Francq, C. and Zakoļan, J-M. Local Asymptotic Normality of general conditionally heteroskedastic and score driven models. Econometric Theory forthcoming, 2022.
Francq, C. and Zakoļan, J-M. Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models. Journal of Financial Econometrics forthcoming, 2022.
Francq, C. and Zakoļan, J-M. Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models. Bernoulli 28, 548-578, 2022. DOI: link
Blasques, F., Francq, C. and Laurent, S. Quasi score-driven models. Journal of Econometrics 2022 DOI: link
Francq, C. and Sucarrat, G. Volatility Estimation when the Zero-Process is Nonstationary. Journal of Business & Economic Statistics 2021. DOI: link
Aknouche, A and Francq, C.. Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. Journal of Econometrics 2021. DOI: link
Aknouche, A and Francq, C.. Stationarity and ergodicity of Markov switching positive conditional mean models. Journal of Time Series Analysis 2021. DOI: link
Aknouche, A and Francq, C.. Count and duration time series with equal conditional stochastic and mean orders. Econometric Theory 37, 248-280, 2021. DOI: link
Francq, C. and Zakoļan, J-M. Virtual Historical Simulation for estimating the conditional VaR of large portfolios. Journal of Econometrics 217, 356-380, 2020. DOI: link
Francq, C. and Zakoļan, J-M. Testing the existence of moments for GARCH processes. Journal of Econometrics 2020 DOI: link
Cerovecki, C., Francq, C., Hormann, S. and Zakoļan, J-M. Functional GARCH models : the quasi-likelihood approach and its applications. Journal of Econometrics 209, 353-375, 2019. DOI: link
Francq, C. and Thieu, L. Q. Qml inference for volatility models with covariates. Econometric Theory 35, 37-72, 2019. DOI: link
Darolles, S., Francq, C. and Laurent, S. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. Journal of Econometrics 204, 223-247, 2018. DOI: link
Francq, C. and Zakoļan, J-M. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. Journal of Econometrics 205, 381-401, 2018. DOI: link
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. DOI: link
Francq, C., Wintenberger, O. and Zakoļan, J-M. Goodness-of-fit tests for Log-GARCH and EGARCH models. TEST 27, 27-51, 2018. DOI: link
Francq, C., Jimenez-Gamero, M. D. and Meintanis, S. Tests for conditional ellipticity in multivariate GARCH models. Journal of Econometrics 196, 305-319, 2017. DOI: link
Francq, C. and Sucarrat, G. An Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. Journal of Multivariate Analysis 153, 16-32, 2017. DOI: link
Francq, C. and Zakoļan, J-M. Estimating multivariate GARCH and stochastic correlation models equation by equation. Journal of the Royal Statistical Society: Series B 78, 613-635, 2016. doi: link
Ahmad, A. and Francq, C. Poisson QMLE of count time series models. Journal of Time Series Analysis 37, 291-314, 2016. doi: link
Francq, and Meintanis, S. Fourier-type estimation of the power GARCH model with stable-Paretian innovations. Metrika 79, 389-424, 2016. link
El Ghourabi, M., Francq, C and Telmoudi, F. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified. Journal of Time Series Analysis 37, 4676, 2016. doi: link
Francq, C. and Zakoļan, J-M. Looking for efficient QML estimation of conditional VaRs at multiple risk levels. Annals of Economics and Statistics 123/124, 9-28, 2016. DOI: link
Darolles, S., Francq, C., Le Fol, G. and Zakoļan, J-M. Intrinsic Liquidity in Conditional Volatility Models. Annals of Economics and Statistics 123/124, 225245, 2016. DOI: link
Francq, C. and Zakoļan, J-M. Risk-parameter estimation in volatility models. Journal of Econometrics 184, 158-173, 2015. DOI: link
Duchesne, P. and Francq, C. Multivariate hypothesis testing using generalized and {2}-inverses with applications. Statistics 49, 475-496, 2015. DOI: link
Francq, C., Horvath, L. and Zakoļan, J-M. Variance targeting estimation of multivariate GARCH models. Journal of Financial Econometrics 14, 353-382, 2014. DOI: link
Francq, C. and Zakoļan, J-M. Inference in non stationary asymmetric GARCH models. Annals of Statistics 41, 70-98, 2013. DOI: link
Francq, C. Wintenberger, O. and Zakoļan, J-M. Garch models without positivity constraints: exponential or log garch?. Journal of Econometrics 177, 34-46, 2013.
Francq, C. and Zakoļan, J-M. Estimating the marginal law of a time series with applications to heavy tailed distributions. Journal of Business & Economic Statistics 31, 412-425, 2013.
Francq, C. and Zakoļan, J-M. Optimal predictions of powers of conditionally heteroskedastic processes. Journal of the Royal Statistical Society - Series B 75, 345-367, 2013.
Francq, C. and Zakoļan, J-M. Strict stationarity testing and estimation of explosive and stationary GARCH models Econometrica 80, 821-861, 2012.
Boubacar Mainassara, Y., Carbon, M. and Francq, C. Computing and estimating information matrices of weak ARMA models. Computational Statistics and Data Analysis 56, 345-361, 2012.
Francq, C. and Zakoļan, J-M. QML estimation of a class of multivariate asymmetric GARCH models Econometric Theory 28, 179-206, 2012.
Francq, C., Lepage, G. and Zakoļan, J-M. Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE. Journal of Econometrics 165, 246-257, 2011.
Francq, C., Horvath, L. and Zakoļan, J-M. Merits and drawbacks of variance targeting in GARCH models Journal of Financial Econometrics 9, 619-656, 2011.
Carbon, M. and Francq, C. Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models. Austrian Journal of Statistics 40, 55-64, 2011.
Francq, C., Roy, R. and Saidi, A. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models. Journal of Time Series Analysis 32, 699-723, 2011.
Boubacar Mainassara, Y. and Francq, C. Estimating structural VARMA models with uncorrelated but non-independent error terms Journal of Multivariate Analysis 102, 496-505, 2011.
Dabo-Niang, S., Francq, C. and Zakoļan, J-M. Combining Nonparametric and Optimal Linear Time Series Predictions Journal of the American Statistical Association 105, 1554-1565, 2010.
Francq, C. and Zakoļan, J-M. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models Journal of Econometrics 159, 151-165, 2010.
Carbon, M., Francq, C. and Tran, L.T. Asymptotic normality of frequency polygons for random fields Journal of Statistical Planning and Inference 140, 502-514, 2010.
Amendola, A. and Francq, C. Concepts and tools for nonlinear time series modelling Handbook of Computational Econometrics, Edts: D. Belsley and E. Kontoghiorghes, Wiley, 2009.
Francq, C. and Zakoļan, J-M. Bartlett's formula for a general class of non linear processes Journal of Time Series Analysis 30, 449-465, 2009.
Francq, C. and Zakoļan, J-M. Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons Journal of the American Statistical Association 104, 313-324, 2009.
Francq, C., Horvath L. and Zakoļan, J-M. Sup-tests for linearity in a general nonlinear AR(1) model , Econometric Theory 26, 965-993, 2009.
Francq, C. and Zakoļan, J-M. A tour in the asymptotic theory of GARCH estimation in Handbook of Financial Time Series, Edts: T. G. Andersen, R.A. Davis, J-P. Kreiss, T. Mikosch. Springer Statistics 2009.
Duchesne, P. and Francq, C. On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and { 2 }-inverses, COMPSTAT 2008, Proceedings in Computational Statistics, 143-154.
Francq, C., Makarova, S. and Zakoļan, J-M. A class of stochastic unit-root bilinear processes: mixing properties and unit-root test, Journal of Econometrics 142, 312-326, 2008.
Francq, C. and Zakoļan, J-M. Estimating ARCH Models When the Coefficients are Allowed to be Equal to Zero, Austrian Journal of Statistics 37, 31-40, 2008.
Francq, C. and Zakoļan, J-M. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference, Computational Statistics & Data Analysis 52, 3027-3046, 2008.
Francq, C. and Zakoļan, J-M. HAC estimation and strong linearity testing in weak ARMA models, Journal of Multivarite Analysis 98, 114-144, 2007.
Francq, C. and Zakoļan, J-M. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero, Stochastic Processes and their Applications 117, 1265-1284, 2007.
Francq, C.and Raļssi, H. Multivariate Portmanteau Test for Autoregressive Models with Uncorrelated but Nonindependent Errors, (version longue), Journal of Time Series Analysis 28, 454-470, 2007.
Carbon, M., Francq, C. and Tran, L.T. Kernel Regression Estimation for Random Fields, Journal of Statistical Planning and Inference 137, 778-798, 2007.
El Ghini, A. and Francq, C. Asymptotic Relative Efficiency of Goodness-of-Fit Tests Based on Inverse and Ordinary Autocorrelations, Journal of Time Series Analysis 27, 843-855, 2006.
Francq, C. and Zakoļan, J-M. Estimating stochastic volatility models: a new approach based on ARMA representations, Scandinavian Journal of Statistics 33, 785-806, 2006.
Francq, C. and Zakoļan, J-M. Mixing properties of a general class of GARCH(1,1) models without moment assumptions, Econometric Theory 22, 815-834, 2006.
Francq, C. and Zakoļan, J.M. On Efficient Inference in GARCH Processes, Dependence in Probability and Statistics, P. Bertail, P. Doukhan and P. Soulier, Éditeurs, Lecture Notes in Statistics 187, Springer-Verlag New York 305-377, 2006.
Francq, C. and Zakoļan, J-M. A Central Limit Theorem for Mixing Triangular Arrays, Econometric Theory 21, 1165-1171, 2005.
Francq, C. and Zakoļan, J-M. L2 Structures of Standard and Switching-Regime GARCH Models, Stochastic Processes and Their Applications 115, 1557-1582, 2005.
Francq, C., Roy, R. and Zakoļan, J-M. Diagnostic checking in ARMA models with uncorrelated errors, Journal of the American Statistical Association 100, 532-544, 2005. (version longue)
Francq, C. and Gautier, A. Estimation of Time-Varying ARMA Models with Markovian Changes in Regime Statistics and Probability Letters, 70, 243-251, 2004. (version longue)
Francq, C. and Zakoļan, J-M. Maximum Likelihood Estimation of Pure GARCH and ARMA-GARCH, Bernoulli 10, 605-637, 2004.
Francq, C. and Gautier, A. Large sample properties of parameter least squares estimates for time-varying ARMA models, Journal of Time Series Analysis 25, 765-783, 2004.
Francq, C., and Zakoļan, J-M. Recent results for linear time series models with non independent innovations, Statistical Modeling and Analysis for Complex Data Problems. Duchesne, P. et Rémillard, B., Éditeurs, Kluwer, 2004.
Francq, C. and Gautier, A. Estimation de modčles ARMA ą changements de régime récurrents, C. R. Acad. Sci. Paris 339, 55-58, 2004.
Francq, C. and Zakoļan, J-M. Modčles GARCH: structure, estimation et applications financičres. Economica, collection "économie et statistiques avancées"s, 2009.
Francq, C. and Zakoļan, J-M. GARCH Models: Structure, Statistical Inference and Financial Applications.John Wiley, 2010, ISBN 978-0-470-68391-0. Second Edition 2019.
Blasques, F., Francq, C. and Laurent, S. Autoregressive conditional betas. 2022
Francq, C., Kandji, B. M. and Zakoļan, J-M. Inference on multiplicative component GARCH without any small-order moment
Couperier, O. Francq, C. and Zakoļan, J-M. Daily volatility forecasting using intraday returns and functional covariates
Auray, S., Francq, C. et J.-M. Zakoian Nobel 2011 d'économie - Quelques remarques sur les prix Nobel 2011 d'économie et la modélisation des séries économiques. Images des Mathématiques, CNRS, 2012.