Christian Francq

Institution: Centre de Recherche en Économie et Statistique (CREST)

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://christian.francq140.free.fr/

First Publication: 2000

Most Recent: 2025

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	10.76	2.69	0.00	13.45	98%
Last 10 Years	18.50	3.70	0.00	22.20	98%
All Time	30.61	9.42	0.34	40.36	97%

Publication Statistics

Raw Publications 30

Coauthorship-Adjusted Count 25.41

Publications (30)

Year	Article	Journal	Tier	Authors
2025	Inference on dynamic systemic risk measures	Journal of Econometrics	A	2
2024	INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT	Econometric Theory	B	3
2024	Autoregressive conditional betas	Journal of Econometrics	A	3
2023	LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS	Econometric Theory	B	2
2023	Quasi score-driven models	Journal of Econometrics	A	3
2023	Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models	Journal of Econometrics	A	2
2022	Testing the existence of moments for GARCH processes	Journal of Econometrics	A	2
2022	Volatility Estimation When the Zero-Process is Nonstationary	Journal of Business & Economic Statistics	A	2
2021	COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS	Econometric Theory	B	2
2020	Virtual Historical Simulation for estimating the conditional VaR of large portfolios	Journal of Econometrics	A	2
2019	QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES	Econometric Theory	B	2
2019	Functional GARCH models: The quasi-likelihood approach and its applications	Journal of Econometrics	A	4
2018	Asymptotics of Cholesky GARCH models and time-varying conditional betas	Journal of Econometrics	A	3
2018	Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models	Journal of Econometrics	A	2
2017	Tests for conditional ellipticity in multivariate GARCH models	Journal of Econometrics	A	3
2015	Risk-parameter estimation in volatility models	Journal of Econometrics	A	2
2014	Comment	Journal of Business & Economic Statistics	A	2
2013	GARCH models without positivity constraints: Exponential or log GARCH?	Journal of Econometrics	A	3
2013	Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions	Journal of Business & Economic Statistics	A	2
2012	QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS	Econometric Theory	B	2
2011	Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE	Journal of Econometrics	A	3
2010	SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL	Econometric Theory	B	3
2010	Inconsistency of the MLE and inference based on weighted LS for LARCH models	Journal of Econometrics	A	2
2008	A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test	Journal of Econometrics	A	3
2006	MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS	Econometric Theory	B	2
2005	A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE	Econometric Theory	B	2
2002	COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”	Econometric Theory	B	2
2001	Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes	Economics Letters	C	3
2001	Stationarity of multivariate Markov-switching ARMA models	Journal of Econometrics	A	2
2000	ESTIMATING WEAK GARCH REPRESENTATIONS	Econometric Theory	B	2