36 citations · 51 across the 5 of their papers we have counts for
5 papers
Mixed difference integer-valued GARCH model for -valued time series
Abdelhakim Aknouche, Christian Francq, Yuichi Goto
In this paper, we introduce flexible observation-driven -valued time series models constructed from mixtures of negative and non-negative components. Compared to models…
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Christian Francq, Jean-Michel Zakoian
In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of ri…
Goodness-of-fit tests for extended Log-GARCH models
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper studies goodness of fit tests and specification tests for an extension of the log-GARCH model which is stable by scaling. A Lagrange-Multiplier test is derived for testi…
Inference in nonstationary asymmetric GARCH models
Christian Francq, Jean-Michel Zakoïan
This paper considers the statistical inference of the class of asymmetric power-transformed models in presence of possible explosiveness. We study the e…
GARCH models without positivity constraints: Exponential or Log GARCH?
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constrai…