Access Statistics for Jean-Michel Zakoian

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Tour in the Asymptotic Theory of GARCH Estimation 3 11 32 32 3 13 47 47
Barlett’s Formula for Non Linear Processes 0 0 4 4 0 2 16 16
Bartlett's formula for a general class of non linear processes 1 8 37 37 12 29 108 108
Can One Really Estimate Nonstationary GARCH Models ? 4 11 25 25 6 18 45 45
Combining parametric and nonparametric approaches for more efficient time series prediction 3 33 33 33 5 15 15 15
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 4 0 1 8 8
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 41 4 6 15 157
Contemporaneous Asymmetry in GARCH Processes 1 2 7 7 1 4 15 15
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 0 1 3 8 373
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 1 1 4 4 3 5 14 14
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 0 1 1 5 5
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 1 2 10 10 3 8 32 32
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 2 2 7 7 2 2 11 11
Estimating Weak Garch Representations 2 3 8 8 4 5 14 14
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 1 5 18 18 3 12 16 16
Inference in GARCH when some coefficients are equal to zero 2 5 17 79 2 9 41 172
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 3 3 3 0 4 8 8
Merits and drawbacks of variance targeting in GARCH models 9 21 49 49 18 48 86 86
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 1 1 3 4 16 182
Stationarity of Multivariate Markov-Switching ARMA Models 2 3 17 18 2 6 36 371
Stochastic unit-root bilinear processes 0 0 0 0 3 3 22 126
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 1 2 2 2 4 7 7 7
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 7 12 12 0 8 25 25
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 2 21 21 21 4 8 8 8
Total Working Papers 35 141 311 415 84 221 618 1,861

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE 3 5 16 24 6 13 43 64
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 1 1 7 19 1 3 26 66
Bartlett's formula for a general class of nonlinear processes 2 10 10 10 25 46 46 46
COMMENTS ON THE PAPER BY MINXIAN YANG 1 2 3 3 1 6 14 14
Contemporaneous asymmetry in GARCH processes 1 3 14 64 3 6 24 137
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 3 10 12 1 6 18 23
Diagnostic Checking in ARMA Models With Uncorrelated Errors 4 11 28 48 4 15 59 96
ESTIMATING WEAK GARCH REPRESENTATIONS 6 10 21 21 7 15 33 33
HAC estimation and strong linearity testing in weak ARMA models 2 2 5 5 5 8 18 18
Linear-representation Based Estimation of Stochastic Volatility Models 2 3 7 16 2 3 16 35
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 3 6 15 16 7 17 37 40
Modéles autoregressifs à seuils multiple 2 5 8 8 2 5 8 8
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 1 1 1 7 1 1 2 30
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 7 7 2 5 15 15
Stationarity of multivariate Markov-switching ARMA models 3 9 26 114 5 13 42 209
Testing for continuous-time models of the short-term interest rate 1 4 15 87 3 6 27 164
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 2 8 8 8 3 14 14 14
Threshold Arch Models and Asymmetries in Volatility 8 26 96 473 22 57 202 985
Threshold heteroskedastic models 14 54 217 652 26 96 359 1,185
Total Journal Articles 56 163 514 1,594 126 335 1,003 3,182

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Statistics updated 2009-11-04