معرفی
Christian Francq is a Professor in Applied Mathematics with dual affiliations at ENSAE-CREST (École Nationale de la Statistique et de l'Administration Économique - Center for Research in Economics and Statistics) and the University of Lille (specifically University Charles-de-Gaulle Lille 3). He joined ENSAE-CREST in September 2011 on secondment while maintaining his position at the University of Lille where he has been a full Professor since September 2002.
His academic career began as an Assistant Professor in Applied Mathematics at University Lille I from 1990 to September 1998, followed by a position as full Professor of Mathematics at the University Littoral-Côte d'Opale from September 1998 to September 2002.
Professor Francq's research focuses on Financial Econometrics, Time Series Analysis, and Statistics, with particular expertise in GARCH models, volatility modeling, and risk measurement. His work bridges theoretical statistical developments with practical financial applications, making significant contributions to the understanding of financial time series and risk modeling. He has developed advanced methodologies for estimating and testing GARCH-type models, addressing challenges related to non-stationarity, moment conditions, and model specification.
His recent publications demonstrate a strong focus on advancing the theoretical foundations of time series analysis while maintaining relevance to financial applications. Key themes include conditional heteroskedasticity modeling, systemic risk measurement, volatility estimation, and the development of robust statistical inference procedures for financial time series. His work often addresses the challenges of working with real financial data, including non-stationarity, heavy-tailed distributions, and complex dependence structures.
Professor Francq has been actively involved in major research projects including the ANR project MLforRisk (ANR-21-CE26-0007) and previously completed ANR projects MultiRisk and Econom&Risks. These projects focused on econometric methods for multiple risk modeling and contributed to the development of reproducible research platforms like Exec&Share and RunMyCode.
He has extensive teaching experience in advanced statistical and financial courses including GARCH and stochastic volatility models, Linear Time Series, and Risk measures. His book on GARCH modeling represents a significant contribution to the field, providing comprehensive coverage of both theoretical foundations and practical applications of GARCH models.
Professor Francq collaborates extensively with researchers across Europe and has co-authored numerous papers with prominent scholars in econometrics and statistics. His work has been presented at major international conferences and published in top-tier journals in econometrics and statistics.
