Christian Francq

According to our database, Christian Francq authored at least 10 papers between 2006 and 2017.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2017

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns.

Christian Francq, Genaro Sucarrat

J. Multivar. Anal., 2017

2016

Special issue on Time Series Econometrics.

H. Peter Boswijk, Christian Francq, Marc Hallin, Robert Taylor

Comput. Stat. Data Anal., 2016

2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu

Comput. Stat. Data Anal., 2014

Multi-level Conditional VaR Estimation in Dynamic Models.

Christian Francq, Jean-Michel Zakoïan

Proceedings of the Modeling Dependence in Econometrics, 2014

2012

Computing and estimating information matrices of weak ARMA models.

Y. Boubacar Mainassara, M. Carbon, Christian Francq

Comput. Stat. Data Anal., 2012

The Annals of Computational and Financial Econometrics, first issue.

David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis

Comput. Stat. Data Anal., 2012

The sixth special issue on computational econometrics.

David A. Belsley, Cathy W. S. Chen, Christian Francq, Giampiero M. Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk

Comput. Stat. Data Anal., 2012

2011

Estimating structural VARMA models with uncorrelated but non-independent error terms.

Y. Boubacar Mainassara, Christian Francq

J. Multivar. Anal., 2011

2008

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference.

Christian Francq, Jean-Michel Zakoian

Comput. Stat. Data Anal., 2008

2006

Special Issue on Nonlinear Modelling and Financial Econometrics.

Alessandra Amendola, Christian Francq, Siem Jan Koopman

Comput. Stat. Data Anal., 2006