Christian Francq : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

20

H index

35

i10 index

1114

Citations

RESEARCH PRODUCTION:

65

Articles

85

Papers

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 41
   Journals where Christian Francq has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 74 (6.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfr109
   Updated: 2025-03-08    RAS profile: 2025-01-06    
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Relations with other researchers

Works with:

Zakoian, Jean-Michel (11)

Laurent, Sébastien (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Francq.

Is cited by:

Zhu, Ke (28)

Zakoian, Jean-Michel (22)

Bauwens, Luc (20)

Rahbek, Anders (20)

Hafner, Christian (19)

Sucarrat, Genaro (19)

Cavaliere, Giuseppe (16)

Escribano, Alvaro (14)

Pedersen, Rasmus (14)

Caporin, Massimiliano (14)

Gallo, Giampiero (12)

Cites to:

Zakoian, Jean-Michel (95)

Engle, Robert (69)

Bollerslev, Tim (55)

Laurent, Sébastien (32)

Ling, Shiqing (28)

Bauwens, Luc (25)

Drost, Feike C. (23)

Andrews, Donald (21)

Koopman, Siem Jan (20)

Rahbek, Anders (18)

Sentana, Enrique (18)

Main data

Where Christian Francq has published?

Journals with more than one article published# docs
Journal of Econometrics15
Journal of Time Series Analysis13
Econometric Theory10
Journal of Financial Econometrics4
Journal of the American Statistical Association3
Journal of Business & Economic Statistics3
Journal of Multivariate Analysis3
Computational Statistics & Data Analysis3
Journal of the Royal Statistical Society Series B2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany39
Working Papers / Center for Research in Economics and Statistics23
Post-Print / HAL12
Computing in Economics and Finance 2006 / Society for Computational Economics2
Working Papers / HAL2

Recent works citing Christian Francq (2025 and 2024)

YearTitle of citing document
2025Forecasting the Volatility of Energy Transition Metals. (2025). Shamsudin, Luqman ; Li, Xiao ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2024GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17127.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Trapani, Lorenzo ; Horvath, Lajos. In: Papers. RePEc:arx:papers:2404.17885.

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2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2024Portmanteau tests for periodic ARMA models with dependent errors. (2024). Manassara, Boubacar Y ; Amir, Ilmi A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:164-188.

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2024.

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2024.

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2024On vector linear double autoregression. (2024). Zhu, Qianqian ; Lin, Yuchang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:376-397.

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2024Count network autoregression. (2024). Armillotta, Mirko ; Fokianos, Konstantinos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:584-612.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Asymmetric beta-binomial GARCH models for time series with bounded support. (2024). Zhang, Rui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000286.

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2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024An identification and testing strategy for proxy-SVARs with weak proxies. (2024). Fanelli, Luca ; Cavaliere, Giuseppe ; Angelini, Giovanni. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003202.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Network log-ARCH models for forecasting stock market volatility. (2024). Mattera, Raffaele ; Otto, Philipp. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1539-1555.

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2024How do executive excess compensation affect enterprise technological innovation: Evidence from a panel threshold model of chinese biopharmaceutical companies. (2024). Borah, Dhruba ; Li, Nicolas ; Ji, Junzhe ; Xu, Yong. In: Journal of Business Research. RePEc:eee:jbrese:v:179:y:2024:i:c:s0148296324001875.

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2024A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets. (2024). Cavicchioli, Maddalena. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000610.

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2024The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Li, Xiao ; Bastianin, Andrea ; Shamsudin, Luqman. In: Working Papers. RePEc:fem:femwpa:2025.04.

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2024On the dependence structure of European vegetable oil markets. (2023). Gohin, Alexandre ; Bagnarosa, Guillaume ; Menier, Romain. In: Post-Print. RePEc:hal:journl:hal-04523660.

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2024Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456.

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2024Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758.

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2024Penalized Convex Estimation in Dynamic Location-Scale models. (2024). Chentoufi, Reda Alami. In: MPRA Paper. RePEc:pra:mprapa:123283.

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2025Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Ngatchou-Wandji, Joseph ; Meintanis, Simos G ; Hudecov, Rka. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

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2024Specifications tests for count time series models with covariates. (2024). Hukov, Marie ; Hudecov, Rka ; Meintanis, Simos G. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00933-x.

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2024Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). Koopman, Siem Jan ; Gorgi, Paolo ; van Brummelen, Janneke ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240062.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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2024.

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2025Forecasting Markov switching vector autoregressions: Evidence from simulation and application. (2025). Cavicchioli, Maddalena. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:136-152.

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Works by Christian Francq:

YearTitleTypeCited
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2017Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2017Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print.
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2016Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2016) In: Post-Print.
[Citation analysis]
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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 13		paper
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios In: Papers.
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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2020) In: Journal of Econometrics.
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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2019) In: MPRA Paper.
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This paper has nother version. Agregated cites: 5		paper
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article66
2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article29
2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
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2008Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper.
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2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
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2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article19
2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
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2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
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2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article17
1997On Bartlett’s Formula for Non‐linear Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
1997On White Noises Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
2001Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article40
1998Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers.
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1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
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2002Efficient use of higher‐lag autocorrelations for estimating autoregressive processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: LIDAM Reprints CORE.
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2004Large sample properties of parameter least squares estimates for time‐varying arma models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article12
2006Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
2007Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article12
2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article18
2009Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper.
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2011Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models In: Journal of Time Series Analysis.
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2011Asymptotic properties of weighted least squares estimation in weak parma models.(2011) In: MPRA Paper.
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2016Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2013Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4		paper
2016Poisson QMLE of Count Time Series Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article34
2015Poisson QMLE of Count Time Series Models.(2015) In: Post-Print.
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This paper has nother version. Agregated cites: 34		paper
2014Poisson qmle of count time series models.(2014) In: MPRA Paper.
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2022Stationarity and ergodicity of Markov switching positive conditional mean models In: Journal of Time Series Analysis.
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2020Stationarity and ergodicity of Markov switching positive conditional mean models.(2020) In: MPRA Paper.
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This paper has nother version. Agregated cites: 6		paper
2023Optimal estimating function for weak location‐scale dynamic models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2006Linear‐representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article11
2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper9
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: LIDAM Reprints CORE.
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2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters.
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2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
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2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 94		article
2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
[Full Text][Citation analysis]		paper3
2008A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Barlett’s Formula for Non Linear Processes In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers.
[Full Text][Citation analysis]		paper1
2008Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers.
[Full Text][Citation analysis]		paper1
2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
[Full Text][Citation analysis]		paper4
2010SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 4		article
2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
[Full Text][Citation analysis]		paper62
2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
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2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
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2009Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2011Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers.
[Full Text][Citation analysis]		paper11
2013Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions.(2013) In: Journal of Business & Economic Statistics.
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2013Inference in Non Stationary Asymmetric Garch Models In: Working Papers.
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2013Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper.
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2014Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models In: Working Papers.
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2023LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS.(2023) In: Econometric Theory.
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2021Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models.(2021) In: MPRA Paper.
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2022Inference on Multiplicative Component GARCH without any Small-Order Moment In: Working Papers.
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2022Estimating dynamic systemic risk measures In: Working Papers.
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1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
[Full Text][Citation analysis]		paper1
1997Estimating Weak Garch Representations In: Working Papers.
[Full Text][Citation analysis]		paper34
2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
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1999Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2002COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” In: Econometric Theory.
[Full Text][Citation analysis]		article8
2005A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE In: Econometric Theory.
[Full Text][Citation analysis]		article7
2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS In: Econometric Theory.
[Full Text][Citation analysis]		article31
2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article28
2019QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES In: Econometric Theory.
[Full Text][Citation analysis]		article34
2015Qml inference for volatility models with covariates.(2015) In: MPRA Paper.
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2021COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS In: Econometric Theory.
[Full Text][Citation analysis]		article22
2018Count and duration time series with equal conditional stochastic and mean orders.(2018) In: MPRA Paper.
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2024INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT In: Econometric Theory.
[Full Text][Citation analysis]		article0
2012Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models In: Econometrica.
[Full Text][Citation analysis]		article53
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2008Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article28
2012Computing and estimating information matrices of weak ARMA models In: Computational Statistics & Data Analysis.
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2010Computing and estimating information matrices of weak arma models.(2010) In: MPRA Paper.
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2008A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
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2011Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE In: Journal of Econometrics.
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2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
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2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models In: Journal of Econometrics.
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2015Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.(2015) In: MPRA Paper.
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2005The L2-structures of standard and switching-regime GARCH models In: Stochastic Processes and their Applications.
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2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero In: Stochastic Processes and their Applications.
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