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Published papers since 2004

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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: http://dx.doi.org/10.1016/j.jeconom.2016.10.001
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: http://dx.doi.org/10.1016/j.jmva.2016.09.010
Francq, C., Wintenberger, O. and Zakoļan, J-M. Goodness-of-fit tests for Log-GARCH and EGARCH models. TEST DOI: 10.1007/s11749-016-0506-2
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: http://onlinelibrary.wiley.com/doi/10.1111/rssb.12126/epdf
Ahmad, A. and Francq, C. Poisson QMLE of count time series models. Journal of Time Series Analysis 37, 291-314, 2016. doi: http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12167/abstract
Francq, and Meintanis, S. Fourier-type estimation of the power GARCH model with stable-Paretian innovations. Metrika 79, 389-424, 2016. http://dx.doi.org/10.1007/s00184-015-0560-x
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, 46–76, 2016. doi: http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12136/abstract
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: 10.15609/annaeconstat2009.123-124.0009
Darolles, S., Francq, C., Le Fol, G. and Zakoļan, J-M. Intrinsic Liquidity in Conditional Volatility Models. Annals of Economics and Statistics 123/124, 225–245, 2016. DOI: 10.15609/annaeconstat2009.123-124.0225
Francq, C. and Zakoļan, J-M. Risk-parameter estimation in volatility models. Journal of Econometrics 184, 158-173, 2015. DOI: HTTP://DX.DOI.ORG/10.1016/J.JECONOM.2014.06.019
Duchesne, P. and Francq, C. Multivariate hypothesis testing using generalized and {2}-inverses – with applications. Statistics 49, 475-496, 2015. DOI: http://dx.doi.org/10.1080/02331888.2014.896917
Francq, C., Horvath, L. and Zakoļan, J-M. Variance targeting estimation of multivariate GARCH models. Journal of Financial Econometrics 14, 353--382, 2014. DOI: https://doi.org/10.1093/jjfinec/nbu030
Francq, C. and Zakoļan, J-M. Inference in non stationary asymmetric GARCH models. Annals of Statistics 41, 70-98, 2013.
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.
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.

Book

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.

Working documents

Francq, C. and Zakoļan, J-M. Joint inference on market and estimation risks in dynamic portfolios. *
Francq, C. and Sucarrat, G. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.
Francq, C. and Thieu, L. Q. Qml inference for volatility models with covariates.

Magazine Article (for a non-specialist readership, in French)

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.

CV: in English and in French