Francq, Christian; Zakoïan, Jean-Michel Testing the existence of moments for GARCH processes. (English) Zbl 07491148 J. Econom. 227, No. 1, 47-64 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Econom. 227, No. 1, 47--64 (2022; Zbl 07491148) Full Text: DOI Link
Francq, Christian; Zakoian, Jean-Michel GARCH models. Structure, statistical inference and financial applications. 2nd edition. (English) Zbl 1431.62004 Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-31357-1/hbk; 978-1-119-31347-2/ebook). xvi, 487 p. (2019). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62-02 62M10 62P05 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoian}, GARCH models. Structure, statistical inference and financial applications. 2nd edition. Hoboken, NJ: John Wiley \& Sons (2019; Zbl 1431.62004) Full Text: DOI
Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried; Zakoïan, Jean-Michel Functional GARCH models: the quasi-likelihood approach and its applications. (English) Zbl 1452.62988 J. Econom. 209, No. 2, 353-375 (2019). MSC: 62R10 62M10 62F12 62P05 62P20 PDFBibTeX XMLCite \textit{C. Cerovecki} et al., J. Econom. 209, No. 2, 353--375 (2019; Zbl 1452.62988) Full Text: DOI Link
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel Asymptotic inference in multiple-threshold double autoregressive models. (English) Zbl 1337.62272 J. Econom. 189, No. 2, 415-427 (2015). MSC: 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{D. Li} et al., J. Econom. 189, No. 2, 415--427 (2015; Zbl 1337.62272) Full Text: DOI
Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel GARCH models without positivity constraints: exponential or log GARCH? (English) Zbl 1285.62105 J. Econom. 177, No. 1, 34-46 (2013). MSC: 62M10 62P05 PDFBibTeX XMLCite \textit{C. Francq} et al., J. Econom. 177, No. 1, 34--46 (2013; Zbl 1285.62105) Full Text: DOI arXiv
Francq, Christian; Zakoïan, Jean-Michel Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. (English) Zbl 1100.62083 Econom. Theory 22, No. 5, 815-834 (2006). MSC: 62M10 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Econom. Theory 22, No. 5, 815--834 (2006; Zbl 1100.62083) Full Text: DOI
El Babsiri, Mohamed; Zakoian, Jean-Michel Contemporaneous asymmetry in GARCH processes. (English) Zbl 0997.62084 J. Econom. 101, No. 2, 257-294 (2001). MSC: 62P05 91B84 62P20 PDFBibTeX XMLCite \textit{M. El Babsiri} and \textit{J.-M. Zakoian}, J. Econom. 101, No. 2, 257--294 (2001; Zbl 0997.62084) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel Stationarity of Markov-switching ARMA models. (Stationnarité des modèles ARMA à changement de régime markovien.) (French) Zbl 0956.62077 C. R. Acad. Sci., Paris, Sér. I, Math. 330, No. 11, 1031-1034 (2000). MSC: 62M10 60G10 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, C. R. Acad. Sci., Paris, Sér. I, Math. 330, No. 11, 1031--1034 (2000; Zbl 0956.62077) Full Text: DOI
Francq, C.; Zakoïan, J. M. Multivariate ARMA models with generalized autoregressive linear innovation. (English) Zbl 0983.62058 Stochastic Anal. Appl. 18, No. 2, 231-260 (2000). MSC: 62M10 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J. M. Zakoïan}, Stochastic Anal. Appl. 18, No. 2, 231--260 (2000; Zbl 0983.62058) Full Text: DOI
Zakoïan, Jean-Michel Threshold heteroskedastic models. (English) Zbl 0875.90197 J. Econ. Dyn. Control 18, No. 5, 931-955 (1994). MSC: 91B82 62P20 PDFBibTeX XMLCite \textit{J.-M. Zakoïan}, J. Econ. Dyn. Control 18, No. 5, 931--955 (1994; Zbl 0875.90197) Full Text: DOI
Zakoian, Jean-Michel Threshold heteroskedastic models. (English) Zbl 0806.90018 J. Econ. Dyn. Control 18, No. 5, 931-955 (1994). MSC: 91B84 62P20 91B62 PDFBibTeX XMLCite \textit{J.-M. Zakoian}, J. Econ. Dyn. Control 18, No. 5, 931--955 (1994; Zbl 0806.90018) Full Text: DOI
Zakoian, Jean-Michel Threshold autoregressive models. (Modèle autorégressif à un seuil.) (French) Zbl 0795.62081 Publ. Inst. Stat. Univ. Paris 37, No. 3-4, 85-113 (1993). Reviewer: D.Lepingle (Orléans) MSC: 62M10 60G10 PDFBibTeX XMLCite \textit{J.-M. Zakoian}, Publ. Inst. Stat. Univ. Paris 37, No. 3--4, 85--113 (1993; Zbl 0795.62081)