| GARCH models: structure, statistical inference and financial applications C Francq, JM Zakoian John Wiley & Sons, 2019 | 1317 | 2019 |
| Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes C Francq, JM Zakoian Bernoulli 10 (4), 605-637, 2004 | 717 | 2004 |
| Stationarity of multivariate Markov–switching ARMA models C Francq, JM Zakoıan Journal of Econometrics 102 (2), 339-364, 2001 | 289 | 2001 |
| Diagnostic checking in ARMA models with uncorrelated errors C Francq, R Roy, JM Zakoïan Journal of the American Statistical Association 100 (470), 532-544, 2005 | 179 | 2005 |
| Merits and drawbacks of variance targeting in GARCH models C Francq, L Horvath, JM Zakoïan Journal of Financial Econometrics 9 (4), 619-656, 2011 | 131 | 2011 |
| Conditional heteroskedasticity driven by hidden Markov chains C Francq, M Roussignol, JM Zakoian Journal of Time Series Analysis 22 (2), 197-220, 2001 | 129 | 2001 |
| Estimating linear representations of nonlinear processes C Francq, JM Zakoïan Journal of Statistical Planning and Inference 68 (1), 145-165, 1998 | 129 | 1998 |
| Poisson QMLE of count time series models A Ahmad, C Francq Journal of Time Series Analysis 37 (3), 291-314, 2016 | 121 | 2016 |
| Mixing properties of a general class of GARCH (1, 1) models without moment assumptions on the observed process C Francq, JM Zakoïan Econometric Theory 22 (5), 815-834, 2006 | 116 | 2006 |
| Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero C Francq, JM Zakoian Stochastic Processes and their Applications 117 (9), 1265-1284, 2007 | 95 | 2007 |
| Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models C Francq, JM Zakoïan Econometrica 80 (2), 821-861, 2012 | 93 | 2012 |
| GARCH models without positivity constraints: Exponential or log GARCH? C Francq, O Wintenberger, JM Zakoian Journal of Econometrics 177 (1), 34-46, 2013 | 91 | 2013 |
| The L2-structures of standard and switching-regime GARCH models C Francq, JM Zakoı Stochastic processes and their applications 115 (9), 1557-1582, 2005 | 88 | 2005 |
| QML inference for volatility models with covariates C Francq Econometric Theory 35 (1), 37-72, 2019 | 83 | 2019 |
| Ergodicity of autoregressive processes with Markov-switching and consistency of the maximum-likelihood estimator C Francq, M Roussignol Statistics: A Journal of Theoretical and Applied Statistics 32 (2), 151-173, 1998 | 81 | 1998 |
| QML estimation of a class of multivariate asymmetric GARCH models C Francq, JM Zakoïan Econometric Theory 28 (1), 179-206, 2012 | 78 | 2012 |
| Kernel regression estimation for random fields M Carbon, C Francq, LT Tran Journal of Statistical Planning and Inference 137 (3), 778-798, 2007 | 76 | 2007 |
| Risk-parameter estimation in volatility models C Francq, JM Zakoïan Journal of Econometrics 184 (1), 158-173, 2015 | 70 | 2015 |
| Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE C Francq, G Lepage, JM Zakoïan Journal of Econometrics 165 (2), 246-257, 2011 | 66 | 2011 |
| Bartlett's formula for a general class of nonlinear processes C Francq, JM Zakoïan Journal of Time Series Analysis 30 (4), 449-465, 2009 | 65 | 2009 |
