Christian Francq

University of Lille III

Domaine du Pont de bois

Villeneuve D'Ascq Cedex, 59653

France

SCHOLARLY PAPERS

7

DOWNLOADS

57

SSRN CITATIONS
Rank 36,230

SSRN RANKINGS

Top 36,230

in Total Papers Citations

1

CROSSREF CITATIONS

17

Scholarly Papers (7)

1.

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, Vol. 123/124, Dec. 2016, 225-246
Number of pages: 28 Posted: 20 Nov 2017
Université Paris Dauphine - DRM-CEREG, University of Lille III, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and CREST
Downloads 32 (488,732)

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GARCH, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

2.

Asymptotic Relative Efficiency of Goodness-of-Fit Tests Based on Inverse and Ordinary Autocorrelations

Journal of Time Series Analysis, Vol. 27, No. 6, pp. 843-855, November 2006
Number of pages: 13 Posted: 08 Oct 2006
Ahmed El Ghini and Christian Francq
University of Lille III and University of Lille III
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3.

Multivariate Portmanteau Test for Autoregressive Models with Uncorrelated but Nonindependent Errors

Journal of Time Series Analysis, Vol. 28, No. 3, pp. 454-470, May 2007
Number of pages: 17 Posted: 02 May 2007
Christian Francq and Hamdi Raïssi
University of Lille III and University of Lille III
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4.

Bartlett's Formula for a General Class of Nonlinear Processes

Journal of Time Series Analysis, Vol. 30, Issue 4, pp. 449-465, July 2009
Number of pages: 17 Posted: 20 Jun 2009
Christian Francq and Jean-Michel Zakoïan
University of Lille III and Université de Lille III
Downloads 4 (663,666)
Citation 1
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5.

Poisson QMLE of Count Time Series Models

Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 291-314, 2016
Number of pages: 24 Posted: 11 Apr 2016
Ali Ahmad and Christian Francq
University of Lille III and University of Lille III
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Boundary of the parameter space, consistency and asymptotic normality, integer‐valued AR and GARCH models, non‐normal asymptotic distribution, Poisson quasi‐maximum likelihood estimator, time series of counts

6.

Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

Journal of Time Series Analysis, Vol. 32, Issue 6, pp. 699-723, 2011
Number of pages: 25 Posted: 13 Oct 2011
Christian Francq, Roch Roy and Abdessamad Saidi
University of Lille III, University of Montreal - Department of Mathematics and Statistics and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
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Weak periodic autoregressive moving average models, seasonality, weighted least squares, asymptotic normality, strong consistency, weak periodic white noise, strong mixing, primary 62M10, secondary 62M15

7.

Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 46-76, 2016
Number of pages: 31 Posted: 22 Dec 2015
Mohamed El Ghourabi, Christian Francq and Fedya Telmoudi
University of Tunis, Larodec, University of Lille III and University of Tunis
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APARCH, conditional VaR, distortion risk measures, GARCH, generalized quasi‐maximum likelihood estimation, instrumental density