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 4 181 0 1 5 269
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 2 3 4 64 2 4 9 140
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 1 1 20 0 5 8 73
Barlett’s Formula for Non Linear Processes 0 0 0 11 0 0 0 76
Bartlett's formula for a general class of non linear processes 0 0 0 152 1 1 13 525
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 69 0 1 3 182
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 10 0 0 4 82
Combining parametric and nonparametric approaches for more efficient time series prediction 1 1 3 171 1 1 5 265
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 46 0 1 5 89
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 2 6 158
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 1 3 20 20 1 8 42 42
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 2 11 11 0 3 27 27
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 0 0 3 103
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 0 0 0 414
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 1 1 15 0 1 2 53
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 0 0 26
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 1 3 5 0 1 3 16
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 42 0 0 1 128
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 2 37 1 1 3 57
Estimating Weak Garch Representations 0 0 0 50 1 1 4 102
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 1 93 2 3 8 124
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 99 1 3 12 182
Estimation Adjusted VaR 0 0 0 106 0 2 8 305
Explosive Bubble Modelling by Noncausal Process 1 2 7 290 3 8 27 551
Functional GARCH models: the quasi-likelihood approach and its applications 1 5 17 56 1 8 33 60
Garch models without positivity constraints: exponential or log garch? 0 0 5 120 0 0 8 234
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 1 1 0 0 4 24
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 72 0 2 4 153
Inference in GARCH when some coefficients are equal to zero 0 0 0 101 0 0 2 279
Inference in Non Stationary Asymmetric Garch Models 0 0 0 16 0 1 6 31
Inference in non stationary asymmetric garch models 0 0 2 66 0 0 8 104
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 6 13
Joint inference on market and estimation risks in dynamic portfolios 0 1 1 36 0 1 4 45
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 17 0 0 1 50
Local Explosion Modelling by Noncausal Process 0 1 4 88 0 2 16 76
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 31 0 0 1 40
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 11 2 7 20 113
Merits and drawbacks of variance targeting in GARCH models 1 2 3 395 5 8 25 1,212
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 4 8 19 84 4 11 37 84
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 16 0 0 3 52
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 6 266
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 1 1 0 0 4 12
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 1 61 0 2 10 76
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 19 1 1 4 48
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 2 141 0 0 5 290
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 4 0 0 0 40
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 2 61 0 1 6 29
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 1 213 0 0 3 453
Quasi Indirect Inference for Diffusion Processes 0 0 0 7 0 0 2 36
Quasi-indirect inference for diffusion processes 0 0 0 0 0 0 1 8
Risk-parameter estimation in volatility models 0 0 6 148 0 1 15 284
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 17 0 0 3 79
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 3 78 1 1 6 479
Stochastic unit-root bilinear processes 0 0 0 0 0 0 3 186
Strict stationarity testing and estimation of explosive ARCH models 1 1 1 162 1 1 10 317
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 7 0 0 1 65
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 1 1 3 135 1 1 5 282
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 2 9 0 0 8 305
Testing for continuous-time models of the short-term interest rate 0 0 0 2 0 0 2 13
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 1 39 0 2 7 100
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 3 170 3 5 14 340
Variance targeting estimation of multivariate GARCH models 0 0 1 79 0 1 3 94
Total Working Papers 13 35 145 4,011 33 103 494 10,361


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 2 2 86 0 2 4 257
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 68 0 1 3 182
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 1 2 9 0 2 8 42
Asymptotic inference in multiple-threshold double autoregressive models 0 1 1 8 0 2 4 55
Bartlett's formula for a general class of nonlinear processes 0 0 0 93 0 0 4 329
COMMENTS ON THE PAPER BY MINXIAN YANG 0 0 0 8 0 0 0 46
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 41 0 0 5 99
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 0 0 0 1 2 2
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 2 3 3 1 5 11 11
Contemporaneous asymmetry in GARCH processes 1 1 2 84 2 2 7 231
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 1 54 0 2 3 155
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 1 6 123 0 1 8 258
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 47 0 0 1 135
ESTIMATION-ADJUSTED VAR 0 0 1 21 1 2 8 92
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 0 0 0
Estimating multivariate volatility models equation by equation 0 0 1 5 0 1 3 10
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 16 0 0 1 63
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 1 5 5 1 2 17 17
Functional GARCH models: The quasi-likelihood approach and its applications 1 3 3 3 2 8 8 8
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 1 31 1 1 6 110
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 2 4 5 0 2 10 13
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 40 0 1 4 149
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 11 0 0 2 54
Intrinsic Liquidity in Conditional Volatility Models 1 1 2 10 1 2 8 31
Linear-representation Based Estimation of Stochastic Volatility Models 0 0 1 44 0 0 2 114
Local explosion modelling by non-causal process 1 1 7 10 1 2 31 50
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 5 0 0 6 34
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 72 0 1 3 167
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 21 0 1 8 79
Modéles autoregressifs à seuils multiple 0 0 0 1 1 2 5 15
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 10 0 0 0 61
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 1 2 2 9 1 4 13 49
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 0 0 3 43
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 14 0 0 4 55
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 22 0 0 0 70
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 0 19 0 0 3 84
Risk-parameter estimation in volatility models 0 0 14 29 0 2 25 81
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 18 0 0 0 65
Stationarity of multivariate Markov-switching ARMA models 3 5 16 294 5 7 27 568
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 33 1 2 7 145
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 0 2 36
Testing for continuous-time models of the short-term interest rate 0 0 1 130 0 0 4 266
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 1 100 0 0 4 257
The L2-structures of standard and switching-regime GARCH models 0 1 2 19 0 1 3 56
Threshold Arch Models and Asymmetries in Volatility 2 7 36 1,150 3 24 105 2,513
Threshold heteroskedastic models 6 38 149 2,313 21 85 326 4,299
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 2 3 47 1 3 7 144
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 6 0 1 3 30
Total Journal Articles 16 72 269 5,162 43 172 718 11,630


Statistics updated 2019-07-03