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 0 11 17 178
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 1 3 10 41
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 0 24 1 6 7 103
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 3 5 92
Bartlett's formula for a general class of non linear processes 0 0 0 174 2 7 13 610
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 0 3 7 205
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 2 5 97
Combining parametric and nonparametric approaches for more efficient time series prediction 0 1 2 181 0 2 10 308
Conditional Heteroskedasticity Driven by Hidden Markov Chains 1 2 4 65 2 6 14 143
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 7 11 182
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 2 5 101
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 7 10 66
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 1 9 13 131
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 2 5 67
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 1 7 38
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 2 7 11 34
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 1 5 10 166
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 0 2 3 71
Estimating Weak Garch Representations 0 0 0 55 0 4 9 134
Estimating dynamic systemic risk measures 2 2 6 108 3 9 34 167
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 2 11 17 175
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 0 2 11 229
Estimation Adjusted VaR 0 0 0 110 0 3 7 344
Explosive Bubble Modelling by Noncausal Process 0 0 2 342 1 5 16 673
Finite moments testing in a general class of nonlinear time series models 0 0 4 7 2 18 27 41
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 1 89 2 7 15 166
Garch models without positivity constraints: exponential or log garch? 0 0 2 134 1 4 12 290
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 2 2 6 45
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 1 80 0 1 7 180
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 4 10 313
Inference in Non Stationary Asymmetric Garch Models 0 1 1 18 1 8 13 66
Inference in non stationary asymmetric garch models 0 0 0 69 0 4 9 132
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 2 73 1 5 10 124
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 3 6 34
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 6 10 139
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 1 3 7 65
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 1 6 9 39
Local Explosion Modelling by Noncausal Process 0 0 0 105 0 1 9 146
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 7 15 87
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 2 3 10 61
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 14 1 6 22 157
Merits and drawbacks of variance targeting in GARCH models 0 1 6 424 1 12 26 1,389
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 0 3 112 0 3 15 167
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 1 4 76
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 2 7 11 282
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 1 1 1 64 2 5 7 99
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 22 1 3 9 73
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 2 164 3 8 12 355
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 0 1 58
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 1 69 0 5 10 76
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 1 7 244 2 11 39 549
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 3 8 59
Quasi-indirect inference for diffusion processes 0 0 0 0 0 4 6 31
Risk-parameter estimation in volatility models 0 0 2 169 0 3 8 352
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 1 4 7 100
Stationarity of Multivariate Markov-Switching ARMA Models 1 1 1 87 1 4 6 513
Stochastic unit-root bilinear processes 0 0 0 0 0 4 10 211
Strict stationarity testing and estimation of explosive ARCH models 0 0 2 171 0 4 9 349
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 0 4 9 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 0 5 14 351
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 2 21 29 355
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 6 7 43
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 1 5 127
Testing the existence of moments and estimating the tail index of augmented garch processes 0 1 1 159 2 9 10 113
Testing the existence of moments for GARCH processes 0 0 1 53 0 6 12 77
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 2 198 0 3 10 420
Variance targeting estimation of multivariate GARCH models 0 0 0 87 1 3 6 160
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 3 4 12 42
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 1 1 1 17 2 8 16 37
Total Working Papers 6 13 69 5,044 58 363 783 13,766

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 5 101 2 8 22 324
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 0 4 12 218
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 1 4 8 70
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 2 6 13 85
Bartlett's formula for a general class of nonlinear processes 0 0 1 104 1 4 10 383
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 2 5 59
Combining Nonparametric and Optimal Linear Time Series Predictions 0 1 2 45 0 3 8 126
Comment 0 0 0 2 0 1 4 27
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 1 7 2 5 10 29
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 4 10 100
Contemporaneous asymmetry in GARCH processes 0 0 0 92 1 4 11 266
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 2 63 0 4 9 192
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 1 1 144 0 3 7 318
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 1 5 155
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 5 9 122
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 2 4 7
Estimating multivariate volatility models equation by equation 0 1 3 15 1 7 15 60
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 1 7 9 59
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 1 3 9 64
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 11 0 8 22 89
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 48 1 16 30 200
Goodness-of-fit tests for Log-GARCH and EGARCH models 1 1 3 16 1 7 11 59
HAC estimation and strong linearity testing in weak ARMA models 0 0 2 45 1 5 13 188
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 0 9 12 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 0 19 31 33
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 0 2 7 138
Local explosion modelling by non-causal process 1 1 5 45 5 11 23 177
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 1 3 61
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 1 4 4 11 15 32
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 93 1 2 10 219
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 27 1 6 14 127
Modéles autoregressifs à seuils multiple 0 0 1 2 2 5 6 47
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 1 1 2 12 1 3 10 72
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 1 13 1 2 6 61
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 1 2 10 100
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 0 8 10 95
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 4 28 2 9 21 129
Risk-parameter estimation in volatility models 0 0 0 65 1 4 14 242
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 1 3 78
Stationarity of multivariate Markov-switching ARMA models 0 0 5 339 1 6 16 672
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 3 4 46
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 0 1 132 1 8 18 313
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 2 12 297
Testing the existence of moments for GARCH processes 0 0 2 10 1 9 17 36
The L2-structures of standard and switching-regime GARCH models 0 0 1 28 1 7 12 96
Threshold Arch Models and Asymmetries in Volatility 0 1 10 1,240 0 7 28 2,752
Threshold heteroskedastic models 1 2 29 2,867 6 14 80 5,489
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 65 0 1 8 189
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 0 5 14 108
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 7 1 6 13 51
Total Journal Articles 4 11 91 6,266 47 284 698 15,362

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Statistics updated 2026-04-09