Access Statistics for Jean-Michel Zakoian

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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 0 0 0 205 0 1 6 321
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 66 0 0 18 179
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 0 11 43
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 0 24 1 2 12 108
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 8 96
Bartlett's formula for a general class of non linear processes 0 0 0 174 0 0 13 613
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 1 1 9 207
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 0 7 100
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 181 0 1 9 310
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 3 65 0 1 15 146
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 0 14 187
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 2 15 71
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 2 9 105
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 0 0 14 132
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 1 1 2 424
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 0 18 1 2 5 69
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 0 6 39
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 0 14 39
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 0 0 12 169
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 0 40 0 0 4 73
Estimating Weak Garch Representations 1 1 1 56 1 2 11 138
Estimating dynamic systemic risk measures 0 0 4 109 0 3 30 173
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 0 1 21 180
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 0 0 10 230
Estimation Adjusted VaR 0 0 0 110 0 1 10 348
Explosive Bubble Modelling by Noncausal Process 0 2 4 345 0 3 21 682
Finite moments testing in a general class of nonlinear time series models 0 0 4 7 0 2 27 43
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 0 89 0 0 14 168
Garch models without positivity constraints: exponential or log garch? 0 1 2 135 0 1 13 293
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 1 1 8 48
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 80 0 1 10 184
Inference in GARCH when some coefficients are equal to zero 0 0 2 104 0 0 14 319
Inference in Non Stationary Asymmetric Garch Models 0 0 2 19 0 1 14 70
Inference in non stationary asymmetric garch models 0 0 0 69 0 0 12 138
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 1 73 0 1 12 127
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 7 35
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 1 14 144
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 1 9 69
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 0 0 10 41
Local Explosion Modelling by Noncausal Process 0 0 0 105 0 2 13 151
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 1 18 91
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 1 12 64
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 3 15 1 5 26 164
Merits and drawbacks of variance targeting in GARCH models 0 0 3 424 0 4 28 1,394
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 0 2 112 0 2 17 173
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 0 5 78
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 13 285
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 0 4 31
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 1 64 0 1 12 104
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 22 0 1 10 75
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 0 164 0 0 11 357
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 0 3 60
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 0 0 12 80
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 3 244 0 2 39 553
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 2 9 62
Quasi-indirect inference for diffusion processes 0 0 0 0 0 0 8 34
Risk-parameter estimation in volatility models 0 1 1 170 0 2 10 358
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 3 4 12 106
Stationarity of Multivariate Markov-Switching ARMA Models 0 1 2 88 0 2 8 515
Stochastic unit-root bilinear processes 0 0 0 0 0 0 12 214
Strict stationarity testing and estimation of explosive ARCH models 0 0 1 171 0 0 12 354
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 0 1 11 96
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 1 156 0 1 16 357
Testing for Continuous-Time Models of the Short-Term Interest Rate 1 1 1 11 1 1 32 358
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 0 7 43
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 1 8 131
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 159 0 1 13 116
Testing the existence of moments for GARCH processes 0 0 1 53 0 2 14 79
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 198 0 2 12 425
Variance targeting estimation of multivariate GARCH models 0 0 0 87 0 1 6 161
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 17 0 1 19 40
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 0 11 44
Total Working Papers 2 8 51 5,057 11 73 913 14,014

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 0 0 2 101 0 2 22 330
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 71 1 2 13 223
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 0 1 14 76
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 0 1 13 87
Bartlett's formula for a general class of nonlinear processes 0 0 0 104 1 3 15 391
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 3 6 62
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 45 0 1 7 128
Comment 0 0 0 2 1 1 5 29
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 1 7 0 1 12 32
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 9 102
Contemporaneous asymmetry in GARCH processes 0 0 0 92 0 1 15 270
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 3 64 1 2 11 195
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 1 144 1 4 11 323
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 11 162
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 0 9 124
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 0 7 10
Estimating multivariate volatility models equation by equation 0 0 3 15 1 1 18 64
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 0 2 12 62
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 1 2 7 80
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 1 1 17 1 2 12 69
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 2 12 2 2 20 93
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 2 49 0 0 27 203
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 3 16 0 0 11 59
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 45 0 2 16 195
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 1 1 13 98
Intrinsic Liquidity in Conditional Volatility Models 0 1 1 14 0 1 5 57
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 0 0 31 33
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 0 0 9 141
Local explosion modelling by non-causal process 1 3 6 49 1 6 26 185
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 1 1 13 0 3 8 67
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 1 4 2 4 20 37
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 93 0 1 12 222
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 27 0 1 17 131
Modéles autoregressifs à seuils multiple 0 0 1 2 0 0 7 48
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 1 10 80
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 2 12 0 1 12 76
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 1 13 0 1 9 65
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 0 0 7 100
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 0 4 15 100
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 1 2 5 30 2 4 24 137
Risk-parameter estimation in volatility models 0 0 0 65 0 0 11 243
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 0 2 79
Stationarity of multivariate Markov-switching ARMA models 0 1 3 341 2 4 19 680
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 0 2 9 199
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 2 2 7 49
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 1 1 7 11
Testing for continuous-time models of the short-term interest rate 1 1 2 133 1 2 21 316
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 1 13 300
Testing the existence of moments for GARCH processes 0 0 0 10 0 2 20 41
The L2-structures of standard and switching-regime GARCH models 2 2 2 30 2 2 12 99
Threshold Arch Models and Asymmetries in Volatility 0 1 7 1,242 1 3 27 2,758
Threshold heteroskedastic models 4 15 40 2,887 6 28 87 5,527
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 65 0 0 6 190
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 0 0 13 110
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 1 1 8 0 1 15 58
Total Journal Articles 9 30 97 6,306 32 109 797 15,606

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Statistics updated 2026-08-07