Access Statistics for Jean-Michel Zakoian

Author contact details at EconPapers.

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 0 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 0 1 12 108
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 0 8 96
Bartlett's formula for a general class of non linear processes 0 0 0 174 2 2 14 615
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 73 0 1 8 207
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 1 1 8 101
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 181 0 0 8 310
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 3 65 0 0 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 1 15 71
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 1 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 2 3 425
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 0 18 0 1 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 0 48 2 2 13 171
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 0 40 0 0 4 73
Estimating Weak Garch Representations 0 1 1 56 0 1 11 138
Estimating dynamic systemic risk measures 0 0 4 109 0 3 28 173
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 1 1 20 181
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 1 1 10 231
Estimation Adjusted VaR 0 0 0 110 0 0 9 348
Explosive Bubble Modelling by Noncausal Process 1 1 5 346 1 1 21 683
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 1 1 15 169
Garch models without positivity constraints: exponential or log garch? 0 0 1 135 0 0 11 293
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 1 8 48
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 1 1 1 81 1 1 11 185
Inference in GARCH when some coefficients are equal to zero 0 0 2 104 3 3 17 322
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 1 1 13 139
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 0 73 0 0 11 127
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 1 2 10 70
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 0 12 151
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 0 17 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 0 3 15 0 2 25 164
Merits and drawbacks of variance targeting in GARCH models 0 0 3 424 1 3 29 1,395
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 0 2 112 0 1 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 1 1 14 286
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 0 12 104
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 22 3 3 13 78
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 1 244 0 0 36 553
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 0 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 1 10 358
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 0 4 12 106
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 2 88 0 0 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 0 171 0 0 10 354
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 2 2 13 98
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 0 16 357
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 1 1 11 2 3 33 360
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 0 7 131
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 159 1 1 14 117
Testing the existence of moments for GARCH processes 0 0 1 53 0 1 14 79
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 198 0 0 12 425
Variance targeting estimation of multivariate GARCH models 0 0 0 87 0 0 6 161
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 1 1 12 45
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 17 0 0 18 40
Total Working Papers 2 5 46 5,059 27 56 915 14,041

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 21 330
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 71 0 1 13 223
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 1 1 15 77
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 1 2 14 88
Bartlett's formula for a general class of nonlinear processes 0 0 0 104 0 1 14 391
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 2 7 63
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 45 1 1 8 129
Comment 0 0 0 2 0 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 0 2 11 195
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 1 144 0 3 11 323
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 11 162
ESTIMATION-ADJUSTED VAR 0 0 0 25 0 0 8 124
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 0 1 18 64
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 1 2 13 63
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 0 1 7 80
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 1 17 0 1 12 69
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 2 12 0 2 19 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 2 16 0 0 10 59
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 45 1 2 16 196
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 0 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 0 2 6 49 1 4 27 186
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 1 1 13 1 2 9 68
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 1 4 0 2 20 37
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 93 1 1 13 223
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 27 0 0 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 0 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 0 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 0 15 100
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 1 3 5 31 2 5 25 139
Risk-parameter estimation in volatility models 0 0 0 65 0 0 9 243
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 0 3 341 0 3 19 680
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 0 0 9 199
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 2 7 49
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 1 6 11
Testing for continuous-time models of the short-term interest rate 0 1 2 133 2 3 23 318
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 0 11 300
Testing the existence of moments for GARCH processes 0 0 0 10 1 2 20 42
The L2-structures of standard and switching-regime GARCH models 0 2 2 30 0 2 12 99
Threshold Arch Models and Asymmetries in Volatility 0 0 7 1,242 1 2 25 2,759
Threshold heteroskedastic models 2 11 40 2,889 4 18 88 5,531
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 65 1 1 7 191
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 0 1 8 0 0 15 58
Total Journal Articles 3 22 95 6,309 20 78 798 15,626

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-09-10