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 1 1 2 203 2 2 4 312
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 66 0 0 2 161
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 1 1 1 32
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 1 1 24 0 1 2 96
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 2 3 88
Bartlett's formula for a general class of non linear processes 0 0 5 174 2 4 13 599
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 72 0 0 1 198
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 1 1 93
Combining parametric and nonparametric approaches for more efficient time series prediction 1 1 2 180 2 3 10 300
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 2 4 61 1 3 7 130
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 2 2 172
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 1 2 56
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 29 0 1 12 96
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 0 0 0 118
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 0 0 1 422
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 17 1 1 2 63
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 1 1 32
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 2 2 2 25
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 1 2 4 157
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 0 39 0 0 1 68
Estimating Weak Garch Representations 0 0 0 55 1 1 1 126
Estimating dynamic systemic risk measures 0 3 21 102 1 5 42 134
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 3 101 1 1 7 159
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 2 3 6 220
Estimation Adjusted VaR 0 0 0 110 0 0 3 337
Explosive Bubble Modelling by Noncausal Process 1 2 10 341 2 3 17 659
Finite moments testing in a general class of nonlinear time series models 0 1 3 3 1 3 15 15
Functional GARCH models: the quasi-likelihood approach and its applications 1 1 6 89 2 3 11 153
Garch models without positivity constraints: exponential or log garch? 1 1 2 133 2 2 5 280
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 1 2 3 40
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 1 1 1 80 1 1 4 174
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 0 1 303
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 2 2 3 55
Inference in non stationary asymmetric garch models 0 0 1 69 2 2 4 125
Inference on Multiplicative Component GARCH without any Small-Order Moment 1 1 7 72 1 4 19 115
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 1 28
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 1 2 6 130
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 1 1 59
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 12 1 1 6 31
Local Explosion Modelling by Noncausal Process 0 0 4 105 1 2 11 138
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 3 3 73
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 0 0 51
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 12 1 1 2 136
Merits and drawbacks of variance targeting in GARCH models 0 0 2 418 0 1 13 1,363
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 1 1 8 110 2 2 13 154
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 1 1 3 73
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 1 2 2 272
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 1 1 27
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 0 0 0 92
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 0 21 1 1 1 65
Optimal predictions of powers of conditionally heteroskedastic processes 1 1 2 163 2 3 4 345
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 1 1 57
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 3 68 1 2 4 67
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 2 2 4 239 2 2 9 512
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 2 2 3 53
Quasi-indirect inference for diffusion processes 0 0 0 0 1 1 3 26
Risk-parameter estimation in volatility models 0 0 2 167 1 1 7 345
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 1 1 1 94
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 2 86 0 0 2 507
Stochastic unit-root bilinear processes 0 0 0 0 1 1 3 202
Strict stationarity testing and estimation of explosive ARCH models 1 1 1 170 2 2 3 342
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 1 2 3 84
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 0 153 1 1 1 338
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 0 0 0 326
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 0 0 36
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 1 1 2 123
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 2 158 0 3 9 103
Testing the existence of moments for GARCH processes 0 0 0 52 0 1 4 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 0 196 0 0 3 410
Variance targeting estimation of multivariate GARCH models 0 1 2 87 1 3 5 155
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 3 4 5 33
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 0 0 21
Total Working Papers 12 22 105 4,987 66 108 347 13,049

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 1 5 96 1 3 10 303
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 70 1 1 3 207
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 3 16 0 0 4 62
Asymptotic inference in multiple-threshold double autoregressive models 0 0 2 12 0 0 3 72
Bartlett's formula for a general class of nonlinear processes 1 1 3 104 2 2 6 375
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 2 2 55
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 43 1 1 1 119
Comment 0 0 0 2 1 1 1 24
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 6 1 3 8 20
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 2 12 1 1 5 91
Contemporaneous asymmetry in GARCH processes 0 0 0 92 0 0 1 255
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 61 1 2 5 184
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 3 143 1 2 9 312
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 1 1 1 151
ESTIMATION-ADJUSTED VAR 0 0 1 24 0 0 3 113
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 0 0 3
Estimating multivariate volatility models equation by equation 0 0 0 12 1 2 3 46
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 1 1 15 0 2 4 50
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 1 17 0 0 1 72
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 1 1 3 56
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 10 2 3 9 69
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 47 2 2 7 172
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 1 13 0 0 3 48
HAC estimation and strong linearity testing in weak ARMA models 0 1 2 43 1 3 6 176
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 2 13 1 2 4 84
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 2 2 2 52
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 0 0 0 2
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 2 51 0 0 4 131
Local explosion modelling by non-causal process 1 1 6 41 1 3 16 155
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 1 1 1 59
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 0 3 0 0 1 17
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 92 1 2 2 210
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 2 27 0 1 3 113
Modéles autoregressifs à seuils multiple 0 0 0 1 0 0 0 41
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 1 1 1 70
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 10 1 1 3 63
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 0 0 2 55
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 25 1 3 4 91
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 1 25 0 1 2 85
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 1 24 2 2 4 110
Risk-parameter estimation in volatility models 0 0 2 65 1 1 14 229
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 1 2 2 76
Stationarity of multivariate Markov-switching ARMA models 2 3 5 336 3 6 14 659
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 1 1 1 188
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 2 2 42
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 0 1 4
Testing for continuous-time models of the short-term interest rate 0 0 0 131 0 0 1 295
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 1 1 1 286
Testing the existence of moments for GARCH processes 0 1 3 8 0 3 8 19
The L2-structures of standard and switching-regime GARCH models 0 1 2 27 1 3 6 85
Threshold Arch Models and Asymmetries in Volatility 1 2 12 1,231 2 4 21 2,726
Threshold heteroskedastic models 3 8 44 2,841 8 16 87 5,417
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 1 1 64 2 3 6 183
Variance Targeting Estimation of Multivariate GARCH Models 0 1 1 18 0 3 8 94
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 6 2 2 4 40
Total Journal Articles 8 24 112 6,183 52 98 323 14,716

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Statistics updated 2025-05-12