Jean-Michel Zakoian
Names
| first: |
Jean-Michel |
| last: |
Zakoian |
Identifer
Contact
Affiliations
-
Centre de Recherche en Économie et Statistique (CREST)
Research profile
author of:
- Modéles autoregressifs à seuils multiple (RePEc:adr:anecst:y:1994:i:36:p:23-56)
by Jean-Michel Zakoian - Intrinsic Liquidity in Conditional Volatility Models (RePEc:adr:anecst:y:2016:i:123-124:p:225-245)
by Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan - Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels (RePEc:adr:anecst:y:2016:i:123-124:p:9-28)
by Christian Francq & Jean-Michel Zakoïan - Virtual Historical Simulation for estimating the conditional VaR of large portfolios (RePEc:arx:papers:1909.04661)
by Christian Francq & Jean-Michel Zakoian - Diagnostic Checking in ARMA Models With Uncorrelated Errors (RePEc:bes:jnlasa:v:100:y:2005:p:532-544)
by Francq, Christian & Roy, Roch & Zakoian, Jean-Michel - Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (RePEc:bes:jnlasa:v:104:i:485:y:2009:p:313-324)
by Francq, Christian & Zakoïan, Jean-Michel - Combining Nonparametric and Optimal Linear Time Series Predictions (RePEc:bes:jnlasa:v:105:i:492:y:2010:p:1554-1565)
by Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel - Optimal predictions of powers of conditionally heteroscedastic processes (RePEc:bla:jorssb:v:75:y:2013:i:2:p:345-367)
by Christian Francq & Jean-Michel Zakoïan - Estimating multivariate volatility models equation by equation (RePEc:bla:jorssb:v:78:y:2016:i:3:p:613-635)
by Christian Francq & Jean-Michel Zakoïan - Local explosion modelling by non-causal process (RePEc:bla:jorssb:v:79:y:2017:i:3:p:737-756)
by Christian Gouriéroux & Jean-Michel Zakoïan - Conditional Heteroskedasticity Driven by Hidden Markov Chains (RePEc:bla:jtsera:v:22:y:2001:i:2:p:197-220)
by Christian Francq & Michel Roussignol & Jean‐Michel Zakoian - Efficient use of higher‐lag autocorrelations for estimating autoregressive processes (RePEc:bla:jtsera:v:23:y:2002:i:3:p:287-312)
by Laurence Broze & Christian Francq & Jean‐Michel Zakoïan - Bartlett's formula for a general class of nonlinear processes (RePEc:bla:jtsera:v:30:y:2009:i:4:p:449-465)
by Christian Francq & Jean‐Michel Zakoïan - Structure and estimation of a class of nonstationary yet nonexplosive GARCH models (RePEc:bla:jtsera:v:31:y:2010:i:5:p:348-364)
by Nazim Regnard & Jean‐Michel Zakoïan - On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes (RePEc:bla:jtsera:v:36:y:2015:i:6:p:876-887)
by Christian Gouriéroux & Jean-Michel Zakoïan - Linear‐representation Based Estimation of Stochastic Volatility Models (RePEc:bla:scjsta:v:33:y:2006:i:4:p:785-806)
by Christian Francq & Jean‐Michel Zakoïan - Testing for Continuous-Time Models of the Short-Term Interest Rate (RePEc:cor:louvco:1993031)
by BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel - Quasi Indirect Inference for Diffusion Processes (RePEc:cor:louvco:1995005)
by BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel - Contemporaneous Asymmetry in Weak GARCH Processes (RePEc:cor:louvco:1996004)
by EL BABSIRI, Mohamed & ZAKOIAN, Jean-Michel - Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (RePEc:cor:louvco:2000033)
by BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel - Testing for continuous-time models of the short-term interest rate (RePEc:cor:louvrp:1177)
by Broze, L. & Scaillet, O. & Zakoïan, J.-M. - Quasi-indirect inference for diffusion processes (RePEc:cor:louvrp:1327)
by BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel - Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (RePEc:cor:louvrp:1576)
by BROZE, Laurence & FRANCQ , Christian & ZAKOIAN, Jean-Michel - Efficient use of higher-lag autocorrelations for estimating autoregressive processes (RePEc:cor:louvrp:1580)
by BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel - Stationarity of Multivariate Markov-Switching ARMA Models (RePEc:crs:wpaper:2000-32)
by Christian Francq & Jean-Michel Zakoïan - Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations (RePEc:crs:wpaper:2000-47)
by Christian Francq & Jean-Michel Zakoïan - A Tour in the Asymptotic Theory of GARCH Estimation (RePEc:crs:wpaper:2008-03)
by Christian Francq & Jean-Michel Zakoïan - Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons (RePEc:crs:wpaper:2008-04)
by Christian Francq & Jean-Michel Zakoïan - Barlett’s Formula for Non Linear Processes (RePEc:crs:wpaper:2008-05)
by Christian Francq & Jean-Michel Zakoïan - Can One Really Estimate Nonstationary GARCH Models ? (RePEc:crs:wpaper:2008-06)
by Christian Francq & Jean-Michel Zakoïan - Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero (RePEc:crs:wpaper:2008-07)
by Christian Francq & Jean-Michel Zakoïan - Sup-Tests for Linearity in a General Nonlinear AR(1) Model (RePEc:crs:wpaper:2009-16)
by Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN - Merits and Drawbacks of Variance Targeting in GARCH Models (RePEc:crs:wpaper:2009-17)
by Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN - Combining Nonparametric and Optimal Linear Time Series Predictions (RePEc:crs:wpaper:2009-18)
by Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN - Properties of the QMLE and the Weighted LSE for LARCH(q) Models (RePEc:crs:wpaper:2009-19)
by Christian FRANCQ & Jean-Michel ZAKOIAN - Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions (RePEc:crs:wpaper:2011-30)
by Christian Francq & Jean-Michel Zakoïan - Estimation Adjusted VaR (RePEc:crs:wpaper:2012-16)
by Christian Gouriéroux & Jean-Michel Zakoian - Optimal Predictions of Powers of Conditionally Heteroskedastic Processes (RePEc:crs:wpaper:2012-17)
by Christan Francq & Jean-Michel Zakoian - Explosive Bubble Modelling by Noncausal Process (RePEc:crs:wpaper:2013-04)
by Christian Gouriéroux & Jean-Michel Zakoian - Inference in Non Stationary Asymmetric Garch Models (RePEc:crs:wpaper:2013-11)
by Christian Francq & Jean-Michel Zakoian - Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models (RePEc:crs:wpaper:2013-51)
by Dong Li & Shiqing Ling & Jean-Michel Zakoian - Multi-level Conditional VaR Estimation in Dynamic Models (RePEc:crs:wpaper:2014-01)
by Christian Francq & Jean-Michel Zakoian - Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (RePEc:crs:wpaper:2018-08)
by Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian - Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models (RePEc:crs:wpaper:2022-06)
by Christian Francq & Jean-Michel Zakoïan - Inference on Multiplicative Component GARCH without any Small-Order Moment (RePEc:crs:wpaper:2022-09)
by Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian - Estimating dynamic systemic risk measures (RePEc:crs:wpaper:2022-11)
by Loïc Cantin & Christian Francq & Jean-Michel Zakoïan - Contemporaneous Asymmetry in GARCH Processes (RePEc:crs:wpaper:97-03)
by M, El Babsiri & Jean-Michel Zakoïan - Covariance Matrix Estimation for Estimators of Mixing Wold's Arma (RePEc:crs:wpaper:97-19)
by Christian Francq & Jean-Michel Zakoïan - Estimating Weak Garch Representations (RePEc:crs:wpaper:97-40)
by Christian Francq & Jean-Michel Zakoïan - Conditional Heteroskedasticity Driven by Hidden Markov Chains (RePEc:crs:wpaper:98-45)
by Christian Francq & Michel Roussignol & Jean-Michel Zakoïan - Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes (RePEc:crs:wpaper:99-56)
by Laurence Broze & Christian Francq & Jean-Michel Zakoïan - Linear-Representations Based Estimation of Switching-Regime GARCH Models (RePEc:crs:wpaper:99-57)
by Christian Francq & Jean-Michel Zakoïan - Quasi-Indirect Inference For Diffusion Processes (RePEc:cup:etheor:v:14:y:1998:i:02:p:161-186_14)
by Broze, Laurence & Scaillet, Olivier & Zakoïan, Jean-Michel - Estimating Weak Garch Representations (RePEc:cup:etheor:v:16:y:2000:i:05:p:692-728_16)
by Francq, Christian & Zakoïan, Jean-Michel - Comments On The Paper By Minxian Yang: “Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients” (RePEc:cup:etheor:v:18:y:2002:i:03:p:815-818_18)
by Francq, Christian & Zakoïan, Jean-Michel - A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size (RePEc:cup:etheor:v:21:y:2005:i:06:p:1165-1171_05)
by Francq, Christian & Zakoïan, Jean-Michel - Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process (RePEc:cup:etheor:v:22:y:2006:i:05:p:815-834_06)
by Francq, Christian & Zakoïan, Jean-Michel - Sup-Tests For Linearity In A General Nonlinear Ar(1) Model (RePEc:cup:etheor:v:26:y:2010:i:04:p:965-993_99)
by Francq, Christian & Horvath, Lajos & Zakoïan, Jean-Michel - Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models (RePEc:cup:etheor:v:28:y:2012:i:01:p:179-206_00)
by Francq, Christian & Zakoïan, Jean-Michel - Estimation-Adjusted Var (RePEc:cup:etheor:v:29:y:2013:i:04:p:735-770_00)
by Gourieroux, Christian & Zakoïan, Jean-Michel - Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles (RePEc:cup:etheor:v:35:y:2019:i:6:p:1234-1270_5)
by Fries, Sébastien & Zakoian, Jean-Michel - Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models (RePEc:ecm:emetrp:v:80:y:2012:i:2:p:821-861)
by Christian Francq & Jean‐Michel Zakoïan - Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (RePEc:eee:csdana:v:52:y:2008:i:6:p:3027-3046)
by Francq, Christian & ZakoI¨an, Jean-Michel - Threshold heteroskedastic models (RePEc:eee:dyncon:v:18:y:1994:i:5:p:931-955)
by Zakoian, Jean-Michel - Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (RePEc:eee:ecolet:v:71:y:2001:i:3:p:317-322)
by Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel - Contemporaneous asymmetry in GARCH processes (RePEc:eee:econom:v:101:y:2001:i:2:p:257-294)
by Babsiri, Mohamed El & Zakoian, Jean-Michel - Stationarity of multivariate Markov-switching ARMA models (RePEc:eee:econom:v:102:y:2001:i:2:p:339-364)
by Francq, C. & Zakoian, J. -M. - A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test (RePEc:eee:econom:v:142:y:2008:i:1:p:312-326)
by Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel - Inconsistency of the MLE and inference based on weighted LS for LARCH models (RePEc:eee:econom:v:159:y:2010:i:1:p:151-165)
by Francq, Christian & Zakoïan, Jean-Michel - Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (RePEc:eee:econom:v:165:y:2011:i:2:p:246-257)
by Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel - GARCH models without positivity constraints: Exponential or log GARCH? (RePEc:eee:econom:v:177:y:2013:i:1:p:34-46)
by Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel - Risk-parameter estimation in volatility models (RePEc:eee:econom:v:184:y:2015:i:1:p:158-173)
by Francq, Christian & Zakoïan, Jean-Michel - Asymptotic inference in multiple-threshold double autoregressive models (RePEc:eee:econom:v:189:y:2015:i:2:p:415-427)
by Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel - Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (RePEc:eee:econom:v:205:y:2018:i:2:p:381-401)
by Francq, Christian & Zakoïan, Jean-Michel - Functional GARCH models: The quasi-likelihood approach and its applications (RePEc:eee:econom:v:209:y:2019:i:2:p:353-375)
by Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel - Virtual Historical Simulation for estimating the conditional VaR of large portfolios (RePEc:eee:econom:v:217:y:2020:i:2:p:356-380)
by Francq, Christian & Zakoïan, Jean-Michel - Testing the existence of moments for GARCH processes (RePEc:eee:econom:v:227:y:2022:i:1:p:47-64)
by Francq, Christian & Zakoïan, Jean-Michel - Testing for continuous-time models of the short-term interest rate (RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223)
by Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel - A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices (RePEc:eee:eneeco:v:33:y:2011:i:6:p:1240-1251)
by Regnard, Nazim & Zakoïan, Jean-Michel - HAC estimation and strong linearity testing in weak ARMA models (RePEc:eee:jmvana:v:98:y:2007:i:1:p:114-144)
by Francq, Christian & Zakoïan, Jean-Michel - The L2-structures of standard and switching-regime GARCH models (RePEc:eee:spapps:v:115:y:2005:i:9:p:1557-1582)
by Francq, Christian & ZakoI¨an, Jean-Michel - Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284)
by Francq, Christian & Zakoian, Jean-Michel - Inconsistency of the MLE and inference based on weighted LS for LARCH models (RePEc:hal:journl:hal-00732536)
by Christian Francq & Jean-Michel Zakoïan - Intrinsic Liquidity in Conditional Volatility Models (RePEc:hal:journl:hal-01500747)
by Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan - Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models (RePEc:hal:wpaper:hal-02898909)
by Christian Francq & Jean-Michel Zakoïan - Threshold Arch Models and Asymmetries in Volatility (RePEc:jae:japmet:v:8:y:1993:i:1:p:31-49)
by Rabemananjara, R & Zakoian, J M - Variance Targeting Estimation of Multivariate GARCH Models (RePEc:oup:jfinec:v:14:y:2016:i:2:p:353-382.)
by Christian Francq & Lajos Horváth & Jean-Michel Zakoïan - Merits and Drawbacks of Variance Targeting in GARCH Models (RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656)
by Christian Francq & Lajos Horváth - Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models (RePEc:pra:mprapa:106542)
by Francq, Christian & Zakoian, Jean-Michel - Testing the existence of moments and estimating the tail index of augmented garch processes (RePEc:pra:mprapa:110511)
by Francq, Christian & Zakoian, Jean-Michel - Bartlett's formula for a general class of non linear processes (RePEc:pra:mprapa:13224)
by Francq, Christian & Zakoian, Jean-Michel - Merits and drawbacks of variance targeting in GARCH models (RePEc:pra:mprapa:15143)
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel - Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models (RePEc:pra:mprapa:15147)
by Francq, Christian & Zakoian, Jean-Michel - Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space (RePEc:pra:mprapa:16669)
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel - Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons (RePEc:pra:mprapa:16672)
by Francq, Christian & Zakoian, Jean-Michel - Combining parametric and nonparametric approaches for more efficient time series prediction (RePEc:pra:mprapa:16893)
by Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel - QML estimation of a class of multivariate GARCH models without moment conditions on the observed process (RePEc:pra:mprapa:20779)
by Francq, Christian & Zakoian, Jean-Michel - Optimal predictions of powers of conditionally heteroskedastic processes (RePEc:pra:mprapa:22155)
by Francq, Christian & Zakoian, Jean-Michel - Strict stationarity testing and estimation of explosive ARCH models (RePEc:pra:mprapa:22414)
by Francq, Christian & Zakoian, Jean-Michel - A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices (RePEc:pra:mprapa:22642)
by Regnard, Nazim & Zakoian, Jean-Michel - Garch models without positivity constraints: exponential or log garch? (RePEc:pra:mprapa:41373)
by Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel - Risk-parameter estimation in volatility models (RePEc:pra:mprapa:41713)
by Francq, Christian & Zakoian, Jean-Michel - Inference in non stationary asymmetric garch models (RePEc:pra:mprapa:44901)
by Francq, Christian & Zakoian, Jean-Michel - Estimating multivariate GARCH and stochastic correlation models equation by equation (RePEc:pra:mprapa:54250)
by Francq, Christian & Zakoian, Jean-Michel - On uniqueness of moving average representations of heavy-tailed stationary processes (RePEc:pra:mprapa:54907)
by Gouriéroux, Christian & Zakoian, Jean-Michel - Variance targeting estimation of multivariate GARCH models (RePEc:pra:mprapa:57794)
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel - Stationarity and geometric ergodicity of a class of nonlinear ARCH models (RePEc:pra:mprapa:61988)
by Saidi, Youssef & Zakoian, Jean-Michel - Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels (RePEc:pra:mprapa:67195)
by Francq, Christian & Zakoian, Jean-Michel - Joint inference on market and estimation risks in dynamic portfolios (RePEc:pra:mprapa:68100)
by Francq, Christian & Zakoian, Jean-Michel - Local Explosion Modelling by Noncausal Process (RePEc:pra:mprapa:71105)
by Gouriéroux, Christian & Zakoian, Jean-Michel - Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations (RePEc:pra:mprapa:79623)
by Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel - Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles (RePEc:pra:mprapa:81345)
by Fries, Sébastien & Zakoian, Jean-Michel - Functional GARCH models: the quasi-likelihood approach and its applications (RePEc:pra:mprapa:83990)
by Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel - Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (RePEc:pra:mprapa:87834)
by Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel - Virtual Historical Simulation for estimating the conditional VaR of large portfolios (RePEc:pra:mprapa:95965)
by Francq, Christian & Zakoian, Jean-Michel - Testing the existence of moments for GARCH processes (RePEc:pra:mprapa:98892)
by Francq, Christian & Zakoian, Jean-Michel - Estimation de modèles de la structure par terme des taux d'intérêt (RePEc:prs:reveco:reco_0035-2764_1996_num_47_3_409787)
by Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua - Stochastic unit-root bilinear processes (RePEc:sce:scecfa:63)
by Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan - Inference in GARCH when some coefficients are equal to zero (RePEc:sce:scecfa:64)
by Christian Francq & Jean-Michel Zakoïan - Goodness-of-fit tests for Log-GARCH and EGARCH models (RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2)
by Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan - Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions (RePEc:taf:jnlbes:v:31:y:2013:i:4:p:412-425)
by Christian Francq & Jean-Michel Zakoïan - Comment (RePEc:taf:jnlbes:v:32:y:2014:i:2:p:198-201)
by Christian Francq & Jean-Michel Zakoïan - Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations (RePEc:wly:emetrp:v:87:y:2019:i:1:p:327-345)
by C. Gouriéroux & A. Monfort & J.‐M. Zakoïan - Conditional heteroskedasticity driven by hidden Markov chains (RePEc:zbw:sfb373:199886)
by Francq, Christian & Roussignol, Michel & Zakoian, Jean-Michel