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Details about Jean-Michel Zakoian

E-mail:
Homepage:http://www.crest.fr/pagesperso.php?user=3078
Postal address:CREST, 15 Boulevard Gabriel Péri 92245 Malakoff Cedex France
Workplace:Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)
UFR Mathématiques Sciences Économiques et Sociales (Faculty of Mathematics, Economics and Social Sciences), Université Charles-de-Gaulle (Lille 3) (Charles de Gaulle University of Lille), (more information at EDIRC)

Access statistics for papers by Jean-Michel Zakoian.

Last updated 2017-02-20. Update your information in the RePEc Author Service.

Short-id: pza79


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Working Papers

2016

  1. Local Explosion Modelling by Noncausal Process
    MPRA Paper, University Library of Munich, Germany Downloads

2015

  1. Joint inference on market and estimation risks in dynamic portfolios
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. Estimating multivariate GARCH and stochastic correlation models equation by equation
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Multi-level Conditional VaR Estimation in Dynamic Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  3. On uniqueness of moving average representations of heavy-tailed stationary processes
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Time Series Analysis (2015)
  4. Variance targeting estimation of multivariate GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2016)

2013

  1. Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. Explosive Bubble Modelling by Noncausal Process
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  3. Inference in Non Stationary Asymmetric Garch Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (7)

2012

  1. Estimation Adjusted VaR
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Econometric Theory (2013)
  2. Garch models without positivity constraints: exponential or log garch?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (2013)
  3. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (1)

    See also Journal Article in Journal of the Royal Statistical Society Series B (2013)
  4. Risk-parameter estimation in volatility models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2015)

2011

  1. Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)

2010

  1. A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Energy Economics (2011)
  2. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Post-Print, HAL Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2010)
  3. QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  4. Strict stationarity testing and estimation of explosive ARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2009

  1. Bartlett's formula for a general class of non linear processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Journal of Time Series Analysis (2009)
  2. Combining Nonparametric and Optimal Linear Time Series Predictions
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of the American Statistical Association (2010)
  3. Combining parametric and nonparametric approaches for more efficient time series prediction
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Merits and Drawbacks of Variance Targeting in GARCH Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (7)

    See also Journal Article in Journal of Financial Econometrics (2011)
  6. Properties of the QMLE and the Weighted LSE for LARCH(q) Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  7. Sup-Tests for Linearity in a General Nonlinear AR(1) Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Econometric Theory (2010)

2008

  1. A Tour in the Asymptotic Theory of GARCH Estimation
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. Barlett’s Formula for Non Linear Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  3. Can One Really Estimate Nonstationary GARCH Models ?
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  4. Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  5. Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads

    See also Journal Article in Journal of the American Statistical Association (2009)

2006

  1. Inference in GARCH when some coefficients are equal to zero
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (2)
  2. Stationarity and geometric ergodicity of a class of nonlinear ARCH models
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Stochastic unit-root bilinear processes
    Computing in Economics and Finance 2006, Society for Computational Economics

2000

  1. Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  2. Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Economics Letters (2001)
  3. Stationarity of Multivariate Markov-Switching ARMA Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of Econometrics (2001)

1999

  1. Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  2. Linear-Representations Based Estimation of Switching-Regime GARCH Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)

1998

  1. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)

1997

  1. Contemporaneous Asymmetry in GARCH Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2001)
  2. Covariance Matrix Estimation for Estimators of Mixing Wold's Arma
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  3. Estimating Weak Garch Representations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (6)
    See also Journal Article in Econometric Theory (2000)

1996

  1. Contemporaneous Asymmetry in Weak GARCH Processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

1995

  1. Quasi Indirect Inference for Diffusion Processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)

    See also Journal Article in Econometric Theory (1998)

1993

  1. Testing for Continuous-Time Models of the Short-Term Interest Rate
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (15)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)

    See also Journal Article in Journal of Empirical Finance (1995)

Undated

  1. Efficient use of higher-lag autocorrelations for estimating autoregressive processes
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

Journal Articles

2016

  1. Estimating multivariate volatility models equation by equation
    Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 Downloads View citations (2)
  2. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 Downloads View citations (1)
    See also Working Paper (2014)

2015

  1. Asymptotic inference in multiple-threshold double autoregressive models
    Journal of Econometrics, 2015, 189, (2), 415-427 Downloads View citations (1)
  2. On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes
    Journal of Time Series Analysis, 2015, 36, (6), 876-887 Downloads
    See also Working Paper (2014)
  3. Risk-parameter estimation in volatility models
    Journal of Econometrics, 2015, 184, (1), 158-173 Downloads View citations (4)
    See also Working Paper (2012)

2013

  1. ESTIMATION-ADJUSTED VAR
    Econometric Theory, 2013, 29, (04), 735-770 Downloads View citations (2)
    See also Working Paper (2012)
  2. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 Downloads View citations (10)
    See also Working Paper (2012)
  3. Optimal predictions of powers of conditionally heteroscedastic processes
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 345-367 Downloads View citations (13)
    See also Working Paper (2012)

2012

  1. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Econometric Theory, 2012, 28, (01), 179-206 Downloads View citations (15)
  2. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Econometrica, 2012, 80, (2), 821-861 Downloads View citations (11)

2011

  1. A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
    Energy Economics, 2011, 33, (6), 1240-1251 Downloads View citations (4)
    See also Working Paper (2010)
  2. Merits and Drawbacks of Variance Targeting in GARCH Models
    Journal of Financial Econometrics, 2011, 9, (4), 619-656 Downloads View citations (21)
    See also Working Paper (2009)
  3. Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
    Journal of Econometrics, 2011, 165, (2), 246-257 Downloads View citations (10)

2010

  1. Combining Nonparametric and Optimal Linear Time Series Predictions
    Journal of the American Statistical Association, 2010, 105, (492), 1554-1565 Downloads View citations (1)
    See also Working Paper (2009)
  2. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Journal of Econometrics, 2010, 159, (1), 151-165 Downloads View citations (5)
    See also Working Paper (2010)
  3. SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
    Econometric Theory, 2010, 26, (04), 965-993 Downloads
    See also Working Paper (2009)
  4. Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
    Journal of Time Series Analysis, 2010, 31, (5), 348-364 Downloads View citations (2)

2009

  1. Bartlett's formula for a general class of nonlinear processes
    Journal of Time Series Analysis, 2009, 30, (4), 449-465 Downloads View citations (8)
    See also Working Paper (2009)
  2. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Journal of the American Statistical Association, 2009, 104, (485), 313-324 Downloads View citations (8)
    See also Working Paper (2008)

2008

  1. A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
    Journal of Econometrics, 2008, 142, (1), 312-326 Downloads View citations (5)
  2. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
    Computational Statistics & Data Analysis, 2008, 52, (6), 3027-3046 Downloads View citations (13)

2007

  1. HAC estimation and strong linearity testing in weak ARMA models
    Journal of Multivariate Analysis, 2007, 98, (1), 114-144 Downloads View citations (11)
  2. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
    Stochastic Processes and their Applications, 2007, 117, (9), 1265-1284 Downloads View citations (15)

2006

  1. Linear-representation Based Estimation of Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 Downloads View citations (7)
  2. MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
    Econometric Theory, 2006, 22, (05), 815-834 Downloads View citations (25)

2005

  1. A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
    Econometric Theory, 2005, 21, (06), 1165-1171 Downloads View citations (4)
  2. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Journal of the American Statistical Association, 2005, 100, 532-544 Downloads View citations (45)
  3. The L2-structures of standard and switching-regime GARCH models
    Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 Downloads View citations (14)

2002

  1. COMMENTS ON THE PAPER BY MINXIAN YANG
    Econometric Theory, 2002, 18, (03), 815-818 Downloads View citations (3)

2001

  1. Contemporaneous asymmetry in GARCH processes
    Journal of Econometrics, 2001, 101, (2), 257-294 Downloads View citations (29)
    See also Working Paper (1997)
  2. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    Economics Letters, 2001, 71, (3), 317-322 Downloads View citations (6)
    See also Working Paper (2000)
  3. Stationarity of multivariate Markov-switching ARMA models
    Journal of Econometrics, 2001, 102, (2), 339-364 Downloads View citations (56)
    See also Working Paper (2000)

2000

  1. ESTIMATING WEAK GARCH REPRESENTATIONS
    Econometric Theory, 2000, 16, (05), 692-728 Downloads View citations (30)
    See also Working Paper (1997)

1998

  1. QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
    Econometric Theory, 1998, 14, (02), 161-186 Downloads View citations (22)
    See also Working Paper (1995)

1996

  1. Estimation de modèles de la structure par terme des taux d'intérêt
    Revue Économique, 1996, 47, (3), 511-519 Downloads

1995

  1. Testing for continuous-time models of the short-term interest rate
    Journal of Empirical Finance, 1995, 2, (3), 199-223 Downloads View citations (37)
    See also Working Paper (1993)

1994

  1. Modéles autoregressifs à seuils multiple
    Annals of Economics and Statistics, 1994, (36), 23-56 Downloads
  2. Threshold heteroskedastic models
    Journal of Economic Dynamics and Control, 1994, 18, (5), 931-955 Downloads View citations (342)

1993

  1. Threshold Arch Models and Asymmetries in Volatility
    Journal of Applied Econometrics, 1993, 8, (1), 31-49 Downloads View citations (139)
 
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