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 1 2 202 0 1 3 310
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 0 31
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 0 23 0 1 1 95
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 1 86
Bartlett's formula for a general class of non linear processes 0 0 6 174 2 2 12 597
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 72 0 0 2 198
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 0 0 92
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 179 0 2 7 297
Conditional Heteroskedasticity Driven by Hidden Markov Chains 1 1 3 60 1 1 5 128
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 0 0 170
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 29 1 4 13 96
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 1 2 56
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 0 0 1 118
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 0 1 1 422
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 17 0 0 1 62
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 0 0 31
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 0 0 23
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 1 1 4 156
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 0 0 0 125
Estimating dynamic systemic risk measures 2 6 21 101 3 12 44 132
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 3 101 0 0 6 158
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 1 1 108 1 2 4 218
Estimation Adjusted VaR 0 0 0 110 0 1 3 337
Explosive Bubble Modelling by Noncausal Process 0 1 9 339 0 3 16 656
Finite moments testing in a general class of nonlinear time series models 0 0 2 2 1 2 13 13
Functional GARCH models: the quasi-likelihood approach and its applications 0 2 5 88 0 3 10 150
Garch models without positivity constraints: exponential or log garch? 0 1 1 132 0 1 3 278
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 0 1 38
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 79 0 0 3 173
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 0 0 1 53
Inference in non stationary asymmetric garch models 0 0 1 69 0 1 2 123
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 1 7 71 1 2 18 112
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 5 129
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 0 0 58
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 12 0 0 6 30
Local Explosion Modelling by Noncausal Process 0 1 5 105 1 3 12 137
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 1 49 0 0 1 70
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 0 0 1 135
Merits and drawbacks of variance targeting in GARCH models 0 0 5 418 1 1 18 1,363
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 2 8 109 0 4 13 152
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 0 2 72
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 0 270
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 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 0 0 0 64
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 1 162 0 0 1 342
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 1 1 1 57
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 1 3 3 68 1 3 3 66
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 3 237 0 2 9 510
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 1 1 51
Quasi-indirect inference for diffusion processes 0 0 0 0 0 2 2 25
Risk-parameter estimation in volatility models 0 0 2 167 0 0 7 344
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 0 0 0 93
Stationarity of Multivariate Markov-Switching ARMA Models 0 1 3 86 0 1 5 507
Stochastic unit-root bilinear processes 0 0 0 0 0 1 2 201
Strict stationarity testing and estimation of explosive ARCH models 0 0 0 169 0 0 1 340
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 0 0 1 82
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 1 153 0 0 1 337
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 0 1 1 122
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 2 158 0 2 12 100
Testing the existence of moments for GARCH processes 0 0 0 52 1 2 4 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 196 0 1 4 410
Variance targeting estimation of multivariate GARCH models 1 1 2 87 1 1 3 153
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 0 0 0 21
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 0 1 29
Total Working Papers 5 22 103 4,970 20 71 300 12,961


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 4 95 1 3 8 301
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 70 0 1 2 206
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 0 0 3 103 0 0 5 373
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 0 0 53
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 43 0 0 0 118
Comment 0 0 0 2 0 0 0 23
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 2 5 0 2 5 17
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 2 2 12 0 3 4 90
Contemporaneous asymmetry in GARCH processes 0 0 2 92 0 1 3 255
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 61 1 2 4 183
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 3 143 0 2 8 310
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 0 150
ESTIMATION-ADJUSTED VAR 0 0 2 24 0 1 4 113
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 1 3 45
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 1 1 1 15 2 2 4 50
Estimation de modèles de la structure par terme des taux d'intérêt 0 1 1 17 0 1 1 72
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 0 0 3 55
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 10 1 1 9 67
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 47 0 2 6 170
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 0 1 42 1 2 5 174
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 1 2 13 0 1 2 82
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 0 50
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 2 2 51 0 2 5 131
Local explosion modelling by non-causal process 0 0 5 40 1 3 16 153
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 0 0 58
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 0 3 0 1 1 17
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 92 1 1 2 209
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 26 0 1 4 112
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 0 0 0 69
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 10 0 1 2 62
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 3 25 2 2 6 90
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 1 25 1 1 2 85
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 1 24 0 0 2 108
Risk-parameter estimation in volatility models 0 0 2 65 0 0 14 228
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 0 0 74
Stationarity of multivariate Markov-switching ARMA models 0 0 3 333 1 2 12 654
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 0 0 0 187
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 2 2 2 42
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 2 2 0 1 4 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 0 0 2 285
Testing the existence of moments for GARCH processes 1 2 3 8 2 3 7 18
The L2-structures of standard and switching-regime GARCH models 0 0 2 26 0 0 4 82
Threshold Arch Models and Asymmetries in Volatility 0 2 11 1,229 0 4 21 2,722
Threshold heteroskedastic models 3 9 48 2,836 6 19 99 5,407
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 0 63 0 1 3 180
Variance Targeting Estimation of Multivariate GARCH Models 1 1 1 18 3 3 8 94
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 6 0 0 2 38
Total Journal Articles 6 23 118 6,165 26 72 307 14,644


Statistics updated 2025-03-03