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Christian Francq

Global rank #2150 97%

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

RePEc ID: pfr109 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 5.36 2.68 0.00 13.41
Last 10 Years 0.00 9.22 3.69 0.00 22.12
All Time 0.00 15.25 9.38 0.00 40.22

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