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 3 205 0 3 8 318
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 66 1 15 17 178
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 4 9 40
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 1 24 2 5 7 102
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 2 5 91
Bartlett's formula for a general class of non linear processes 0 0 0 174 2 6 11 608
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 1 3 7 205
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 2 5 97
Combining parametric and nonparametric approaches for more efficient time series prediction 1 1 2 181 1 3 11 308
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 4 64 3 6 13 141
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 2 7 11 181
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 6 8 64
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 3 5 101
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 2 10 12 130
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 0 0 0 422
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 18 0 3 5 67
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 2 7 38
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 1 6 9 32
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 0 5 9 165
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 1 2 3 71
Estimating Weak Garch Representations 0 0 0 55 2 6 9 134
Estimating dynamic systemic risk measures 0 1 5 106 0 12 32 164
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 4 12 15 173
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 1 5 11 229
Estimation Adjusted VaR 0 0 0 110 2 3 7 344
Explosive Bubble Modelling by Noncausal Process 0 1 3 342 1 9 16 672
Finite moments testing in a general class of nonlinear time series models 0 1 5 7 5 19 26 39
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 1 89 1 5 14 164
Garch models without positivity constraints: exponential or log garch? 0 0 2 134 0 5 11 289
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 2 5 43
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 1 4 7 180
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 1 4 10 313
Inference in Non Stationary Asymmetric Garch Models 0 1 1 18 1 8 12 65
Inference in non stationary asymmetric garch models 0 0 0 69 1 5 9 132
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 2 73 1 6 11 123
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 4 5 33
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 8 10 139
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 3 6 64
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 0 6 8 38
Local Explosion Modelling by Noncausal Process 0 0 0 105 1 5 9 146
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 11 17 87
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 3 8 59
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 2 14 1 7 21 156
Merits and drawbacks of variance targeting in GARCH models 0 1 6 424 2 13 25 1,388
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 0 3 112 0 4 15 167
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 2 4 76
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 2 7 10 280
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 2 3 30
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 1 5 5 97
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 1 1 22 0 6 8 72
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 2 164 0 5 10 352
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 1 1 58
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 1 69 1 7 10 76
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 1 1 7 244 2 20 37 547
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 2 6 8 59
Quasi-indirect inference for diffusion processes 0 0 0 0 0 5 6 31
Risk-parameter estimation in volatility models 0 0 2 169 1 4 8 352
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 0 5 6 99
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 0 86 0 3 5 512
Stochastic unit-root bilinear processes 0 0 0 0 1 8 10 211
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 1 5 9 349
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 0 5 10 92
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 3 156 1 6 14 351
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 3 23 27 353
Testing for continuous-time models of the short-term interest rate 0 0 0 3 1 7 7 43
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 2 5 127
Testing the existence of moments and estimating the tail index of augmented garch processes 1 1 1 159 2 7 11 111
Testing the existence of moments for GARCH processes 0 0 1 53 0 8 12 77
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 2 198 1 3 10 420
Variance targeting estimation of multivariate GARCH models 0 0 0 87 0 2 6 159
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 3 10 39
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 1 9 14 35
Total Working Papers 3 12 68 5,038 67 428 747 13,708

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 6 101 0 9 21 322
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 0 6 12 218
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 0 6 7 69
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 2 6 11 83
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 0 4 9 382
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 2 5 58
Combining Nonparametric and Optimal Linear Time Series Predictions 1 1 2 45 2 4 8 126
Comment 0 0 0 2 0 2 4 27
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 7 2 3 10 27
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 6 10 100
Contemporaneous asymmetry in GARCH processes 0 0 0 92 0 6 10 265
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 1 1 2 63 1 6 9 192
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 1 1 144 0 3 8 318
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 2 5 155
ESTIMATION-ADJUSTED VAR 0 0 1 25 2 5 9 122
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 1 2 4 7
Estimating multivariate volatility models equation by equation 0 1 3 15 0 9 14 59
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 0 7 8 58
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 0 2 4 76
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 0 5 8 63
Functional GARCH models: The quasi-likelihood approach and its applications 0 1 1 11 2 11 22 89
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 48 2 17 29 199
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 2 15 2 7 10 58
HAC estimation and strong linearity testing in weak ARMA models 0 0 3 45 0 4 13 187
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 2 10 13 95
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 4 54
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 2 31 31 33
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 0 5 7 138
Local explosion modelling by non-causal process 0 0 4 44 1 10 19 172
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 2 3 61
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 1 4 3 9 11 28
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 1 1 93 0 5 9 218
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 27 3 10 14 126
Modéles autoregressifs à seuils multiple 0 0 1 2 1 3 4 45
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 3 5 74
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 1 11 1 6 9 71
Optimal predictions of powers of conditionally heteroscedastic processes 0 1 1 13 0 2 5 60
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 0 2 9 99
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 1 9 10 95
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 4 28 2 8 19 127
Risk-parameter estimation in volatility models 0 0 0 65 0 4 13 241
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 1 4 78
Stationarity of multivariate Markov-switching ARMA models 0 0 6 339 1 7 17 671
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 0 1 6 193
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 1 2 3 45
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 2 6 10
Testing for continuous-time models of the short-term interest rate 0 1 1 132 1 10 17 312
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 5 12 297
Testing the existence of moments for GARCH processes 0 0 2 10 2 8 17 35
The L2-structures of standard and switching-regime GARCH models 0 0 2 28 0 7 13 95
Threshold Arch Models and Asymmetries in Volatility 1 3 11 1,240 1 11 30 2,752
Threshold heteroskedastic models 1 5 30 2,866 3 19 76 5,483
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 2 65 0 2 9 189
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 0 9 14 108
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 4 5 12 50
Total Journal Articles 4 18 97 6,262 46 342 671 15,315

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Statistics updated 2026-03-04