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 4 205 0 0 6 315
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 66 2 2 2 163
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 1 4 5 36
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 1 24 1 1 3 97
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 4 89
Bartlett's formula for a general class of non linear processes 0 0 0 174 0 1 7 602
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 3 3 4 202
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 2 3 95
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 180 0 3 10 305
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 63 2 4 8 135
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 1 4 174
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 2 6 98
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 2 3 58
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 2 2 2 120
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 18 0 0 2 64
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 3 5 36
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 1 1 3 26
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 1 2 5 160
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 0 0 1 69
Estimating Weak Garch Representations 0 0 0 55 0 1 3 128
Estimating dynamic systemic risk measures 0 0 10 105 2 7 32 152
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 0 0 3 161
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 1 3 8 224
Estimation Adjusted VaR 0 0 0 110 1 2 5 341
Explosive Bubble Modelling by Noncausal Process 0 0 3 341 1 1 10 663
Finite moments testing in a general class of nonlinear time series models 3 3 4 6 3 4 9 20
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 3 89 2 5 12 159
Garch models without positivity constraints: exponential or log garch? 0 0 3 134 1 2 7 284
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 1 1 3 41
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 1 2 3 176
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 4 4 6 309
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 1 1 4 57
Inference in non stationary asymmetric garch models 0 0 0 69 0 1 5 127
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 3 73 1 1 7 117
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 1 1 29
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 1 4 131
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 1 3 61
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 1 1 13 0 1 2 32
Local Explosion Modelling by Noncausal Process 0 0 1 105 1 2 7 141
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 2 6 76
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 2 4 5 56
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 1 13 3 10 14 149
Merits and drawbacks of variance targeting in GARCH models 1 2 5 423 6 9 13 1,375
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 2 2 5 112 6 7 15 163
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 1 1 2 74
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 1 1 3 273
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 1 2 28
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 2 66
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 2 164 0 1 5 347
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 1 1 6 69
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 6 243 3 10 19 527
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 2 2 3 509
Stochastic unit-root bilinear processes 0 0 0 0 0 1 3 203
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 0 0 4 344
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 2 2 5 87
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 1 3 156 2 4 8 345
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 3 3 4 330
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 4 125
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 0 158 1 1 6 104
Testing the existence of moments for GARCH processes 1 1 1 53 4 4 6 69
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 1 2 198 2 4 8 417
Variance targeting estimation of multivariate GARCH models 0 0 1 87 1 2 5 157
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 3 4 5 26
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 2 3 7 36
Total Working Papers 7 13 78 5,026 89 154 390 13,280

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 1 1 6 100 2 4 15 313
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 1 2 7 212
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 0 1 1 63
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 3 3 5 77
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 0 1 5 378
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 0 3 56
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 44 1 1 4 122
Comment 0 0 0 2 1 1 2 25
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 7 0 4 9 24
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 2 12 1 1 7 94
Contemporaneous asymmetry in GARCH processes 0 0 0 92 2 4 5 259
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 1 62 0 2 5 186
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 0 143 1 3 7 315
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 2 2 3 153
ESTIMATION-ADJUSTED VAR 0 0 1 25 1 1 5 117
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 1 2 2 5
Estimating multivariate volatility models equation by equation 0 2 2 14 2 4 6 50
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 1 1 3 51
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 1 17 0 1 3 74
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 1 1 3 58
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 0 10 2 4 12 78
GARCH models without positivity constraints: Exponential or log GARCH? 0 1 1 48 0 6 14 182
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 1 2 15 1 2 3 51
HAC estimation and strong linearity testing in weak ARMA models 0 0 3 45 2 3 11 183
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 1 13 0 0 4 85
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 2 2 4 54
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 1 4 133
Local explosion modelling by non-causal process 1 1 4 44 2 3 12 162
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 0 1 1 4 0 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 2 3 5 213
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 27 1 2 5 116
Modéles autoregressifs à seuils multiple 0 1 1 2 0 1 1 42
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 1 2 71
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 1 1 11 0 1 4 65
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 2 2 3 58
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 1 1 1 26 2 4 9 97
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 0 1 2 86
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 3 27 1 5 11 119
Risk-parameter estimation in volatility models 0 0 0 65 1 3 9 237
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 0 3 77
Stationarity of multivariate Markov-switching ARMA models 1 1 6 339 2 3 12 664
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 1 1 1 37 2 2 5 192
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 1 3 43
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 3 5 8
Testing for continuous-time models of the short-term interest rate 0 0 0 131 7 7 7 302
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 3 7 292
Testing the existence of moments for GARCH processes 0 0 4 10 3 5 12 27
The L2-structures of standard and switching-regime GARCH models 0 0 2 28 0 1 6 88
Threshold Arch Models and Asymmetries in Volatility 0 2 10 1,237 1 7 23 2,741
Threshold heteroskedastic models 7 12 34 2,861 12 21 76 5,464
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 1 2 65 1 3 8 187
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 0 2 8 99
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 1 2 7 45
Total Journal Articles 12 30 102 6,244 67 145 401 14,973

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Statistics updated 2025-12-06