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 0 5 315
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 66 4 6 6 167
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 2 6 7 38
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 1 24 0 1 2 97
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 0 4 89
Bartlett's formula for a general class of non linear processes 0 0 0 174 1 2 8 603
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 0 3 4 202
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 2 3 95
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 180 1 3 10 306
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 4 63 2 5 10 137
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 2 5 175
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 1 3 6 99
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 3 4 59
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 2 4 4 122
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 1 1 3 65
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 1 4 6 37
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 1 2 4 27
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 1 3 6 161
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 2 3 5 130
Estimating dynamic systemic risk measures 1 1 8 106 6 10 33 158
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 3 3 6 164
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 3 4 10 227
Estimation Adjusted VaR 0 0 0 110 0 1 4 341
Explosive Bubble Modelling by Noncausal Process 1 1 4 342 5 6 15 668
Finite moments testing in a general class of nonlinear time series models 1 4 5 7 3 7 12 23
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 3 89 0 5 11 159
Garch models without positivity constraints: exponential or log garch? 0 0 3 134 2 4 9 286
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 2 3 5 43
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 3 4 6 179
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 4 6 309
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 1 2 5 58
Inference in non stationary asymmetric garch models 0 0 0 69 1 2 5 128
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 3 73 2 3 9 119
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 2 3 3 31
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 2 3 5 133
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 2 4 62
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 1 1 3 33
Local Explosion Modelling by Noncausal Process 0 0 1 105 4 6 11 145
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 4 6 10 80
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 2 5 7 58
Merits and Drawbacks of Variance Targeting in GARCH Models 1 1 2 14 2 6 16 151
Merits and drawbacks of variance targeting in GARCH models 0 1 5 423 2 9 15 1,377
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 2 4 112 1 8 15 164
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 1 2 3 75
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 2 3 5 275
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 1 2 28
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 2 2 2 94
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 1 1 1 22 4 5 6 70
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 1 1 2 58
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 2 68 2 3 7 71
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 6 243 11 16 28 538
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 3 3 6 56
Quasi-indirect inference for diffusion processes 0 0 0 0 1 1 3 27
Risk-parameter estimation in volatility models 0 0 2 169 1 1 5 349
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 2 2 3 96
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 0 86 0 2 2 509
Stochastic unit-root bilinear processes 0 0 0 0 4 5 7 207
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 1 1 5 345
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 1 3 6 88
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 4 9 346
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 4 7 8 334
Testing for continuous-time models of the short-term interest rate 0 0 0 3 1 1 1 37
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 1 2 5 126
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 0 158 0 1 6 104
Testing the existence of moments for GARCH processes 0 1 1 53 2 6 7 71
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 1 2 198 0 4 8 417
Variance targeting estimation of multivariate GARCH models 0 0 1 87 0 2 5 157
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 2 4 9 38
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 16 3 7 8 29
Total Working Papers 5 13 75 5,031 123 250 492 13,403

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 2 6 101 3 6 16 316
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 2 4 9 214
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 3 3 4 66
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 2 5 7 79
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 1 2 6 379
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 1 4 57
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 44 1 2 5 123
Comment 0 0 0 2 1 2 3 26
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 7 0 4 8 24
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 1 12 2 3 8 96
Contemporaneous asymmetry in GARCH processes 0 0 0 92 3 7 7 262
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 1 62 2 4 7 188
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 0 143 0 3 5 315
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 1 3 4 154
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 1 5 117
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 2 2 5
Estimating multivariate volatility models equation by equation 0 0 2 14 3 5 9 53
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 1 2 4 52
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 0 1 2 74
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 3 4 6 61
Functional GARCH models: The quasi-likelihood approach and its applications 1 1 1 11 3 7 15 81
GARCH models without positivity constraints: Exponential or log GARCH? 0 1 1 48 2 7 16 184
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 2 15 1 2 4 52
HAC estimation and strong linearity testing in weak ARMA models 0 0 3 45 0 3 11 183
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 1 1 4 86
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 2 4 54
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 12 12 12 14
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 2 51 3 4 7 136
Local explosion modelling by non-causal process 0 1 4 44 4 7 16 166
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 1 1 2 60
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 1 4 2 2 4 21
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 1 1 1 93 4 6 9 217
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 27 5 7 9 121
Modéles autoregressifs à seuils multiple 0 0 1 2 0 0 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 0 1 11 4 4 8 69
Optimal predictions of powers of conditionally heteroscedastic processes 1 1 1 13 1 3 4 59
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 1 1 26 1 5 10 98
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 1 2 3 87
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 3 27 1 5 12 120
Risk-parameter estimation in volatility models 0 0 0 65 1 2 10 238
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 0 1 6 339 2 4 13 666
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 1 1 37 0 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 2 5 8
Testing for continuous-time models of the short-term interest rate 1 1 1 132 3 10 10 305
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 3 5 10 295
Testing the existence of moments for GARCH processes 0 0 3 10 0 4 11 27
The L2-structures of standard and switching-regime GARCH models 0 0 2 28 1 2 7 89
Threshold Arch Models and Asymmetries in Volatility 2 3 11 1,239 4 8 26 2,745
Threshold heteroskedastic models 4 13 34 2,865 11 28 80 5,475
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 2 65 1 3 9 188
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 4 6 12 103
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 0 2 7 45
Total Journal Articles 11 30 103 6,255 105 224 485 15,078

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Statistics updated 2026-01-09