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 2 205 1 3 8 321
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 66 0 1 18 179
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 3 11 43
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 0 24 1 5 11 107
Barlett’s Formula for Non Linear Processes 0 0 0 12 1 5 8 96
Bartlett's formula for a general class of non linear processes 0 0 0 174 0 5 13 613
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 0 1 8 206
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 3 7 100
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 181 1 2 9 310
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 1 3 65 1 5 15 146
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 6 15 187
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 1 3 8 104
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 6 14 70
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 0 2 14 132
Contemporaneous Asymmetry in Weak GARCH Processes 0 0 0 3 0 1 1 423
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 1 18 1 1 5 68
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 1 7 39
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 7 14 39
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 0 4 12 169
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 40 0 2 5 73
Estimating Weak Garch Representations 0 0 0 55 1 3 11 137
Estimating dynamic systemic risk measures 0 3 5 109 0 6 33 170
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 1 7 21 180
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 0 1 10 230
Estimation Adjusted VaR 0 0 0 110 1 4 11 348
Explosive Bubble Modelling by Noncausal Process 2 3 4 345 3 10 23 682
Finite moments testing in a general class of nonlinear time series models 0 0 4 7 0 2 26 41
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 0 89 0 4 15 168
Garch models without positivity constraints: exponential or log garch? 1 1 2 135 1 4 13 293
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 0 4 7 47
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 80 1 4 10 184
Inference in GARCH when some coefficients are equal to zero 0 2 2 104 0 6 14 319
Inference in Non Stationary Asymmetric Garch Models 0 1 2 19 0 4 14 69
Inference in non stationary asymmetric garch models 0 0 0 69 0 6 13 138
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 1 73 1 4 12 127
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 2 7 35
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 4 13 143
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 4 9 68
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 0 3 10 41
Local Explosion Modelling by Noncausal Process 0 0 0 105 2 5 13 151
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 1 4 18 91
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 4 11 63
Merits and Drawbacks of Variance Targeting in GARCH Models 1 1 3 15 3 6 25 162
Merits and drawbacks of variance targeting in GARCH models 0 0 4 424 2 4 27 1,392
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 0 0 2 112 1 5 18 172
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 2 5 78
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 5 13 285
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 1 4 31
On uniqueness of moving average representations of heavy-tailed stationary processes 0 1 1 64 1 7 12 104
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 22 1 3 10 75
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 1 164 0 5 12 357
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 2 3 60
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 0 4 13 80
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 4 244 2 6 40 553
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 2 3 9 62
Quasi-indirect inference for diffusion processes 0 0 0 0 0 3 8 34
Risk-parameter estimation in volatility models 0 0 0 169 1 5 9 357
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 19 0 3 8 102
Stationarity of Multivariate Markov-Switching ARMA Models 1 2 2 88 2 3 8 515
Stochastic unit-root bilinear processes 0 0 0 0 0 3 12 214
Strict stationarity testing and estimation of explosive ARCH models 0 0 1 171 0 5 12 354
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 1 4 12 96
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 6 18 357
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 0 4 31 357
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 0 7 43
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 1 4 8 131
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 159 1 5 13 116
Testing the existence of moments for GARCH processes 0 0 1 53 1 1 13 78
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 198 2 5 12 425
Variance targeting estimation of multivariate GARCH models 0 0 0 87 1 2 6 161
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 5 11 44
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 1 1 17 1 5 19 40
Total Working Papers 5 16 58 5,054 44 277 915 13,985

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 0 6 25 328
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 1 71 1 4 15 222
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 0 16 1 7 14 76
Asymptotic inference in multiple-threshold double autoregressive models 0 0 0 12 0 3 14 86
Bartlett's formula for a general class of nonlinear processes 0 0 0 104 2 8 15 390
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 2 3 6 61
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 45 1 2 7 128
Comment 0 0 0 2 0 1 4 28
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 1 7 0 4 11 31
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 2 11 102
Contemporaneous asymmetry in GARCH processes 0 0 0 92 0 4 14 269
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 2 63 0 1 9 193
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 1 144 1 2 8 320
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 7 11 162
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 2 11 124
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 3 7 10
Estimating multivariate volatility models equation by equation 0 0 3 15 0 4 17 63
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 1 3 11 61
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 1 3 7 79
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 1 1 1 17 1 5 12 68
Functional GARCH models: The quasi-likelihood approach and its applications 0 1 2 12 0 2 22 91
GARCH models without positivity constraints: Exponential or log GARCH? 0 1 2 49 0 4 29 203
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 1 3 16 0 1 11 59
HAC estimation and strong linearity testing in weak ARMA models 0 0 1 45 1 7 16 194
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 0 2 13 97
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 2 4 56
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 0 0 31 33
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 0 3 9 141
Local explosion modelling by non-causal process 1 3 5 47 3 10 26 182
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 0 0 12 2 5 7 66
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES 0 0 1 4 2 7 18 35
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 93 1 4 12 222
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 27 1 5 18 131
Modéles autoregressifs à seuils multiple 0 0 1 2 0 3 7 48
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 1 6 10 80
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 1 2 12 0 4 11 75
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 1 13 1 5 10 65
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 0 1 7 100
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 4 5 15 100
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 3 28 1 7 22 134
Risk-parameter estimation in volatility models 0 0 0 65 0 2 12 243
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 1 3 79
Stationarity of multivariate Markov-switching ARMA models 1 2 4 341 1 6 17 677
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 2 6 11 199
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 2 5 47
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 0 0 6 10
Testing for continuous-time models of the short-term interest rate 0 0 1 132 1 3 20 315
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 1 3 13 300
Testing the existence of moments for GARCH processes 0 0 1 10 1 5 20 40
The L2-structures of standard and switching-regime GARCH models 0 0 1 28 0 2 12 97
Threshold Arch Models and Asymmetries in Volatility 1 2 11 1,242 2 5 31 2,757
Threshold heteroskedastic models 6 12 35 2,878 14 30 90 5,513
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 65 0 1 7 190
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 0 2 13 110
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 1 1 2 8 1 8 17 58
Total Journal Articles 11 25 96 6,287 51 233 804 15,548

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Statistics updated 2026-06-04