Christian Francq

Publication Activity (10 Years)

Years Active: 2006-2017
Publications (10 Years): 2

Top Topics

Financial Services

Top Venues

Comput. Stat. Data Anal.

J. Multivar. Anal.

Publications

Christian Francq, Genaro Sucarrat
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. J. Multivar. Anal. 153 (2017)
H. Peter Boswijk, Christian Francq, Marc Hallin, Robert Taylor
Special issue on Time Series Econometrics. Comput. Stat. Data Anal. 100 (2016)
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
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76 (2014)
Christian Francq, Jean-Michel Zakoïan
Multi-level Conditional VaR Estimation in Dynamic Models. TES (2014)
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 Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis
The Annals of Computational and Financial Econometrics, first issue. Comput. Stat. Data Anal. 56 (11) (2012)
Y. Boubacar Mainassara, M. Carbon, Christian Francq
Computing and estimating information matrices of weak ARMA models. Comput. Stat. Data Anal. 56 (2) (2012)
David A. Belsley, Cathy W. S. Chen, Christian Francq, Giampiero M. Gallo, Lynda Khalaf, Erricos John Kontoghiorghes, Herman K. van Dijk
The sixth special issue on computational econometrics. Comput. Stat. Data Anal. 56 (11) (2012)
Y. Boubacar Mainassara, Christian Francq
Estimating structural VARMA models with uncorrelated but non-independent error terms. J. Multivar. Anal. 102 (3) (2011)
Christian Francq, Jean-Michel Zakoian
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference. Comput. Stat. Data Anal. 52 (6) (2008)
Alessandra Amendola, Christian Francq, Siem Jan Koopman
Special Issue on Nonlinear Modelling and Financial Econometrics. Comput. Stat. Data Anal. 51 (4) (2006)