Details about Jean-Michel Zakoian

E-mail:
Homepage:	http://crest.fr/user/Jean-Michel-ZAKOIAN
Postal address:	CREST, 5 Avenue Henri Le Chatelier 91120 Palaiseau France
Workplace:	Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)

Access statistics for papers by Jean-Michel Zakoian.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pza79

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Working Papers

2024

1. Finite moments testing in a general class of nonlinear time series models
   MPRA Paper, University Library of Munich, Germany

2022

2. Estimating dynamic systemic risk measures
   Working Papers, Center for Research in Economics and Statistics
3. Inference on Multiplicative Component GARCH without any Small-Order Moment
   Working Papers, Center for Research in Economics and Statistics
4. Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models
   Working Papers, Center for Research in Economics and Statistics
   Also in MPRA Paper, University Library of Munich, Germany (2021)
   See also Journal Article LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS, Econometric Theory, Cambridge University Press (2023) View citations (1) (2023)

2021

5. Testing the existence of moments and estimating the tail index of augmented garch processes
   MPRA Paper, University Library of Munich, Germany View citations (2)

2020

6. Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models
   Working Papers, HAL

2019

7. Testing the existence of moments for GARCH processes
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Testing the existence of moments for GARCH processes, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)
8. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
   MPRA Paper, University Library of Munich, Germany View citations (1)
   Also in Papers, arXiv.org (2019) View citations (1)
   See also Journal Article Virtual Historical Simulation for estimating the conditional VaR of large portfolios, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)

2018

9. Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
   MPRA Paper, University Library of Munich, Germany
   Also in Working Papers, Center for Research in Economics and Statistics (2018)
   See also Journal Article Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations, Econometrica, Econometric Society (2019) View citations (3) (2019)
10. Functional GARCH models: the quasi-likelihood approach and its applications
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Functional GARCH models: The quasi-likelihood approach and its applications, Journal of Econometrics, Elsevier (2019) View citations (11) (2019)

2017

11. Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles
    MPRA Paper, University Library of Munich, Germany View citations (12)
    See also Journal Article MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES, Econometric Theory, Cambridge University Press (2019) View citations (29) (2019)
12. Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations
    MPRA Paper, University Library of Munich, Germany

2016

13. Intrinsic Liquidity in Conditional Volatility Models
    Post-Print, HAL
    See also Journal Article Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, GENES (2016) (2016)
14. Local Explosion Modelling by Noncausal Process
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Local explosion modelling by non-causal process, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2017) View citations (14) (2017)

2015

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

2014

17. Estimating multivariate GARCH and stochastic correlation models equation by equation
    MPRA Paper, University Library of Munich, Germany View citations (2)
18. Multi-level Conditional VaR Estimation in Dynamic Models
    Working Papers, Center for Research in Economics and Statistics View citations (1)
19. On uniqueness of moving average representations of heavy-tailed stationary processes
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes, Journal of Time Series Analysis, Wiley Blackwell (2015) View citations (5) (2015)
20. Variance targeting estimation of multivariate GARCH models
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Variance Targeting Estimation of Multivariate GARCH Models, Journal of Financial Econometrics, Oxford University Press (2016) View citations (18) (2016)

2013

21. Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
    Working Papers, Center for Research in Economics and Statistics
22. Explosive Bubble Modelling by Noncausal Process
    Working Papers, Center for Research in Economics and Statistics View citations (11)
23. Inference in Non Stationary Asymmetric Garch Models
    Working Papers, Center for Research in Economics and Statistics View citations (21)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (21)

2012

24. Estimation Adjusted VaR
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article ESTIMATION-ADJUSTED VAR, Econometric Theory, Cambridge University Press (2013) View citations (6) (2013)
25. Garch models without positivity constraints: exponential or log garch?
    MPRA Paper, University Library of Munich, Germany View citations (15)
    See also Journal Article GARCH models without positivity constraints: Exponential or log GARCH?, Journal of Econometrics, Elsevier (2013) View citations (37) (2013)
26. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
    See also Journal Article Optimal predictions of powers of conditionally heteroscedastic processes, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2013) View citations (29) (2013)
27. Risk-parameter estimation in volatility models
    MPRA Paper, University Library of Munich, Germany View citations (5)
    See also Journal Article Risk-parameter estimation in volatility models, Journal of Econometrics, Elsevier (2015) View citations (31) (2015)

2011

28. Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
    Working Papers, Center for Research in Economics and Statistics View citations (1)
    See also Journal Article Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (10) (2013)

2010

29. A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices, Energy Economics, Elsevier (2011) View citations (18) (2011)
30. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Post-Print, HAL View citations (13)
    See also Journal Article Inconsistency of the MLE and inference based on weighted LS for LARCH models, Journal of Econometrics, Elsevier (2010) View citations (19) (2010)
31. QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
    MPRA Paper, University Library of Munich, Germany View citations (9)
32. Strict stationarity testing and estimation of explosive ARCH models
    MPRA Paper, University Library of Munich, Germany View citations (3)

2009

33. Bartlett's formula for a general class of non linear processes
    MPRA Paper, University Library of Munich, Germany View citations (16)
    See also Journal Article Bartlett's formula for a general class of nonlinear processes, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (19) (2009)
34. Combining Nonparametric and Optimal Linear Time Series Predictions
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Combining Nonparametric and Optimal Linear Time Series Predictions, Journal of the American Statistical Association, American Statistical Association (2010) View citations (2) (2010)
35. Combining parametric and nonparametric approaches for more efficient time series prediction
    MPRA Paper, University Library of Munich, Germany
36. 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
37. Merits and Drawbacks of Variance Targeting in GARCH Models
    Working Papers, Center for Research in Economics and Statistics View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (9)
    See also Journal Article Merits and Drawbacks of Variance Targeting in GARCH Models, Journal of Financial Econometrics, Oxford University Press (2011) View citations (54) (2011)
38. Properties of the QMLE and the Weighted LSE for LARCH(q) Models
    Working Papers, Center for Research in Economics and Statistics
39. Sup-Tests for Linearity in a General Nonlinear AR(1) Model
    Working Papers, Center for Research in Economics and Statistics View citations (1)
    See also Journal Article SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL, Econometric Theory, Cambridge University Press (2010) View citations (5) (2010)

2008

40. A Tour in the Asymptotic Theory of GARCH Estimation
    Working Papers, Center for Research in Economics and Statistics
41. Barlett’s Formula for Non Linear Processes
    Working Papers, Center for Research in Economics and Statistics View citations (2)
42. Can One Really Estimate Nonstationary GARCH Models ?
    Working Papers, Center for Research in Economics and Statistics View citations (1)
43. Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
    Working Papers, Center for Research in Economics and Statistics View citations (2)
44. 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
45. Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
    Working Papers, Center for Research in Economics and Statistics
    Also in MPRA Paper, University Library of Munich, Germany (2008)
    See also Journal Article Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons, Journal of the American Statistical Association, American Statistical Association (2009) View citations (35) (2009)

2006

46. Inference in GARCH when some coefficients are equal to zero
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (4)
47. Stationarity and geometric ergodicity of a class of nonlinear ARCH models
    MPRA Paper, University Library of Munich, Germany View citations (3)
48. Stochastic unit-root bilinear processes
    Computing in Economics and Finance 2006, Society for Computational Economics

2002

49. Efficient use of higher-lag autocorrelations for estimating autoregressive processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Journal Article Efficient use of higher‐lag autocorrelations for estimating autoregressive processes, Journal of Time Series Analysis, Wiley Blackwell (2002) (2002)

2001

50. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000)
    See also Journal Article Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Economics Letters, Elsevier (2001) View citations (10) (2001)

2000

51. Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations
    Working Papers, Center for Research in Economics and Statistics View citations (3)
52. Stationarity of Multivariate Markov-Switching ARMA Models
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Stationarity of multivariate Markov-switching ARMA models, Journal of Econometrics, Elsevier (2001) View citations (99) (2001)

1999

53. Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes
    Working Papers, Center for Research in Economics and Statistics View citations (1)
54. Linear-Representations Based Estimation of Switching-Regime GARCH Models
    Working Papers, Center for Research in Economics and Statistics View citations (4)

1998

55. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Working Papers, Center for Research in Economics and Statistics View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998)
    See also Journal Article Conditional Heteroskedasticity Driven by Hidden Markov Chains, Journal of Time Series Analysis, Wiley Blackwell (2001) View citations (38) (2001)
56. Quasi-indirect inference for diffusion processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (5)
    See also Journal Article QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES, Econometric Theory, Cambridge University Press (1998) View citations (23) (1998)

1997

57. Contemporaneous Asymmetry in GARCH Processes
    Working Papers, Center for Research in Economics and Statistics View citations (1)
    See also Journal Article Contemporaneous asymmetry in GARCH processes, Journal of Econometrics, Elsevier (2001) View citations (46) (2001)
58. Covariance Matrix Estimation for Estimators of Mixing Wold's Arma
    Working Papers, Center for Research in Economics and Statistics View citations (3)
59. Estimating Weak Garch Representations
    Working Papers, Center for Research in Economics and Statistics View citations (7)
    See also Journal Article ESTIMATING WEAK GARCH REPRESENTATIONS, Econometric Theory, Cambridge University Press (2000) View citations (35) (2000)

1996

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

1995

61. Testing for continuous-time models of the short-term interest rate
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (27)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1993) View citations (14)
    See also Journal Article Testing for continuous-time models of the short-term interest rate, Journal of Empirical Finance, Elsevier (1995) View citations (45) (1995)

Journal Articles

2023

1. LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
   Econometric Theory, 2023, 39, (5), 1067-1092 View citations (1)
   See also Working Paper Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models, Working Papers (2022) (2022)
2. Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models*
   Journal of Financial Econometrics, 2023, 21, (5), 1443-1482

2022

3. Testing the existence of moments for GARCH processes
   Journal of Econometrics, 2022, 227, (1), 47-64 View citations (4)
   See also Working Paper Testing the existence of moments for GARCH processes, MPRA Paper (2019) (2019)

2020

4. Virtual Historical Simulation for estimating the conditional VaR of large portfolios
   Journal of Econometrics, 2020, 217, (2), 356-380 View citations (4)
   See also Working Paper Virtual Historical Simulation for estimating the conditional VaR of large portfolios, MPRA Paper (2019) View citations (1) (2019)

2019

5. Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations
   Econometrica, 2019, 87, (1), 327-345 View citations (3)
   See also Working Paper Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations, MPRA Paper (2018) (2018)
6. Functional GARCH models: The quasi-likelihood approach and its applications
   Journal of Econometrics, 2019, 209, (2), 353-375 View citations (11)
   See also Working Paper Functional GARCH models: the quasi-likelihood approach and its applications, MPRA Paper (2018) (2018)
7. MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES
   Econometric Theory, 2019, 35, (6), 1234-1270 View citations (29)
   See also Working Paper Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles, MPRA Paper (2017) View citations (12) (2017)

2018

8. Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
   Journal of Econometrics, 2018, 205, (2), 381-401 View citations (12)
9. Goodness-of-fit tests for Log-GARCH and EGARCH models
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, 27, (1), 27-51 View citations (6)

2017

10. Local explosion modelling by non-causal process
    Journal of the Royal Statistical Society Series B, 2017, 79, (3), 737-756 View citations (14)
    See also Working Paper Local Explosion Modelling by Noncausal Process, MPRA Paper (2016) (2016)

2016

11. Estimating multivariate volatility models equation by equation
    Journal of the Royal Statistical Society Series B, 2016, 78, (3), 613-635 View citations (24)
12. Intrinsic Liquidity in Conditional Volatility Models
    Annals of Economics and Statistics, 2016, (123-124), 225-245
    See also Working Paper Intrinsic Liquidity in Conditional Volatility Models, Post-Print (2016) (2016)
13. Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
    Annals of Economics and Statistics, 2016, (123-124), 9-28
14. Variance Targeting Estimation of Multivariate GARCH Models
    Journal of Financial Econometrics, 2016, 14, (2), 353-382 View citations (18)
    See also Working Paper Variance targeting estimation of multivariate GARCH models, MPRA Paper (2014) View citations (7) (2014)

2015

15. Asymptotic inference in multiple-threshold double autoregressive models
    Journal of Econometrics, 2015, 189, (2), 415-427 View citations (7)
16. On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes
    Journal of Time Series Analysis, 2015, 36, (6), 876-887 View citations (5)
    See also Working Paper On uniqueness of moving average representations of heavy-tailed stationary processes, MPRA Paper (2014) (2014)
17. Risk-parameter estimation in volatility models
    Journal of Econometrics, 2015, 184, (1), 158-173 View citations (31)
    See also Working Paper Risk-parameter estimation in volatility models, MPRA Paper (2012) View citations (5) (2012)

2014

18. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 198-201

2013

19. ESTIMATION-ADJUSTED VAR
    Econometric Theory, 2013, 29, (4), 735-770 View citations (6)
    See also Working Paper Estimation Adjusted VaR, Working Papers (2012) (2012)
20. Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
    Journal of Business & Economic Statistics, 2013, 31, (4), 412-425 View citations (10)
    See also Working Paper Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions, Working Papers (2011) View citations (1) (2011)
21. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 View citations (37)
    See also Working Paper Garch models without positivity constraints: exponential or log garch?, MPRA Paper (2012) View citations (15) (2012)
22. Optimal predictions of powers of conditionally heteroscedastic processes
    Journal of the Royal Statistical Society Series B, 2013, 75, (2), 345-367 View citations (29)
    See also Working Paper Optimal Predictions of Powers of Conditionally Heteroskedastic Processes, Working Papers (2012) View citations (2) (2012)

2012

23. QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
    Econometric Theory, 2012, 28, (1), 179-206 View citations (40)
24. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
    Econometrica, 2012, 80, (2), 821-861 View citations (53)

2011

25. A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
    Energy Economics, 2011, 33, (6), 1240-1251 View citations (18)
    See also Working Paper A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices, MPRA Paper (2010) View citations (1) (2010)
26. Merits and Drawbacks of Variance Targeting in GARCH Models
    Journal of Financial Econometrics, 2011, 9, (4), 619-656 View citations (54)
    See also Working Paper Merits and Drawbacks of Variance Targeting in GARCH Models, Working Papers (2009) View citations (7) (2009)
27. 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 View citations (30)

2010

28. Combining Nonparametric and Optimal Linear Time Series Predictions
    Journal of the American Statistical Association, 2010, 105, (492), 1554-1565 View citations (2)
    See also Working Paper Combining Nonparametric and Optimal Linear Time Series Predictions, Working Papers (2009) (2009)
29. Inconsistency of the MLE and inference based on weighted LS for LARCH models
    Journal of Econometrics, 2010, 159, (1), 151-165 View citations (19)
    See also Working Paper Inconsistency of the MLE and inference based on weighted LS for LARCH models, Post-Print (2010) View citations (13) (2010)
30. SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
    Econometric Theory, 2010, 26, (4), 965-993 View citations (5)
    See also Working Paper Sup-Tests for Linearity in a General Nonlinear AR(1) Model, Working Papers (2009) View citations (1) (2009)
31. Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
    Journal of Time Series Analysis, 2010, 31, (5), 348-364 View citations (3)

2009

32. Bartlett's formula for a general class of nonlinear processes
    Journal of Time Series Analysis, 2009, 30, (4), 449-465 View citations (19)
    See also Working Paper Bartlett's formula for a general class of non linear processes, MPRA Paper (2009) View citations (16) (2009)
33. 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 View citations (35)
    See also Working Paper Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons, Working Papers (2008) (2008)

2008

34. A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
    Journal of Econometrics, 2008, 142, (1), 312-326 View citations (9)
35. Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
    Computational Statistics & Data Analysis, 2008, 52, (6), 3027-3046 View citations (32)

2007

36. HAC estimation and strong linearity testing in weak ARMA models
    Journal of Multivariate Analysis, 2007, 98, (1), 114-144 View citations (15)
37. Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
    Stochastic Processes and their Applications, 2007, 117, (9), 1265-1284 View citations (43)

2006

38. Linear‐representation Based Estimation of Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2006, 33, (4), 785-806 View citations (12)
39. MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
    Econometric Theory, 2006, 22, (5), 815-834 View citations (37)

2005

40. A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
    Econometric Theory, 2005, 21, (6), 1165-1171 View citations (11)
41. Diagnostic Checking in ARMA Models With Uncorrelated Errors
    Journal of the American Statistical Association, 2005, 100, 532-544 View citations (80)
42. The L2-structures of standard and switching-regime GARCH models
    Stochastic Processes and their Applications, 2005, 115, (9), 1557-1582 View citations (22)

2002

43. COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
    Econometric Theory, 2002, 18, (3), 815-818 View citations (8)
44. Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
    Journal of Time Series Analysis, 2002, 23, (3), 287-312
    See also Working Paper Efficient use of higher-lag autocorrelations for estimating autoregressive processes, LIDAM Reprints CORE (2002) View citations (1) (2002)

2001

45. Conditional Heteroskedasticity Driven by Hidden Markov Chains
    Journal of Time Series Analysis, 2001, 22, (2), 197-220 View citations (38)
    See also Working Paper Conditional Heteroskedasticity Driven by Hidden Markov Chains, Working Papers (1998) View citations (10) (1998)
46. Contemporaneous asymmetry in GARCH processes
    Journal of Econometrics, 2001, 101, (2), 257-294 View citations (46)
    See also Working Paper Contemporaneous Asymmetry in GARCH Processes, Working Papers (1997) View citations (1) (1997)
47. Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
    Economics Letters, 2001, 71, (3), 317-322 View citations (10)
    See also Working Paper Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, LIDAM Reprints CORE (2001) View citations (7) (2001)
48. Stationarity of multivariate Markov-switching ARMA models
    Journal of Econometrics, 2001, 102, (2), 339-364 View citations (99)
    See also Working Paper Stationarity of Multivariate Markov-Switching ARMA Models, Working Papers (2000) (2000)

2000

49. ESTIMATING WEAK GARCH REPRESENTATIONS
    Econometric Theory, 2000, 16, (5), 692-728 View citations (35)
    See also Working Paper Estimating Weak Garch Representations, Working Papers (1997) View citations (7) (1997)

1998

50. QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
    Econometric Theory, 1998, 14, (2), 161-186 View citations (23)
    See also Working Paper Quasi-indirect inference for diffusion processes, LIDAM Reprints CORE (1998) View citations (10) (1998)

1996

51. Estimation de modèles de la structure par terme des taux d'intérêt
    Revue Économique, 1996, 47, (3), 511-519 View citations (2)

1995

52. Testing for continuous-time models of the short-term interest rate
    Journal of Empirical Finance, 1995, 2, (3), 199-223 View citations (45)
    See also Working Paper Testing for continuous-time models of the short-term interest rate, LIDAM Reprints CORE (1995) View citations (27) (1995)

1994

53. Modéles autoregressifs à seuils multiple
    Annals of Economics and Statistics, 1994, (36), 23-56
54. Threshold heteroskedastic models
    Journal of Economic Dynamics and Control, 1994, 18, (5), 931-955 View citations (758)

1993

55. Threshold Arch Models and Asymmetries in Volatility
    Journal of Applied Econometrics, 1993, 8, (1), 31-49 View citations (187)