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 0 3 182 0 0 3 270
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 0 4 64 1 6 14 146
Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models 0 0 1 20 2 2 10 76
Barlett’s Formula for Non Linear Processes 0 0 0 11 2 2 2 78
Bartlett's formula for a general class of non linear processes 0 0 0 152 3 4 11 529
Can One Really Estimate Nonstationary GARCH Models ? 0 0 0 69 0 0 4 183
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 10 1 1 4 83
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 2 171 0 3 6 268
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 2 46 2 5 9 94
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 1 1 4 159
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 7 20 0 2 27 44
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 3 11 0 2 13 29
Contemporaneous Asymmetry in GARCH Processes 0 0 0 29 2 3 4 106
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 0 1 15 0 1 3 54
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 0 1 5 0 0 1 16
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 1 1 43 0 2 2 130
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 1 37 2 2 4 59
Estimating Weak Garch Representations 0 0 0 50 0 2 6 105
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 1 2 94 1 3 9 127
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 1 99 2 3 10 185
Estimation Adjusted VaR 0 0 0 106 0 2 6 307
Explosive Bubble Modelling by Noncausal Process 0 2 6 293 0 7 23 560
Functional GARCH models: the quasi-likelihood approach and its applications 0 2 19 60 1 8 43 72
Garch models without positivity constraints: exponential or log garch? 0 0 5 120 1 3 12 238
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 1 1 3 5 7 29
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 1 1 1 73 1 1 5 154
Inference in GARCH when some coefficients are equal to zero 0 0 0 101 1 4 6 283
Inference in Non Stationary Asymmetric Garch Models 0 0 0 16 1 3 7 34
Inference in non stationary asymmetric garch models 0 0 2 66 2 3 8 107
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 1 4 14
Joint inference on market and estimation risks in dynamic portfolios 0 0 1 36 1 1 5 46
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 17 1 1 2 51
Local Explosion Modelling by Noncausal Process 0 0 3 88 0 0 8 76
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 31 0 1 2 41
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 11 4 5 25 119
Merits and drawbacks of variance targeting in GARCH models 0 0 3 395 2 7 23 1,219
Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles 1 1 17 86 2 4 31 90
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 16 0 1 4 53
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 1 1 6 267
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 1 3 4 15
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 61 0 0 4 76
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 19 2 3 8 52
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 1 141 3 6 9 296
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 4 0 4 4 44
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 2 61 1 1 6 30
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 1 1 8 2 3 4 39
Quasi-indirect inference for diffusion processes 0 0 0 0 0 1 2 9
Risk-parameter estimation in volatility models 1 2 3 150 2 3 11 287
Stationarity and geometric ergodicity of a class of nonlinear ARCH models 0 0 0 17 0 0 2 79
Stationarity of Multivariate Markov-Switching ARMA Models 1 1 3 79 2 3 7 483
Stochastic unit-root bilinear processes 0 0 0 0 3 4 6 190
Strict stationarity testing and estimation of explosive ARCH models 0 0 1 162 1 3 10 320
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 7 2 2 2 67
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 2 135 2 4 8 286
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 2 9 1 2 9 308
Testing for continuous-time models of the short-term interest rate 0 0 0 2 2 4 6 17
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 1 39 1 3 11 104
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 3 171 0 3 15 345
Variance targeting estimation of multivariate GARCH models 0 0 1 79 0 2 6 97
Total Working Papers 4 12 111 4,029 66 156 510 10,538

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 2 86 1 1 4 258
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 68 3 4 8 187
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices 0 1 2 10 1 3 10 45
Asymptotic inference in multiple-threshold double autoregressive models 0 1 2 9 1 2 7 58
Bartlett's formula for a general class of nonlinear processes 0 0 0 93 1 1 5 330
COMMENTS ON THE PAPER BY MINXIAN YANG 0 0 0 8 0 1 1 47
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 41 2 8 11 107
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 0 0 1 1 3 3
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 2 5 5 4 10 25 25
Contemporaneous asymmetry in GARCH processes 0 0 2 84 1 1 6 233
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 2 55 0 1 3 156
Diagnostic Checking in ARMA Models With Uncorrelated Errors 1 1 6 124 2 4 10 262
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 1 48 1 1 2 137
ESTIMATION-ADJUSTED VAR 0 0 1 21 0 1 6 94
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 0 5 1 2 3 12
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 16 0 1 1 64
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 1 1 4 6 3 5 15 23
Functional GARCH models: The quasi-likelihood approach and its applications 1 2 5 5 1 6 17 17
GARCH models without positivity constraints: Exponential or log GARCH? 2 2 2 33 5 5 8 115
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 3 5 3 5 13 19
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 40 1 1 3 150
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 11 4 6 8 61
Intrinsic Liquidity in Conditional Volatility Models 0 0 2 10 1 3 9 34
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 5 11 2 2 11 53
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 1 1 6 0 2 7 36
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 1 1 1 73 2 6 7 173
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 1 21 2 3 10 83
Modéles autoregressifs à seuils multiple 0 0 0 1 1 3 8 19
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 10 2 2 2 63
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 2 9 0 0 8 49
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 0 12 1 2 5 45
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 1 2 2 16 3 7 9 62
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 22 2 2 2 72
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 2 2 21 2 6 10 91
Risk-parameter estimation in volatility models 0 1 10 31 7 10 27 92
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 18 2 3 3 68
Stationarity of multivariate Markov-switching ARMA models 0 2 11 297 1 6 22 576
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 1 1 34 0 7 12 152
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models 0 0 0 13 0 0 1 36
Testing for continuous-time models of the short-term interest rate 0 0 1 130 2 5 9 271
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 1 100 1 3 5 260
The L2-structures of standard and switching-regime GARCH models 0 0 2 19 1 2 5 58
Threshold Arch Models and Asymmetries in Volatility 2 7 26 1,157 6 19 90 2,537
Threshold heteroskedastic models 7 28 135 2,351 15 66 308 4,393
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 2 47 0 2 6 146
Variance Targeting Estimation of Multivariate GARCH Models 1 1 1 7 1 3 6 33
Total Journal Articles 18 58 245 5,233 90 234 753 11,919

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Statistics updated 2019-11-03