Christian Francq

Finance · 2000–2016

A researcher in the Science corpus: 23 papers; trusts 88 researchers and is trusted by 54 researchers here, as inferred from the citation graph.

Subfields

• Finance — 226 citations into it; #742 of 10,518 by trust here, #849 by citations
• Economics and Econometrics — 150 citations into it; #1,297 of 23,481 by trust here, #1,691 by citations
• Statistics and Probability — 125 citations into it; #3,245 of 12,932 by trust here, #2,693 by citations
• Management Science and Operations Research — 24 citations into it; #6,284 of 11,946 by trust here, #6,314 by citations
• Artificial Intelligence — 20 citations into it; #29,075 of 35,345 by trust here, #34,943 by citations
• Economics & Operations Research — 16 citations into it
• Mathematical Physics — 15 citations into it
• Time-Series & Forecasting — 8 citations into it

Whom Christian Francq trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tim Bollerslev
2. Robert F. Engle
3. S. Ling
4. István Berkes
5. Jean-Michel Zakoian
6. Michael Mcaleer
7. Daniel B. Nelson
8. Juan-Carlos Escanciano
9. Peter J. Brockwell
10. Donald W. K. Andrews

Who trusts Christian Francq overall

1. Jean-Michel Zakoian
2. A. Ahmad
3. Olivier Wintenberger
4. Christian M. Hafner
5. S. Ling
6. Jean‐Marc Bardet
7. Fangfang Wang
8. K. Zhu
9. Abdelhakim Aknouche
10. Xiaofeng Shao

Papers from Christian Francq's perspective

Ordered by how strongly the researchers Christian Francq trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
4. Asymptotic theory for multivariate GARCH processes
5. Martingale Limit Theory and Its Application
6. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
7. Dynamic Conditional Correlation
8. Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
9. Long Memory and Regime Switching
10. Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Their papers

• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004) — 591 citations
• GARCH Models (2010) — 823 citations
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (2006) — 107 citations
• The L2-structures of standard and switching-regime GARCH models (2005) — 76 citations
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (2007) — 78 citations
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (2011) — 47 citations
• Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005) — 181 citations
• Merits and Drawbacks of Variance Targeting in GARCH Models (2011) — 98 citations
• Stationarity of Multivariate Markov-Switching ARMA Models (2001) — 245 citations
• GARCH models without positivity constraints: Exponential or log GARCH? (2012) — 76 citations
• Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (2009) — 54 citations
• Conditional Heteroskedasticity Driven by Hidden Markov Chains (2001) — 107 citations
• ESTIMATING WEAK GARCH REPRESENTATIONS (2000) — 51 citations
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011) — 71 citations
• Estimating multivariate volatility models equation by equation (2016) — 52 citations
• Poisson QMLE of Count Time Series Models (2016) — 106 citations
• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2015) — 77 citations
• Optimal predictions of powers of conditionally heteroscedastic processes (2013) — 48 citations
• Risk-parameter estimation in volatility models (2012) — 60 citations
• Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models (2012) — 75 citations