Zakoian@article{ElBabsiri2001257, author={El Babsiri, M. and Zakoian, J.-M.}, title={Contemporaneous asymmetry in GARCH processes}, journal={Journal of Econometrics}, year={2001}, volume={101}, number={2}, pages={257-294}, doi={10.1016/S0304-4076(00)00084-1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012680138&doi=10.1016%2fS0304-4076%2800%2900084-1&partnerID=40&md5=364fcffff8f38bc670ae5c43686c554a}, }
2000
Covariance matrix estimation for estimators of mixing weak arma models
Journal of statistical planning and inference, vol. 83, iss. 2, pp. 369-394, 2000.
By C. Francq and J. -M. Zakoian@article{Francq2000369, author={Francq, C. and Zakoian, J.-M.}, title={Covariance matrix estimation for estimators of mixing weak ARMA models}, journal={Journal of Statistical Planning and Inference}, year={2000}, volume={83}, number={2}, pages={369-394}, doi={10.1016/s0378-3758(99)00109-3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0011422677&doi=10.1016%2fs0378-3758%2899%2900109-3&partnerID=40&md5=222c9a63e3af8334a027b5ebeb3371c3}, publisher={Elsevier}, }Estimating weak garch representations
Econometric theory, vol. 16, iss. 5, pp. 692-728, 2000.
By C. Franco and J. -M. Zakoian@article{Franco2000692, author={Franco, C. and Zakoian, J.-M.}, title={Estimating weak garch representations}, journal={Econometric Theory}, year={2000}, volume={16}, number={5}, pages={692-728}, doi={10.1017/s0266466600165041}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034359589&doi=10.1017%2fs0266466600165041&partnerID=40&md5=2baa77e02f0f0f7bc5eaa4ad68496c4d}, publisher={Cambridge University Press}, }
1998
Estimating linear representations of nonlinear processes
Journal of statistical planning and inference, vol. 68, iss. 1, pp. 145-165, 1998.
By C. Francq and J. -M. Zakoian@article{Francq1998145, author={Francq, C. and Zakoian, J.-M.}, title={Estimating linear representations of nonlinear processes}, journal={Journal of Statistical Planning and Inference}, year={1998}, volume={68}, number={1}, pages={145-165}, doi={10.1016/S0378-3758(97)00139-0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063592&doi=10.1016%2fS0378-3758%2897%2900139-0&partnerID=40&md5=8cd68488baf1d28371901a9f1a93fdf7}, publisher={Elsevier}, }Covariance matrix estimation for estimators of weak arma models [estimation de la précision asymptotique dans l'estimation de modèles arma faibles]
Comptes rendus de l'academie des sciences - series i: mathematics, vol. 326, iss. 3, pp. 377-380, 1998.
By C. Francq and J. -M. Zakoian@article{Francq1998377, author={Francq, C. and Zakoian, J.-M.}, title={Covariance matrix estimation for estimators of weak ARMA models [Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles]}, journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics}, year={1998}, volume={326}, number={3}, pages={377-380}, doi={10.1016/s0764-4442(97)82998-9}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044451140&doi=10.1016%2fs0764-4442%2897%2982998-9&partnerID=40&md5=bdabaacabb8b0f970107ab93f6e8b241}, publisher={Elsevier Masson SAS}, }Estimating weak garch representations [estimation de représentations garch faibles]
Comptes rendus de l'academie des sciences - series i: mathematics, vol. 326, iss. 4, pp. 495-498, 1998.
By C. Francq and J. -M. Zakoian@article{Francq1998495, author={Francq, C. and Zakoian, J.-M.}, title={Estimating weak GARCH representations [Estimation de représentations GARCH faibles]}, journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics}, year={1998}, volume={326}, number={4}, pages={495-498}, doi={10.1016/S0764-4442(97)89798-4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0040675179&doi=10.1016%2fS0764-4442%2897%2989798-4&partnerID=40&md5=70bd66d141ffa5d1fa76896f1a49081f}, publisher={Elsevier Masson SAS}, }