MultiRisk Aknouche, A. and C. Francq Count and duration time series with equal conditional stochastic and mean orders. Econometric Theory Forthcoming, 2019.
Brownlees, C., Darolles, S., Le Fol, G. and B. Sagna Forecasting Intra-daily volume in large panels of assets for basket VWAP trading. Working paper 2019.
Cerovecki C., Hörmann S., Francq C. and Zakoïan J.M. Functional GARCH models: the quasi-likelihood approach and its applications. Journal of Econometrics 209, 353-375, 2019.
Chevalier, C. and Darolles, S. Trends everywhere? The case of hedge fund styles. Journal of Asset Management 20, 442-468, 2019.
Colliard J.E.., Benoit S., Hurlin C. and Pérignon C. Where the Risks Lie: A Survey on Systemic Risk. Review of Finance 21, 109-152, 2017.
Cruz-Lopez J.A, Harris J.H., Hurlin C. and Pérignon C. Comargin. Journal of Financial and Quantitative Analysis 52, 2183-2215, 2017.
Darolles S., Liquidity risk and investor behaviour: Issues, data and models. AMF Scientific Advisory Board Review forthcoming..
Darolles S., Dudek J. and Le Fol G. Gauging liquidity risk in emerging market bond index funds. Annals of Economics and Statistics 123-124, 2016, 247-269, 2016.
Darolles S., Francq C. and Laurent S. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. Journal of Econometrics 204, 223-247, 2018.
Darolles S., Francq C., Le Fol G. and Zakoïan J-M. Intrinsic Liquidity in Conditional Volatility Models. Annals of Economics and Statistics 123/124, 225–245, 2016.
Darolles S., Le Fol G. and Mero G. Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. Journal of Econometrics 201, 367-383, 2017.
Darolles S., Le Fol G. and Mero G. Timing the size risk premium. Working paper 2019.
Darolles S., Le Fol G. and Sun R. Bivariate integer-autoregressive process with an application to mutual fund flows. Journal of Multivariate Analysis 173, 181-203, 2019.
Francq C. and Sucarrat G. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation. Journal of Financial Econometrics 16, 129-154, 2018.
Francq C. and Thieu L. Q. Qml inference for volatility models with covariates. Econometric Theory 35, 37-72, 2019.
Francq C., Wintenberger O. and Zakoïan J-M. Goodness-of-fit tests for Log-GARCH and EGARCH models. Test 27, 27--51, 2018.
Francq C. and Zakoïan J-M. Looking for efficient QML estimation of conditional VaRs at multiple risk levels. Annals of Economics and Statistics 123/124, 9-28, 2016.
Francq C. and Zakoïan J-M. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. Journal of Econometrics 205, 381--401, 2018.
Francq C. and Zakoïan J-M. Virtual Historical Simulation for estimating the conditional VaR of large portfolios. Journal of Econometrics online, 2019.
Francq C. and Zakoïan J-M. Testing the existence of moments for GARCH processes. Journal of Econometrics Forthcoming, 2019.
Fries S. and Zakoïan J.M. Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. Econometric Theory 35, 1234-1270, 2019.
Le Fol G. and Méhouas B. Liquidité et risque de liquidité. Revue Banque 42-46, 2016.
Gouriéroux, C., Monfort, A. and J.M. Zakoïan Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations. Econometrica 87, 327-345, 2019.
Hurlin C., Leymarie J. and Patin A. Loss functions for Loss Given Default Model Comparison. European Journal of Operational Research à paraître, 2018.
Hurlin C., Laurent S., Quaedvlieg R. and Smeekes S. Risk Measure Inference. Journal of Business and Economic Statistics 35, 499-512, 2017.