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 1 4 205 0 1 7 315
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 0 0 1 32
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 1 24 0 0 2 96
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 1 4 89
Bartlett's formula for a general class of non linear processes 0 0 2 174 0 1 10 601
Can One Really Estimate Nonstationary GARCH Models ? 0 1 1 73 0 1 1 199
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 0 1 93
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 180 1 2 8 303
Conditional Heteroskedasticity Driven by Hidden Markov Chains 1 1 4 63 1 1 6 132
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 1 3 173
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 1 56
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 0 7 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 2 18 0 0 3 64
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 1 2 33
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 0 2 25
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 1 1 48 0 1 3 158
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 1 1 40 0 1 1 69
Estimating Weak Garch Representations 0 0 0 55 0 1 2 127
Estimating dynamic systemic risk measures 0 1 16 105 3 8 40 148
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 2 101 0 2 5 161
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 2 3 7 223
Estimation Adjusted VaR 0 0 0 110 1 2 5 340
Explosive Bubble Modelling by Noncausal Process 0 0 4 341 0 1 12 662
Finite moments testing in a general class of nonlinear time series models 0 0 2 3 0 0 7 16
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 4 89 0 1 9 154
Garch models without positivity constraints: exponential or log garch? 0 1 3 134 0 2 6 282
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 0 2 40
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 1 1 3 175
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 0 3 305
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 0 1 3 56
Inference in non stationary asymmetric garch models 0 0 0 69 0 1 4 126
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 1 3 73 0 1 9 116
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 0 0 4 130
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 1 2 60
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 1 1 1 13 1 1 2 32
Local Explosion Modelling by Noncausal Process 0 0 1 105 0 1 6 139
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 1 4 74
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 1 1 2 53
Merits and Drawbacks of Variance Targeting in GARCH Models 1 1 1 13 6 7 11 145
Merits and drawbacks of variance targeting in GARCH models 1 1 5 422 2 2 10 1,368
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 0 5 110 0 1 10 156
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 0 2 73
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 2 272
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 0 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 0 0 1 65
Optimal predictions of powers of conditionally heteroskedastic processes 0 1 2 164 0 1 4 346
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 0 1 57
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 0 0 5 68
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 3 6 243 5 9 16 522
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 0 3 53
Quasi-indirect inference for diffusion processes 0 0 0 0 0 0 3 26
Risk-parameter estimation in volatility models 0 0 2 169 0 0 4 348
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 0 0 1 94
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 1 86 0 0 1 507
Stochastic unit-root bilinear processes 0 0 0 0 0 0 3 202
Strict stationarity testing and estimation of explosive ARCH models 0 1 2 171 0 2 4 344
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 0 0 4 85
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 1 3 3 156 1 3 5 342
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 0 1 1 327
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 0 1 3 124
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 158 0 0 6 103
Testing the existence of moments for GARCH processes 0 0 0 52 0 0 2 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 197 0 0 5 413
Variance targeting estimation of multivariate GARCH models 0 0 1 87 0 0 3 155
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 1 1 6 34
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 1 1 22
Total Working Papers 5 19 89 5,018 27 69 321 13,153

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 3 6 99 1 6 13 310
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 1 1 71 0 3 6 210
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 2 16 1 1 4 63
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 0 1 3 74
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 0 1 6 377
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 1 3 56
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 44 0 0 3 121
Comment 0 0 0 2 0 0 1 24
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 6 0 0 5 20
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 2 12 0 2 7 93
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 0 0 4 184
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 1 143 0 0 5 312
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 1 151
ESTIMATION-ADJUSTED VAR 0 1 2 25 0 2 6 116
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 2 2 2 14 2 2 4 48
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 0 0 2 50
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 1 17 0 1 2 73
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 0 1 4 57
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 0 10 0 5 9 74
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 47 1 3 10 177
Goodness-of-fit tests for Log-GARCH and EGARCH models 1 2 3 15 1 2 3 50
HAC estimation and strong linearity testing in weak ARMA models 0 1 3 45 0 2 8 180
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 1 13 0 1 4 85
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 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 3 132
Local explosion modelling by non-causal process 0 0 6 43 0 0 12 159
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 0 1 59
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 1 1 1 4 2 2 3 19
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 92 1 1 3 211
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 27 0 0 4 114
Modéles autoregressifs à seuils multiple 1 1 1 2 1 1 1 42
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 0 1 70
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 1 1 1 11 1 1 4 65
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 0 1 1 56
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 25 0 0 5 93
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 1 25 0 0 2 85
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 2 26 1 3 8 115
Risk-parameter estimation in volatility models 0 0 0 65 2 4 15 236
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 1 3 77
Stationarity of multivariate Markov-switching ARMA models 0 1 5 338 1 2 10 662
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 0 2 3 190
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 0 2 42
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 1 2 3 6
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 3 5 290
Testing the existence of moments for GARCH processes 0 0 4 10 1 2 9 23
The L2-structures of standard and switching-regime GARCH models 0 1 3 28 0 2 7 87
Threshold Arch Models and Asymmetries in Volatility 1 3 12 1,236 3 8 25 2,737
Threshold heteroskedastic models 3 7 30 2,852 4 14 70 5,447
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 1 1 2 65 1 2 7 185
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 0 0 9 97
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 0 1 6 43
Total Journal Articles 11 27 103 6,225 26 86 339 14,854

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Statistics updated 2025-10-06