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 1 2 3 204 1 4 6 314
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 1 1 32
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 1 24 0 0 2 96
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 3 88
Bartlett's formula for a general class of non linear processes 0 0 4 174 0 3 12 600
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 72 0 0 0 198
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 1 1 93
Combining parametric and nonparametric approaches for more efficient time series prediction 0 1 1 180 0 3 8 301
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 62 0 2 5 131
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 1 2 172
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 29 0 0 11 96
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 2 56
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 0 0 0 118
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 0 0 1 422
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 1 1 2 18 1 2 3 64
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 1 1 32
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 2 2 25
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 47 0 1 4 157
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 1 1 126
Estimating dynamic systemic risk measures 0 2 18 104 3 7 38 140
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 2 101 0 1 3 159
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 108 0 2 6 220
Estimation Adjusted VaR 0 0 0 110 1 1 3 338
Explosive Bubble Modelling by Noncausal Process 0 1 8 341 2 4 16 661
Finite moments testing in a general class of nonlinear time series models 0 0 3 3 1 2 16 16
Functional GARCH models: the quasi-likelihood approach and its applications 0 1 5 89 0 2 10 153
Garch models without positivity constraints: exponential or log garch? 0 1 2 133 0 2 5 280
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 1 2 40
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 1 1 80 0 1 3 174
Inference in GARCH when some coefficients are equal to zero 0 0 0 102 0 2 3 305
Inference in Non Stationary Asymmetric Garch Models 0 0 0 17 0 2 2 55
Inference in non stationary asymmetric garch models 0 0 1 69 0 2 4 125
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 1 4 72 0 1 14 115
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 0 1 6 130
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 1 1 59
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 0 12 0 1 5 31
Local Explosion Modelling by Noncausal Process 0 0 3 105 0 1 8 138
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 1 3 73
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 1 1 52
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 12 1 3 4 138
Merits and drawbacks of variance targeting in GARCH models 1 3 5 421 1 3 12 1,366
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 1 6 110 1 3 12 155
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 1 3 73
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 1 2 272
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 0 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 1 1 65
Optimal predictions of powers of conditionally heteroskedastic processes 0 1 1 163 0 2 3 345
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 0 1 57
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 1 2 5 68
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 3 3 240 0 3 7 513
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 2 3 53
Quasi-indirect inference for diffusion processes 0 0 0 0 0 1 3 26
Risk-parameter estimation in volatility models 0 2 3 169 0 4 8 348
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 0 1 1 94
Stationarity of Multivariate Markov-Switching ARMA Models 0 0 1 86 0 0 1 507
Stochastic unit-root bilinear processes 0 0 0 0 0 1 3 202
Strict stationarity testing and estimation of explosive ARCH models 0 1 1 170 0 2 2 342
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 1 11 1 2 4 85
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 0 153 0 2 2 339
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 2 123
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 158 0 0 8 103
Testing the existence of moments for GARCH processes 0 0 0 52 0 0 3 65
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 1 1 197 0 3 6 413
Variance targeting estimation of multivariate GARCH models 0 0 1 87 0 1 4 155
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 3 5 33
Total Working Papers 3 24 90 4,999 14 101 324 13,084

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 96 1 2 11 304
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 70 0 1 3 207
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 2 16 0 0 3 62
Asymptotic inference in multiple-threshold double autoregressive models 0 0 1 12 1 1 3 73
Bartlett's formula for a general class of nonlinear processes 0 1 3 104 1 3 7 376
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 0 1 2 55
Combining Nonparametric and Optimal Linear Time Series Predictions 0 1 1 44 0 3 3 121
Comment 0 0 0 2 0 1 1 24
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 6 0 1 6 20
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 2 12 0 1 5 91
Contemporaneous asymmetry in GARCH processes 0 0 0 92 0 0 1 255
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 61 0 1 5 184
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 2 143 0 1 8 312
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 1 1 151
ESTIMATION-ADJUSTED VAR 0 0 1 24 1 1 4 114
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 0 1 3 46
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 1 15 0 0 3 50
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 1 17 0 0 1 72
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 16 0 1 3 56
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 1 10 0 2 7 69
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 47 0 4 9 174
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 1 13 0 0 2 48
HAC estimation and strong linearity testing in weak ARMA models 0 1 2 44 0 3 6 178
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 2 13 0 1 4 84
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 2 2 52
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 0 2 51 0 1 5 132
Local explosion modelling by non-causal process 1 3 7 43 3 5 17 159
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 0 1 1 59
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 0 3 0 0 1 17
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 92 0 1 2 210
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 2 27 1 1 4 114
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 1 1 70
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 10 0 2 3 64
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 0 25 0 3 5 93
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 1 25 0 0 2 85
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 1 1 25 0 4 5 112
Risk-parameter estimation in volatility models 0 0 2 65 1 4 15 232
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 1 2 76
Stationarity of multivariate Markov-switching ARMA models 0 3 6 337 0 4 11 660
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 36 0 1 1 188
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 0 2 42
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 0 1 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 2 2 287
Testing the existence of moments for GARCH processes 1 2 4 10 1 2 8 21
The L2-structures of standard and switching-regime GARCH models 0 0 2 27 0 1 6 85
Threshold Arch Models and Asymmetries in Volatility 2 3 12 1,233 3 5 22 2,729
Threshold heteroskedastic models 2 7 27 2,845 10 24 73 5,433
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 64 0 2 5 183
Variance Targeting Estimation of Multivariate GARCH Models 0 0 1 18 0 3 10 97
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 1 1 1 7 1 4 6 42
Total Journal Articles 7 23 96 6,198 24 104 316 14,768

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Statistics updated 2025-07-04