Edit Profile (opens in new tab) Francq, Christian Co-Author Distance Author ID: francq.christian Published as: Francq, Christian; Francq, C. Homepage: http://christian.francq140.free.fr/ External Links: MGP · ORCID · Google Scholar · dblp Documents Indexed: 81 Publications since 1994, including 1 Book 3 Contributions as Editor Co-Authors: 50 Co-Authors with 83 Joint Publications 1,050 Co-Co-Authors all top 5 Co-Authors 1 single-authored 48 Zakoïan, Jean-Michel 4 Berlinet, Alain F. 4 Roussignol, Michel 3 Aknouche, Abdelhakim 3 Carbon, Michel 3 Duchesne, Pierre 3 Gautier, Antony 3 Laurent, Sébastien-Yves 3 Tran, Lanh Tat 2 Belsley, David A. 2 Blasques, Francisco 2 Broze, Laurence 2 Chen, Cathy W. S. 2 Khalaf, Lynda 2 Kontoghiorghes, Erricos John 2 Mainassara, Yacouba Boubacar 2 Meintanis, Simos G. 2 Roy, Roch 2 van Dijk, Herman K. 2 Wintenberger, Olivier 1 Ahmad, Ali 1 Amendola, Alessandra 1 Bauwens, Luc Claude A. 1 Bibi, Abdelouahab 1 Billio, Monica 1 Boswijk, H. Peter 1 Cerovecki, Clément 1 Croux, Christophe 1 Dabo-Niang, Sophie 1 Darolles, Serge 1 Davidson, Russell 1 El Ghini, Ahmed 1 El Ghourabi, Mohamed 1 Foschi, Paolo 1 Fuertes, Ana-María 1 Gallo, Giampiero M. 1 Hallin, Marc 1 Hörmann, Siegfried 1 Horváth, Lajos 1 Jiménez-Gamero, María Dolores 1 Koop, Gary 1 Koopman, Siem Jan 1 Lepage, Guillaume 1 Makarova, Svetlana 1 McAleer, Michael 1 Raïssi, Hamdi 1 Saidi, Abdessamad 1 Sucarrat, Genaro 1 Telmoudi, Fedya 1 Thieu, Le Quyen all top 5 Serials 15 Journal of Econometrics 13 Journal of Time Series Analysis 9 Econometric Theory 5 Computational Statistics and Data Analysis 4 Journal of Statistical Planning and Inference 4 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 3 Journal of the American Statistical Association 3 Journal of Multivariate Analysis 2 Statistics 2 Stochastic Processes and their Applications 2 Bernoulli 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 The Canadian Journal of Statistics 1 Metrika 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 The Annals of Statistics 1 Econometrica 1 Statistics & Probability Letters 1 Stochastic Analysis and Applications 1 Communications in Statistics. Stochastic Models 1 Economics Letters 1 Computational Statistics 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Test 1 Journal of Nonparametric Statistics 1 Statistical Inference for Stochastic Processes 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris all top 5 Fields 83 Statistics (62-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Probability theory and stochastic processes (60-XX) 5 Numerical analysis (65-XX) 2 General and overarching topics; collections (00-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 68 Publications have been cited 1,324 times in 801 Documents Cited by ▼ Year ▼ Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Zbl 1067.62094 Francq, Christian; Zakoïan, Jean-Michel 208 2004 Diagnostic checking in ARMA models with uncorrelated errors. Zbl 1117.62336 Francq, Christian; Roy, Roch; Zakoïan, Jean-Michel 83 2005 Stationarity of multivariate Markov-switching ARMA models. Zbl 0998.62076 Francq, C.; Zakoïan, J.-M. 74 2001 GARCH models. Structure, statistical inference and financial applications. 2nd edition. Zbl 1431.62004 Francq, Christian; Zakoian, Jean-Michel 74 2019 Estimating linear representations of nonlinear processes. Zbl 0942.62100 Francq, Christian; Zakoïan, Jean-Michel 52 1998 Poisson QMLE of count time series models. Zbl 1381.62244 Ahmad, Ali; Francq, Christian 45 2016 Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models. Zbl 1274.62590 Francq, Christian; Zakoïan, Jean-Michel 40 2012 Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. Zbl 1100.62083 Francq, Christian; Zakoïan, Jean-Michel 37 2006 Kernel regression estimation for random fields. Zbl 1104.62105 Carbon, Michel; Francq, Christian; Tran, Lanh Tat 35 2007 Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. Zbl 1116.62025 Francq, Christian; Zakoian, Jean-Michel 35 2007 The \(L^2\)-structures of standard and switching-regime GARCH models. Zbl 1074.60075 Francq, Christian; Zakoïan, Jean-Michel 32 2005 Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077 Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel 31 2001 QML estimation of a class of multivariate asymmetric GARCH models. Zbl 1234.62120 Francq, Christian; Zakoïan, Jean-Michel 27 2012 Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors. Zbl 1165.62057 Francq, Christian; Raïssi, Hamdi 27 2006 Estimating structural VARMA models with uncorrelated but non-independent error terms. Zbl 1207.62168 Mainassara, Y. Boubacar; Francq, C. 24 2011 QML inference for volatility models with covariates. Zbl 1415.62078 Francq, Christian; Thieu, Le Quyen 24 2019 Inference in nonstationary asymmetric GARCH models. Zbl 1277.62210 Francq, Christian; Zakoïan, Jean-Michel 24 2013 GARCH models without positivity constraints: exponential or log GARCH? Zbl 1285.62105 Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel 23 2013 Ergodicity of autoregressive processes with Markov-switching and consistency of the maximum-likelihood estimator. Zbl 0954.62104 Francq, Christian; Roussignol, Michel 22 1998 Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons. Zbl 1388.62252 Francq, Christian; Zakoïan, Jean-Michel 21 2009 Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference. Zbl 1452.62634 Francq, Christian; Zakoıän, Jean-Michel 19 2008 Inconsistency of the MLE and inference based on weighted LS for LARCH models. Zbl 1431.62372 Francq, Christian; Zakoïan, Jean-Michel 19 2010 Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE. Zbl 1441.62692 Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel 18 2011 Optimal predictions of powers of conditionally heteroscedastic processes. Zbl 07555451 Francq, Christian; Zakoïan, Jean-Michel 17 2013 Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139 Aknouche, Abdelhakim; Francq, Christian 17 2021 Covariance matrix estimation for estimators of mixing weak ARMA models. Zbl 0976.62086 Francq, Christian; Zakoïan, Jean-Michel 15 2000 Asymptotic normality of frequency polygons for random fields. Zbl 1177.62111 Carbon, Michel; Francq, Christian; Tran, Lanh Tat 15 2010 Risk-parameter estimation in volatility models. Zbl 1331.91138 Francq, Christian; Zakoïan, Jean-Michel 15 2015 HAC estimation and strong linearity testing in weak ARMA models. Zbl 1102.62096 Francq, Christian; Zakoïan, Jean-Michel 14 2007 Bartlett’s formula for a general class of nonlinear processes. Zbl 1224.62054 Francq, Christian; Zakoïan, Jean-Michel 13 2009 Estimating weak GARCH representations. Zbl 0967.62065 Francq, Christian; Zakoïan, Jean-Michel 13 2000 Computing and estimating information matrices of weak ARMA models. Zbl 1239.62107 Mainassara, Y. Boubacar; Carbon, M.; Francq, C. 12 2012 Estimating multivariate volatility models equation by equation. Zbl 1414.62362 Francq, Christian; Zakoïan, Jean-Michel 12 2016 A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size. Zbl 1083.62076 Francq, Christian; Zakoïan, Jean-Michel 11 2005 On white noises driven by hidden Markov chains. Zbl 0919.62100 Francq, Christian; Roussignol, Michel 11 1997 Large sample properties of parameter least squares estimates for time-varying ARMA models. Zbl 1062.62172 Francq, Christian; Gautier, Antony 11 2004 Consistent and asymptotically normal estimators for cyclically time-dependent linear models. Zbl 1049.62094 Bibi, Abdelouahab; Francq, Christian 10 2003 Tests for conditional ellipticity in multivariate GARCH models. Zbl 1403.62162 Francq, C.; Jiménez-Gamero, M. D.; Meintanis, S. G. 9 2017 Asymptotic properties of weighted least squares estimation in weak PARMA models. Zbl 1273.62209 Francq, Christian; Roy, Roch; Saidi, Abdessamad 9 2011 On Bartlett’s formula for nonlinear processes. Zbl 0910.62081 Berlinet, Alain; Francq, Christian 8 1997 Sup-tests for linearity in a general nonlinear AR(1) model. Zbl 1294.62200 Francq, Christian; Horvath, Lajos; Zakoïan, Jean-Michel 8 2010 Estimation of time-varying ARMA models with Markovian changes in regime. Zbl 1095.62108 Francq, Christian; Gautier, Antony 7 2005 An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. Zbl 1351.62164 Francq, Christian; Sucarrat, Genaro 7 2017 Multivariate hypothesis testing using generalized and {2}-inverses – with applications. Zbl 1382.62029 Duchesne, Pierre; Francq, Christian 7 2015 Goodness-of-fit tests for Log-GARCH and EGARCH models. Zbl 06852281 Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel 6 2018 Asymptotics of Cholesky GARCH models and time-varying conditional betas. Zbl 1452.62626 Darolles, Serge; Francq, Christian; Laurent, Sébastien 6 2018 Linear representation based estimation of stochastic volatility models. Zbl 1164.62379 Francq, Christian; Zakoïan, Jean-Michel 6 2006 On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and \(\{2\}\)-inverses. Zbl 1151.62069 Duchesne, Pierre; Francq, Christian 6 2008 Functional GARCH models: the quasi-likelihood approach and its applications. Zbl 1452.62988 Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried; Zakoïan, Jean-Michel 6 2019 ARMA models with bilinear innovations. Zbl 0919.62101 Francq, Christian 5 1999 A tour in the asymptotic theory of GARCH estimation. Zbl 1178.62097 Francq, Christian; Zakoïan, Jean-Michel 5 2009 Stationarity and ergodicity of Markov switching positive conditional mean models. Zbl 07569201 Aknouche, Abdelhakim; Francq, Christian 5 2022 A class of stochastic unit-root bilinear processes: mixing properties and unit-root test. Zbl 1418.62321 Francq, Christian; Makarova, Svetlana; Zakoïan, Jean-Michel 4 2008 Comments on the paper by Minxian Yang: “Some properties of vector autoregressive processes with Markov-switching coefficients”. Zbl 1109.62336 Francq, Christian; Zakoïan, Jean-Michel 4 2002 Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations. Zbl 1150.62045 El Ghini, Ahmed; Francq, Christian 3 2006 Multivariate ARMA models with generalized autoregressive linear innovation. Zbl 0983.62058 Francq, C.; Zakoïan, J. M. 3 2000 Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. Zbl 1030.62064 Broze, L.; Francq, C.; Zakoïan, J.-M. 3 2001 On efficient inference in GARCH processes. Zbl 1102.62095 Francq, Christian; Zakoïan, Jean-Michel 3 2006 Consistent estimation of the value at risk when the error distribution of the volatility model is misspecified. Zbl 1335.62130 El Ghourabi, Mohamed; Francq, Christian; Telmoudi, Fedya 3 2016 Fourier-type estimation of the power GARCH model with stable-Paretian innovations. Zbl 1349.62400 Francq, Christian; Meintanis, Simos G. 3 2016 Nonparametric estimation of density, regression and dependence coefficients. Zbl 1013.62037 Francq, Christian; Tran, Lanh Tat 3 2002 Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. Zbl 07767715 Aknouche, Abdelhakim; Francq, Christian 3 2023 Testing the existence of moments for GARCH processes. Zbl 07491148 Francq, Christian; Zakoïan, Jean-Michel 3 2022 Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. Zbl 1452.62763 Francq, Christian; Zakoïan, Jean-Michel 3 2018 Identification of a univariate ARMA model. Zbl 0937.62088 Berlinet, Alain; Francq, Christian 2 1994 Quasi score-driven models. Zbl 07674657 Blasques, F.; Francq, Christian; Laurent, Sébastien 2 2023 Estimation of asymptotic covariances of empirical autovariances and autocorrelations of multivariate processes. (Estimation du comportement asymptotique des autocovariances et autocorrélations empiriques de processus multivariés.) Zbl 0946.62081 Berlinet, Alain; Francq, Christian 1 1999 Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models. Zbl 07467732 Francq, Christian; Zakoïan, Jean-Michel 1 2022 Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. Zbl 07767715 Aknouche, Abdelhakim; Francq, Christian 3 2023 Quasi score-driven models. Zbl 07674657 Blasques, F.; Francq, Christian; Laurent, Sébastien 2 2023 Stationarity and ergodicity of Markov switching positive conditional mean models. Zbl 07569201 Aknouche, Abdelhakim; Francq, Christian 5 2022 Testing the existence of moments for GARCH processes. Zbl 07491148 Francq, Christian; Zakoïan, Jean-Michel 3 2022 Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models. Zbl 07467732 Francq, Christian; Zakoïan, Jean-Michel 1 2022 Count and duration time series with equal conditional stochastic and mean orders. Zbl 1467.62139 Aknouche, Abdelhakim; Francq, Christian 17 2021 GARCH models. Structure, statistical inference and financial applications. 2nd edition. Zbl 1431.62004 Francq, Christian; Zakoian, Jean-Michel 74 2019 QML inference for volatility models with covariates. Zbl 1415.62078 Francq, Christian; Thieu, Le Quyen 24 2019 Functional GARCH models: the quasi-likelihood approach and its applications. Zbl 1452.62988 Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried; Zakoïan, Jean-Michel 6 2019 Goodness-of-fit tests for Log-GARCH and EGARCH models. Zbl 06852281 Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel 6 2018 Asymptotics of Cholesky GARCH models and time-varying conditional betas. Zbl 1452.62626 Darolles, Serge; Francq, Christian; Laurent, Sébastien 6 2018 Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. Zbl 1452.62763 Francq, Christian; Zakoïan, Jean-Michel 3 2018 Tests for conditional ellipticity in multivariate GARCH models. Zbl 1403.62162 Francq, C.; Jiménez-Gamero, M. D.; Meintanis, S. G. 9 2017 An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. Zbl 1351.62164 Francq, Christian; Sucarrat, Genaro 7 2017 Poisson QMLE of count time series models. Zbl 1381.62244 Ahmad, Ali; Francq, Christian 45 2016 Estimating multivariate volatility models equation by equation. Zbl 1414.62362 Francq, Christian; Zakoïan, Jean-Michel 12 2016 Consistent estimation of the value at risk when the error distribution of the volatility model is misspecified. Zbl 1335.62130 El Ghourabi, Mohamed; Francq, Christian; Telmoudi, Fedya 3 2016 Fourier-type estimation of the power GARCH model with stable-Paretian innovations. Zbl 1349.62400 Francq, Christian; Meintanis, Simos G. 3 2016 Risk-parameter estimation in volatility models. Zbl 1331.91138 Francq, Christian; Zakoïan, Jean-Michel 15 2015 Multivariate hypothesis testing using generalized and {2}-inverses – with applications. Zbl 1382.62029 Duchesne, Pierre; Francq, Christian 7 2015 Inference in nonstationary asymmetric GARCH models. Zbl 1277.62210 Francq, Christian; Zakoïan, Jean-Michel 24 2013 GARCH models without positivity constraints: exponential or log GARCH? Zbl 1285.62105 Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel 23 2013 Optimal predictions of powers of conditionally heteroscedastic processes. Zbl 07555451 Francq, Christian; Zakoïan, Jean-Michel 17 2013 Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models. Zbl 1274.62590 Francq, Christian; Zakoïan, Jean-Michel 40 2012 QML estimation of a class of multivariate asymmetric GARCH models. Zbl 1234.62120 Francq, Christian; Zakoïan, Jean-Michel 27 2012 Computing and estimating information matrices of weak ARMA models. Zbl 1239.62107 Mainassara, Y. Boubacar; Carbon, M.; Francq, C. 12 2012 Estimating structural VARMA models with uncorrelated but non-independent error terms. Zbl 1207.62168 Mainassara, Y. Boubacar; Francq, C. 24 2011 Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE. Zbl 1441.62692 Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel 18 2011 Asymptotic properties of weighted least squares estimation in weak PARMA models. Zbl 1273.62209 Francq, Christian; Roy, Roch; Saidi, Abdessamad 9 2011 Inconsistency of the MLE and inference based on weighted LS for LARCH models. Zbl 1431.62372 Francq, Christian; Zakoïan, Jean-Michel 19 2010 Asymptotic normality of frequency polygons for random fields. Zbl 1177.62111 Carbon, Michel; Francq, Christian; Tran, Lanh Tat 15 2010 Sup-tests for linearity in a general nonlinear AR(1) model. Zbl 1294.62200 Francq, Christian; Horvath, Lajos; Zakoïan, Jean-Michel 8 2010 Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons. Zbl 1388.62252 Francq, Christian; Zakoïan, Jean-Michel 21 2009 Bartlett’s formula for a general class of nonlinear processes. Zbl 1224.62054 Francq, Christian; Zakoïan, Jean-Michel 13 2009 A tour in the asymptotic theory of GARCH estimation. Zbl 1178.62097 Francq, Christian; Zakoïan, Jean-Michel 5 2009 Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference. Zbl 1452.62634 Francq, Christian; Zakoıän, Jean-Michel 19 2008 On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and \(\{2\}\)-inverses. Zbl 1151.62069 Duchesne, Pierre; Francq, Christian 6 2008 A class of stochastic unit-root bilinear processes: mixing properties and unit-root test. Zbl 1418.62321 Francq, Christian; Makarova, Svetlana; Zakoïan, Jean-Michel 4 2008 Kernel regression estimation for random fields. Zbl 1104.62105 Carbon, Michel; Francq, Christian; Tran, Lanh Tat 35 2007 Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. Zbl 1116.62025 Francq, Christian; Zakoian, Jean-Michel 35 2007 HAC estimation and strong linearity testing in weak ARMA models. Zbl 1102.62096 Francq, Christian; Zakoïan, Jean-Michel 14 2007 Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. Zbl 1100.62083 Francq, Christian; Zakoïan, Jean-Michel 37 2006 Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors. Zbl 1165.62057 Francq, Christian; Raïssi, Hamdi 27 2006 Linear representation based estimation of stochastic volatility models. Zbl 1164.62379 Francq, Christian; Zakoïan, Jean-Michel 6 2006 Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations. Zbl 1150.62045 El Ghini, Ahmed; Francq, Christian 3 2006 On efficient inference in GARCH processes. Zbl 1102.62095 Francq, Christian; Zakoïan, Jean-Michel 3 2006 Diagnostic checking in ARMA models with uncorrelated errors. Zbl 1117.62336 Francq, Christian; Roy, Roch; Zakoïan, Jean-Michel 83 2005 The \(L^2\)-structures of standard and switching-regime GARCH models. Zbl 1074.60075 Francq, Christian; Zakoïan, Jean-Michel 32 2005 A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size. Zbl 1083.62076 Francq, Christian; Zakoïan, Jean-Michel 11 2005 Estimation of time-varying ARMA models with Markovian changes in regime. Zbl 1095.62108 Francq, Christian; Gautier, Antony 7 2005 Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Zbl 1067.62094 Francq, Christian; Zakoïan, Jean-Michel 208 2004 Large sample properties of parameter least squares estimates for time-varying ARMA models. Zbl 1062.62172 Francq, Christian; Gautier, Antony 11 2004 Consistent and asymptotically normal estimators for cyclically time-dependent linear models. Zbl 1049.62094 Bibi, Abdelouahab; Francq, Christian 10 2003 Comments on the paper by Minxian Yang: “Some properties of vector autoregressive processes with Markov-switching coefficients”. Zbl 1109.62336 Francq, Christian; Zakoïan, Jean-Michel 4 2002 Nonparametric estimation of density, regression and dependence coefficients. Zbl 1013.62037 Francq, Christian; Tran, Lanh Tat 3 2002 Stationarity of multivariate Markov-switching ARMA models. Zbl 0998.62076 Francq, C.; Zakoïan, J.-M. 74 2001 Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077 Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel 31 2001 Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. Zbl 1030.62064 Broze, L.; Francq, C.; Zakoïan, J.-M. 3 2001 Covariance matrix estimation for estimators of mixing weak ARMA models. Zbl 0976.62086 Francq, Christian; Zakoïan, Jean-Michel 15 2000 Estimating weak GARCH representations. Zbl 0967.62065 Francq, Christian; Zakoïan, Jean-Michel 13 2000 Multivariate ARMA models with generalized autoregressive linear innovation. Zbl 0983.62058 Francq, C.; Zakoïan, J. M. 3 2000 ARMA models with bilinear innovations. Zbl 0919.62101 Francq, Christian 5 1999 Estimation of asymptotic covariances of empirical autovariances and autocorrelations of multivariate processes. (Estimation du comportement asymptotique des autocovariances et autocorrélations empiriques de processus multivariés.) Zbl 0946.62081 Berlinet, Alain; Francq, Christian 1 1999 Estimating linear representations of nonlinear processes. Zbl 0942.62100 Francq, Christian; Zakoïan, Jean-Michel 52 1998 Ergodicity of autoregressive processes with Markov-switching and consistency of the maximum-likelihood estimator. Zbl 0954.62104 Francq, Christian; Roussignol, Michel 22 1998 On white noises driven by hidden Markov chains. Zbl 0919.62100 Francq, Christian; Roussignol, Michel 11 1997 On Bartlett’s formula for nonlinear processes. Zbl 0910.62081 Berlinet, Alain; Francq, Christian 8 1997 Identification of a univariate ARMA model. Zbl 0937.62088 Berlinet, Alain; Francq, Christian 2 1994 all cited Publications top 5 cited Publications all top 5 Cited by 930 Authors 47 Francq, Christian 33 Zakoïan, Jean-Michel 32 Lee, Sangyeol 25 Aknouche, Abdelhakim 22 Mainassara, Yacouba Boubacar 21 Cavicchioli, Maddalena 20 Bibi, Abdelouahab 14 Ling, Shiqing 13 Li, Dong 13 Raïssi, Hamdi 12 Zhu, Fukang 12 Zhu, Ke 10 Dabo-Niang, Sophie 10 Fokianos, Konstantinos 9 Duchesne, Pierre 9 Ghezal, Ahmed 9 Meintanis, Simos G. 8 Lee, Taewook 8 Rahbek, Anders 8 Wintenberger, Olivier 8 Zhang, Rongmao 7 Bardet, Jean-Marc 7 Chen, Min 7 Doukhan, Paul 7 Gautier, Antony 7 Hill, Jonathan B. 7 Jiménez-Gamero, María Dolores 7 Li, Guodong 7 Li, Qi 7 Pedersen, Rasmus Søndergaard 7 Song, Junmo 6 Kengne, William Charky 6 Laksaci, Ali 6 Saussereau, Bruno 6 Xing, Guodong 6 Younso, Ahmad 5 Almohaimeed, Bader S. 5 Blasques, Francisco 5 Cavaliere, Giuseppe 5 Diop, Mamadou Lamine 5 Gourieroux, Christian 5 Hafner, Christian Matthias 5 Kang, Jiwon 5 Li, Wai Keung 5 Liu, Jichun 5 Peng, Liang 5 Rice, Gregory 5 Saikkonen, Pentti 5 Truquet, Lionel 5 Yang, Shanchao 5 Zhu, Qianqian 4 Arvanitis, Stelios 4 Carbon, Michel 4 Cui, Yunwei 4 Davis, Richard A. 4 Dimitrakopoulos, Stefanos 4 Diop, Aliou 4 Escanciano, Juan Carlos 4 Harel, Michel 4 Hušková, Marie 4 Ilmi Amir, Abdoulkarim 4 Kim, Byungsoo 4 Koopman, Siem Jan 4 Lafaye de Micheaux, Pierre 4 Lescheb, Ines 4 Li, Muyi 4 Meitz, Mika 4 Ngatchou Wandji, Joseph 4 Niglio, Marcella 4 Oh, Haejune 4 Pan, Jiazhu 4 Patilea, Valentin 4 Preminger, Arie 4 Rombouts, Jeroen V. K. 4 Stelzer, Robert 4 Vitale, Cosimo Damiano 4 Yao, Anne-Françoise 3 Abdi, Ahmedoune Ould 3 Abdi, Sidi Ali Ould 3 Anatolyev, Stanislav 3 Andrews, Beth 3 Bentarzi, Mohamed 3 Beutner, Eric 3 Christou, Vasiliki 3 Douc, Randal 3 El Ghini, Ahmed 3 El Machkouri, Mohamed 3 Elek, Péter 3 Elharfaoui, Echarif 3 Ghysels, Eric 3 Guerbyenne, Hafida 3 Haas, Markus 3 Hallin, Marc 3 Hong, Yongmiao 3 Horváth, Lajos 3 Iglesias, Emma M. 3 Jasiak, Joann 3 Jiang, Feiyu 3 Jo, Minyoung 3 Kadmiri, Othman ...and 830 more Authors all top 5 Cited in 116 Serials 90 Journal of Econometrics 81 Journal of Time Series Analysis 47 Econometric Theory 32 Communications in Statistics. Theory and Methods 30 Computational Statistics and Data Analysis 26 Statistics & Probability Letters 24 Journal of Multivariate Analysis 23 Econometric Reviews 22 Journal of Statistical Planning and Inference 21 Economics Letters 21 Electronic Journal of Statistics 20 Journal of Statistical Computation and Simulation 18 Comptes Rendus. Mathématique. Académie des Sciences, Paris 16 Statistical Inference for Stochastic Processes 15 Communications in Statistics. Simulation and Computation 15 Test 14 Statistics 12 Bernoulli 11 Scandinavian Journal of Statistics 11 The Annals of Statistics 11 Journal of the Korean Statistical Society 10 Annals of the Institute of Statistical Mathematics 10 Statistical Papers 10 Studies in Nonlinear Dynamics and Econometrics 9 Statistical Methods and Applications 7 Journal of Economic Dynamics & Control 7 Quantitative Finance 7 Journal of Time Series Econometrics 6 The Canadian Journal of Statistics 6 Journal of the American Statistical Association 6 Stochastic Processes and their Applications 6 Mathematical Methods of Statistics 6 Journal of Business and Economic Statistics 5 Metrika 5 Journal of Nonparametric Statistics 5 Journal of the Royal Statistical Society. Series B. Statistical Methodology 5 AStA. Advances in Statistical Analysis 4 Acta Mathematicae Applicatae Sinica. English Series 4 Statistica Sinica 4 Stochastics 3 Advances in Applied Probability 3 Statistica Neerlandica 3 Annals of Operations Research 3 Computational Statistics 3 The Econometrics Journal 3 Methodology and Computing in Applied Probability 3 Journal of Statistical Theory and Practice 3 Science China. Mathematics 3 Communications in Mathematics and Statistics 2 Physica A 2 Econometrica 2 International Statistical Review 2 Journal of Applied Probability 2 Kybernetika 2 Stochastic Analysis and Applications 2 The Annals of Applied Probability 2 Journal of Mathematical Sciences (New York) 2 Random Operators and Stochastic Equations 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Journal of Inequalities and Applications 2 Journal of Applied Statistics 2 Statistical Modelling 2 Computational Management Science 2 Statistics and Computing 2 Statistics & Risk Modeling 2 Dependence Modeling 2 Journal of Econometric Methods 1 Information Sciences 1 Metron 1 Monatshefte für Mathematik 1 Acta Mathematica Hungarica 1 Journal of the Nigerian Mathematical Society 1 Sequential Analysis 1 Queueing Systems 1 Applications of Mathematics 1 Numerical Algorithms 1 European Journal of Operational Research 1 Applied Mathematics. Series B (English Edition) 1 Fractals 1 The Journal of Artificial Intelligence Research (JAIR) 1 Electronic Journal of Probability 1 Arab Journal of Mathematical Sciences 1 Mathematical Problems in Engineering 1 Mathematical Communications 1 Differential Equations and Dynamical Systems 1 Discrete Dynamics in Nature and Society 1 Extremes 1 Acta Mathematica Sinica. English Series 1 CEJOR. Central European Journal of Operations Research 1 Probability in the Engineering and Informational Sciences 1 Optimization and Engineering 1 Revista de Matemática: Teoría y Aplicaciones 1 Brazilian Journal of Probability and Statistics 1 Scandinavian Actuarial Journal 1 Stochastic Models 1 Asia-Pacific Financial Markets 1 Review of Derivatives Research 1 International Journal of Wavelets, Multiresolution and Information Processing 1 Statistical Methodology 1 Journal of Mathematical Inequalities ...and 16 more Serials all top 5 Cited in 15 Fields 778 Statistics (62-XX) 151 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 129 Probability theory and stochastic processes (60-XX) 70 Numerical analysis (65-XX) 8 Dynamical systems and ergodic theory (37-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Geophysics (86-XX) 4 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 3 Computer science (68-XX) 2 General and overarching topics; collections (00-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Biology and other natural sciences (92-XX) Citations by Year