← All authors Christian Francq Université de Lille (per OpenAlex) · ORCID · OpenAlex
101 papers in scope · 101 published · 1 on the econ.EM arXiv · 3,196 citations · h-index 28 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Marc Hallin Matteo Barigozzi Philipp Gersing Jean-Michel Zakoïan Matteo Luciani Ovidijus Stauskas Manfred Deistler Christoph Alexander Rüst Y. Li Lyudmila Grigoryeva Claudio Lissona Esther Ruiz Fa Wang Luca Margaritella Daniele Massacci Jianqing Fan Giovanni Ballarin Jushan Bai Alessandro Morico Giovanni Urga Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 101)
Second Special Issue on time series econometrics
published 2026 · Econometrics and Statistics
Inference on breaks in weak location time series models with the estimating function approach
published 2026 · Journal of Econometrics
Testing for the footprints of stabilization economic policy in forecast errors
published 2025 · PLoS ONE
Finite moments testing in a general class of nonlinear time series models
published 2025 · Bernoulli · 1 citations
On Runs Tests for Directional Data and Their Local and Asymptotic Optimality Properties
published 2025 · Statistica Sinica
with Maxime Boucher, Yuichi Goto, Thomas Verdebout
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
published 2025 · Journal of Time Series Analysis
Inference on dynamic systemic risk measures
published 2024 · Journal of Econometrics · 5 citations
Autoregressive conditional betas
published 2023 · Journal of Econometrics · 8 citations
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT
published 2023 · Econometric Theory · 3 citations
Optimal estimating function for weak location‐scale dynamic models
published 2023 · Journal of Time Series Analysis · 5 citations
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models
published 2022 · Journal of Financial Econometrics · 2 citations
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
published 2022 · Econometric Theory · 4 citations
Quasi score-driven models
published 2022 · Journal of Econometrics · 25 citations
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
published 2021 · Bernoulli · 4 citations · first circulated 2020
Volatility Estimation When the Zero-Process is Nonstationary
published 2021 · Journal of Business and Economic Statistics · 17 citations
with Genaro Sucarrat
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
published 2021 · Journal of Econometrics · 23 citations
with Abdelhakim Aknouche
Stationarity and ergodicity of Markov switching positive conditional mean models
published 2021 · Journal of Time Series Analysis · 1 citations
with Abdelhakim Aknouche
Testing the existence of moments for GARCH processes
published 2020 · Journal of Econometrics · 13 citations · first circulated 2019
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
published 2020 · Econometric Theory · 42 citations · first circulated 2018
with Abdelhakim Aknouche
published 2019 · Journal of Econometrics · 14 citations
Functional GARCH models: The quasi-likelihood approach and its applications
published 2019 · Journal of Econometrics · 46 citations
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
published 2018 · Journal of Econometrics · 21 citations
Asymptotics of Cholesky GARCH models and time-varying conditional betas
published 2018 · Journal of Econometrics · 26 citations
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
published 2018 · Econometric Theory · 2 citations
with Le Quyen Thieu
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*
published 2017 · Journal of Financial Econometrics · 17 citations · first circulated 2013
with Genaro Sucarrat
Tests for conditional ellipticity in multivariate GARCH models
published 2016 · Journal of Econometrics · 16 citations
with M.D. Jiménez-Gamero, Simos G. Meintanis
Goodness-of-fit tests for Log-GARCH and EGARCH models
published 2016 · Test · 18 citations
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
published 2016 · Journal of Multivariate Analysis · 23 citations · first circulated 2015
with Genaro Sucarrat
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
published 2016 · Austrian Journal of Statistics · 5 citations · first circulated 2008
Special issue on Time Series Econometrics
published 2016 · Computational Statistics & Data Analysis
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
published 2016 · Annals of Economics and Statistics · 7 citations · first circulated 2015
Intrinsic Liquidity in Conditional Volatility Models
published 2016 · Annals of Economics and Statistics
Estimating Multivariate Volatility Models Equation by Equation
published 2015 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 55 citations
Poisson QMLE of Count Time Series Models
published 2015 · Journal of Time Series Analysis · 103 citations · first circulated 2014
with Ali Ahmad
Fourier-type estimation of the power GARCH model with stable-Paretian innovations
published 2015 · Metrika · 10 citations · first circulated 2012
with Simos G. Meintanis
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
published 2015 · Journal of Time Series Analysis · 11 citations · first circulated 2013
with Mohamed El Ghourabi, Fedya Telmoudi
Variance Targeting Estimation of Multivariate GARCH Models
published 2014 · Journal of Financial Econometrics · 30 citations
Risk-parameter estimation in volatility models
published 2014 · Journal of Econometrics · 2 citations
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Comment
published 2014 · Journal of Business and Economic Statistics · 3 citations
Multivariate hypothesis testing using generalized and {2}-inverses – with applications
published 2014 · Statistics · 22 citations
with Pierre Duchesne
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
published 2013 · Journal of Business and Economic Statistics · 22 citations · first circulated 2011
GARCH models without positivity constraints: Exponential or log GARCH?
published 2013 · Journal of Econometrics · 68 citations · first circulated 2012
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
published 2012 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 39 citations · first circulated 2010
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
The sixth special issue on computational econometrics
published 2012 · Computational Statistics & Data Analysis
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
published 2012 · Econometrica · 79 citations
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
published 2011 · Journal of Econometrics · 44 citations
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
published 2011 · Econometric Theory · 77 citations
Computing and estimating information matrices of weak ARMA models
published 2011 · Computational Statistics & Data Analysis · 20 citations · first circulated 2010
with Yacouba Boubacar Maïnassara, Michel Carbon
Merits and Drawbacks of Variance Targeting in GARCH Models
published 2011 · Journal of Financial Econometrics · 91 citations · first circulated 2009
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
published 2011 · Journal of Time Series Analysis · 21 citations
with Roch Roy, Abdessamad Saidi
Combining Nonparametric and Optimal Linear Time Series Predictions
published 2010 · Journal of the American Statistical Association · 4 citations · first circulated 2009
Estimating structural VARMA models with uncorrelated but non-independent error terms
published 2010 · Journal of Multivariate Analysis · 50 citations · first circulated 2009
with Yacouba Boubacar Maïnassara
Inconsistency of the MLE and inference based on weighted LS for LARCH models
published 2010 · Journal of Econometrics · 30 citations
Estimation des modèles VARMA structurels avec innovations linéaires non corrélées mais non indépendantes
published 2010 · 42èmes Journées de Statistique
with Yacouba Boubacar Maïnassara
no link
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
published 2009 · Econometric Theory · 17 citations · first circulated 2008
Asymptotic normality of frequency polygons for random fields
published 2009 · Journal of Statistical Planning and Inference · 28 citations
with Michel Carbon, Lanh Tat Tran
Bartlett's formula for a general class of nonlinear processes
published 2009 · Journal of Time Series Analysis · 8 citations
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
published 2009 · Journal of the American Statistical Association · 6 citations
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
published 2007 · Computational Statistics & Data Analysis · 56 citations
with Jean-Michel Zakoı ̈an
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
published 2007 · Journal of Econometrics · 16 citations
with Svetlana Makarova, Jean-Michel Zakoı ̈an
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
published 2007 · Stochastic Processes and their Applications · 78 citations
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
published 2007 · Journal of Time Series Analysis · 49 citations
with Hamdi Raïssi
Special Issue on Nonlinear Modelling and Financial Econometrics
published 2006 · Computational Statistics & Data Analysis · 9 citations
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
published 2006 · Econometric Theory · 135 citations
Kernel regression estimation for random fields
published 2006 · Journal of Statistical Planning and Inference · 52 citations
with Michel Carbon, Lanh Tat Tran
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations
published 2006 · Journal of Time Series Analysis · 6 citations
with Ahmed El Ghini
HAC estimation and strong linearity testing in weak ARMA models
published 2006 · Journal of Multivariate Analysis · 26 citations
Linear‐representation Based Estimation of Stochastic Volatility Models
published 2006 · Scandinavian Journal of Statistics · 20 citations
Stochastic unit-root bilinear processes
published 2006 · Computing in Economics and Finance
no link
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
published 2005 · Econometric Theory · 22 citations
Diagnostic Checking in ARMA Models With Uncorrelated Errors
published 2005 · Journal of the American Statistical Association · 166 citations
The L 2 -structures of standard and switching-regime GARCH models
published 2005 · Stochastic Processes and their Applications · 78 citations
with Jean-Michel Zakoı ̈an
Estimation of time-varying ARMA models with Markovian changes in regime
published 2004 · Statistics & Probability Letters · 24 citations
with Antony Gautier
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
published 2004 · Bernoulli · 584 citations
Large sample properties of parameter least squares estimates for time‐varying arma models
published 2004 · Journal of Time Series Analysis · 27 citations
with Antony Gautier
Estimation de modèles ARMA à changements de régime récurrents
published 2004 · Comptes Rendus Mathématique · 1 citations
with Antony Gautier
Consistent and asymptotically normal estimators for cyclically time-dependent linear models
published 2003 · Annals of the Institute of Statistical Mathematics · 33 citations
with Abdelouahab Bibi
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
published 2002 · Econometric Theory · 14 citations
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
published 2002 · Journal of Time Series Analysis
Autocovariance structure of powers of switching-regime ARMA Processes
published 2002 · ESAIM Probability and Statistics · 19 citations
Nonparametric estimation of density, regression and dependence coefficients
published 2002 · Journal of nonparametric statistics · 5 citations
with Lanh Tat Tran
Stationarity of multivariate Markov–switching ARMA models
published 2001 · Journal of Econometrics · 232 citations · first circulated 2000
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
published 2001 · Economics Letters · 10 citations · first circulated 2000
Conditional Heteroskedasticity Driven by Hidden Markov Chains
published 2001 · Journal of Time Series Analysis · 10 citations
ESTIMATING WEAK GARCH REPRESENTATIONS
published 2000 · Econometric Theory · 51 citations · first circulated 1997
Stationnarité des modèles ARMA à changement de régime markovien
published 2000 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Modèles ARCH avec changement de régime markovien
published 2000 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Covariance matrix estimation for estimators of mixing weak ARMA models
published 2000 · Journal of Statistical Planning and Inference · 31 citations
Multivariate arma models with generalized autoregressive linear innovation
published 2000 · Stochastic Analysis and Applications · 4 citations
Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
published 1999 · Canadian Journal of Statistics · 4 citations
with Alain Berlinet Et
Arma models with bilinear innovations
published 1999 · Communications in Statistics Stochastic Models · 7 citations
Estimating linear representations of nonlinear processes
published 1998 · Journal of Statistical Planning and Inference · 99 citations
Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles
published 1998 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Estimation de représentations GARCH faibles
published 1998 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
published 1998 · Statistics · 79 citations
with Michel Roussignol
On the Identifiability of Minimal VARMA Representations
published 1998 · Statistical Inference for Stochastic Processes · 4 citations
with Alain Berlinet
On White Noises Driven by Hidden Markov Chains
published 1997 · Journal of Time Series Analysis · 32 citations
with Michel Roussignol
On Bartlett’s Formula for Non‐linear Processes
published 1997 · Journal of Time Series Analysis · 22 citations
with Alain Berlinet
A model for the Am (Km) planetary geomagnetic activity index and application to prediction
published 1996 · Geophysical Journal International · 3 citations
with Michel Menvielle
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