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Zakoïan, Jean-Michel

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Author ID: zakoian.jean-michel Recent zbMATH articles by "Zakoïan, Jean-Michel"
Published as: Zakoian, Jean-Michel; Zakoïan, J. M.; Zakoïan, J.-M.; Zakoïan, Jean-Michael; Zakoïan, Jean-Michel; Zakoıän, Jean-Michel
Documents Indexed: 58 Publications since 1993, including 1 Book

Publications by Year

Citations contained in zbMATH Open

46 Publications have been cited 791 times in 525 Documents Cited by Year
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Zbl 1067.62094
Francq, Christian; Zakoïan, Jean-Michel
153
2004
Threshold heteroskedastic models. Zbl 0875.90197
Zakoïan, Jean-Michel
64
1994
Diagnostic checking in ARMA models with uncorrelated errors. Zbl 1117.62336
Francq, Christian; Roy, Roch; Zakoïan, Jean-Michel
59
2005
Stationarity of multivariate Markov-switching ARMA models. Zbl 0998.62076
Francq, C.; Zakoïan, J.-M.
55
2001
Threshold heteroskedastic models. Zbl 0806.90018
Zakoian, Jean-Michel
50
1994
Estimating linear representations of nonlinear processes. Zbl 0942.62100
Francq, Christian; Zakoïan, Jean-Michel
36
1998
Inconsistency of the MLE and inference based on weighted LS for LARCH models. Zbl 1431.62372
Francq, Christian; Zakoïan, Jean-Michel
33
2010
Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. Zbl 1100.62083
Francq, Christian; Zakoïan, Jean-Michel
30
2006
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models. Zbl 1274.62590
Francq, Christian; Zakoïan, Jean-Michel
27
2012
The \(L^2\)-structures of standard and switching-regime GARCH models. Zbl 1074.60075
Francq, Christian; Zakoïan, Jean-Michel
25
2005
Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel
23
2001
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. Zbl 1116.62025
Francq, Christian; Zakoian, Jean-Michel
22
2007
QML estimation of a class of multivariate asymmetric GARCH models. Zbl 1234.62120
Francq, Christian; Zakoïan, Jean-Michel
16
2012
Inference in nonstationary asymmetric GARCH models. Zbl 1277.62210
Francq, Christian; Zakoïan, Jean-Michel
15
2013
GARCH models. Structure, statistical inference and financial applications. 2nd edition. Zbl 1431.62004
Francq, Christian; Zakoian, Jean-Michel
14
2019
GARCH models without positivity constraints: exponential or log GARCH? Zbl 1285.62105
Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel
12
2013
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE. Zbl 1441.62692
Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel
12
2011
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons. Zbl 1388.62252
Francq, Christian; Zakoïan, Jean-Michel
12
2009
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes. Zbl 1197.62128
Hamadeh, Tawfik; Zakoïan, Jean-Michel
11
2011
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference. Zbl 1452.62634
Francq, Christian; Zakoıän, Jean-Michel
10
2008
HAC estimation and strong linearity testing in weak ARMA models. Zbl 1102.62096
Francq, Christian; Zakoïan, Jean-Michel
10
2007
Covariance matrix estimation for estimators of mixing weak ARMA models. Zbl 0976.62086
Francq, Christian; Zakoïan, Jean-Michel
10
2000
Bartlett’s formula for a general class of nonlinear processes. Zbl 1224.62054
Francq, Christian; Zakoïan, Jean-Michel
9
2009
A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size. Zbl 1083.62076
Francq, Christian; Zakoïan, Jean-Michel
9
2005
Estimating weak GARCH representations. Zbl 0967.62065
Francq, Christian; Zakoïan, Jean-Michel
8
2000
Sup-tests for linearity in a general nonlinear AR(1) model. Zbl 1294.62200
Francq, Christian; Horvath, Lajos; Zakoïan, Jean-Michel
7
2010
Risk-parameter estimation in volatility models. Zbl 1331.91138
Francq, Christian; Zakoïan, Jean-Michel
5
2015
Linear representation based estimation of stochastic volatility models. Zbl 1164.62379
Francq, Christian; Zakoïan, Jean-Michael
5
2006
Contemporaneous asymmetry in GARCH processes. Zbl 0997.62084
El Babsiri, Mohamed; Zakoian, Jean-Michel
5
2001
Estimating multivariate volatility models equation by equation. Zbl 1414.62362
Francq, Christian; Zakoïan, Jean-Michel
4
2016
Asymptotic inference in multiple-threshold double autoregressive models. Zbl 1337.62272
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel
4
2015
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test. Zbl 1418.62321
Francq, Christian; Makarova, Svetlana; Zakoïan, Jean-Michel
4
2008
Stationarity and geometric ergodicity of a class of nonlinear ARCH models. Zbl 1121.60033
Saïdi, Youssef; Zakoïan, Jean-Michel
4
2006
Local explosion modelling by non-causal process. Zbl 1411.62252
Gouriéroux, Christian; Zakoïan, Jean-Michel
3
2017
On uniqueness of moving average representations of heavy-tailed stationary processes. Zbl 1330.62330
Gouriéroux, Christian; Zakoïan, Jean-Michel
3
2015
Estimation-adjusted VaR. Zbl 1283.91087
Gourieroux, Christian; Zakoïan, Jean-Michel
3
2013
A tour in the asymptotic theory of GARCH estimation. Zbl 1178.62097
Francq, Christian; Zakoïan, Jean-Michel
3
2009
Comments on the paper by Minxian Yang: “Some properties of vector autoregressive processes with Markov-switching coefficients”. Zbl 1109.62336
Francq, Christian; Zakoïan, Jean-Michel
3
2002
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. Zbl 1452.62763
Francq, Christian; Zakoïan, Jean-Michel
2
2018
Goodness-of-fit tests for Log-GARCH and EGARCH models. Zbl 06852281
Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel
2
2018
On efficient inference in GARCH processes. Zbl 1102.62095
Francq, Christian; Zakoïan, Jean-Michel
2
2006
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. Zbl 1030.62064
Broze, L.; Francq, C.; Zakoïan, J.-M.
2
2001
Multivariate ARMA models with generalized autoregressive linear innovation. Zbl 0983.62058
Francq, C.; Zakoïan, J. M.
2
2000
Consistent pseudo-maximum likelihood estimators and groups of transformations. Zbl 1420.62412
Gouriéroux, C.; Monfort, A.; Zakoïan, J.-M.
1
2019
Functional GARCH models: the quasi-likelihood approach and its applications. Zbl 1452.62988
Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried; Zakoïan, Jean-Michel
1
2019
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models. Zbl 1416.62524
Regnard, Nazim; Zakoïan, Jean-Michel
1
2010
GARCH models. Structure, statistical inference and financial applications. 2nd edition. Zbl 1431.62004
Francq, Christian; Zakoian, Jean-Michel
14
2019
Consistent pseudo-maximum likelihood estimators and groups of transformations. Zbl 1420.62412
Gouriéroux, C.; Monfort, A.; Zakoïan, J.-M.
1
2019
Functional GARCH models: the quasi-likelihood approach and its applications. Zbl 1452.62988
Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried; Zakoïan, Jean-Michel
1
2019
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models. Zbl 1452.62763
Francq, Christian; Zakoïan, Jean-Michel
2
2018
Goodness-of-fit tests for Log-GARCH and EGARCH models. Zbl 06852281
Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel
2
2018
Local explosion modelling by non-causal process. Zbl 1411.62252
Gouriéroux, Christian; Zakoïan, Jean-Michel
3
2017
Estimating multivariate volatility models equation by equation. Zbl 1414.62362
Francq, Christian; Zakoïan, Jean-Michel
4
2016
Risk-parameter estimation in volatility models. Zbl 1331.91138
Francq, Christian; Zakoïan, Jean-Michel
5
2015
Asymptotic inference in multiple-threshold double autoregressive models. Zbl 1337.62272
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel
4
2015
On uniqueness of moving average representations of heavy-tailed stationary processes. Zbl 1330.62330
Gouriéroux, Christian; Zakoïan, Jean-Michel
3
2015
Inference in nonstationary asymmetric GARCH models. Zbl 1277.62210
Francq, Christian; Zakoïan, Jean-Michel
15
2013
GARCH models without positivity constraints: exponential or log GARCH? Zbl 1285.62105
Francq, Christian; Wintenberger, Olivier; Zakoïan, Jean-Michel
12
2013
Estimation-adjusted VaR. Zbl 1283.91087
Gourieroux, Christian; Zakoïan, Jean-Michel
3
2013
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models. Zbl 1274.62590
Francq, Christian; Zakoïan, Jean-Michel
27
2012
QML estimation of a class of multivariate asymmetric GARCH models. Zbl 1234.62120
Francq, Christian; Zakoïan, Jean-Michel
16
2012
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE. Zbl 1441.62692
Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel
12
2011
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes. Zbl 1197.62128
Hamadeh, Tawfik; Zakoïan, Jean-Michel
11
2011
Inconsistency of the MLE and inference based on weighted LS for LARCH models. Zbl 1431.62372
Francq, Christian; Zakoïan, Jean-Michel
33
2010
Sup-tests for linearity in a general nonlinear AR(1) model. Zbl 1294.62200
Francq, Christian; Horvath, Lajos; Zakoïan, Jean-Michel
7
2010
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models. Zbl 1416.62524
Regnard, Nazim; Zakoïan, Jean-Michel
1
2010
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons. Zbl 1388.62252
Francq, Christian; Zakoïan, Jean-Michel
12
2009
Bartlett’s formula for a general class of nonlinear processes. Zbl 1224.62054
Francq, Christian; Zakoïan, Jean-Michel
9
2009
A tour in the asymptotic theory of GARCH estimation. Zbl 1178.62097
Francq, Christian; Zakoïan, Jean-Michel
3
2009
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference. Zbl 1452.62634
Francq, Christian; Zakoıän, Jean-Michel
10
2008
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test. Zbl 1418.62321
Francq, Christian; Makarova, Svetlana; Zakoïan, Jean-Michel
4
2008
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. Zbl 1116.62025
Francq, Christian; Zakoian, Jean-Michel
22
2007
HAC estimation and strong linearity testing in weak ARMA models. Zbl 1102.62096
Francq, Christian; Zakoïan, Jean-Michel
10
2007
Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. Zbl 1100.62083
Francq, Christian; Zakoïan, Jean-Michel
30
2006
Linear representation based estimation of stochastic volatility models. Zbl 1164.62379
Francq, Christian; Zakoïan, Jean-Michael
5
2006
Stationarity and geometric ergodicity of a class of nonlinear ARCH models. Zbl 1121.60033
Saïdi, Youssef; Zakoïan, Jean-Michel
4
2006
On efficient inference in GARCH processes. Zbl 1102.62095
Francq, Christian; Zakoïan, Jean-Michel
2
2006
Diagnostic checking in ARMA models with uncorrelated errors. Zbl 1117.62336
Francq, Christian; Roy, Roch; Zakoïan, Jean-Michel
59
2005
The \(L^2\)-structures of standard and switching-regime GARCH models. Zbl 1074.60075
Francq, Christian; Zakoïan, Jean-Michel
25
2005
A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size. Zbl 1083.62076
Francq, Christian; Zakoïan, Jean-Michel
9
2005
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Zbl 1067.62094
Francq, Christian; Zakoïan, Jean-Michel
153
2004
Comments on the paper by Minxian Yang: “Some properties of vector autoregressive processes with Markov-switching coefficients”. Zbl 1109.62336
Francq, Christian; Zakoïan, Jean-Michel
3
2002
Stationarity of multivariate Markov-switching ARMA models. Zbl 0998.62076
Francq, C.; Zakoïan, J.-M.
55
2001
Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel
23
2001
Contemporaneous asymmetry in GARCH processes. Zbl 0997.62084
El Babsiri, Mohamed; Zakoian, Jean-Michel
5
2001
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. Zbl 1030.62064
Broze, L.; Francq, C.; Zakoïan, J.-M.
2
2001
Covariance matrix estimation for estimators of mixing weak ARMA models. Zbl 0976.62086
Francq, Christian; Zakoïan, Jean-Michel
10
2000
Estimating weak GARCH representations. Zbl 0967.62065
Francq, Christian; Zakoïan, Jean-Michel
8
2000
Multivariate ARMA models with generalized autoregressive linear innovation. Zbl 0983.62058
Francq, C.; Zakoïan, J. M.
2
2000
Estimating linear representations of nonlinear processes. Zbl 0942.62100
Francq, Christian; Zakoïan, Jean-Michel
36
1998
Threshold heteroskedastic models. Zbl 0875.90197
Zakoïan, Jean-Michel
64
1994
Threshold heteroskedastic models. Zbl 0806.90018
Zakoian, Jean-Michel
50
1994
all top 5

Cited by 664 Authors

35 Francq, Christian
29 Zakoïan, Jean-Michel
22 Lee, Sangyeol
17 Aknouche, Abdelhakim
15 Ling, Shiqing
13 Bibi, Abdelouahab
12 Cavicchioli, Maddalena
11 Raïssi, Hamdi
10 Mainassara, Yacouba Boubacar
8 Lee, Taewook
7 Gourieroux, Christian
7 Hill, Jonathan B.
7 Jiménez-Gamero, María Dolores
7 Li, Dong
6 Duchesne, Pierre
6 Fokianos, Konstantinos
6 Gonçalves, Esmeralda
6 Meintanis, Simos G.
6 Mendes Lopes, Nazaré
6 Wintenberger, Olivier
6 Zhu, Ke
5 Blasques, Francisco
5 Chen, Cathy W. S.
5 Ghezal, Ahmed
5 Kengne, William Charky
5 Li, Guodong
5 Liu, Jichun
5 Saikkonen, Pentti
5 Song, Junmo
4 Bardet, Jean-Marc
4 Doukhan, Paul
4 Escanciano, Juan Carlos
4 Hafner, Christian Matthias
4 Jasiak, Joann
4 Kang, Jiwon
4 Koopman, Siem Jan
4 Kristensen, Dennis
4 Lee, Oesook
4 Leite, Joana
4 Lescheb, Ines
4 Li, Wai Keung
4 McAleer, Michael
4 Meitz, Mika
4 Oh, Haejune
4 Pedersen, Rasmus Søndergaard
4 Preminger, Arie
4 Rahbek, Anders
4 Rombouts, Jeroen V. K.
4 Tadjuidje-Kamgaing, Joseph
3 Anatolyev, Stanislav
3 Arvanitis, Stelios
3 Chen, Min
3 Christou, Vasiliki
3 Cline, Daren B. H.
3 Davis, Richard A.
3 El Ghini, Ahmed
3 Franke, Jürgen
3 Gerlach, Richard H.
3 Hallin, Marc
3 Kim, Moosup
3 Lobato, Ignacio Norberto
3 Lucas, André
3 Márkus, László
3 Medeiros, Marcelo C.
3 Neumann, Michael H.
3 Pan, Jiazhu
3 Patilea, Valentin
3 Stelzer, Robert
3 Triantafyllopoulos, Kostas
3 Wang, Hui
3 Wu, Wuqing
3 Xie, Yingfu
3 Zhang, Rongmao
3 Zheng, Yao
2 Aguilar, Mike
2 Al-Eid, Eid M.
2 Amendola, Alessandra
2 Andrews, Beth
2 Augustyniak, Maciej
2 Baek, Changryong
2 Bauwens, Luc C. A. A.
2 Billio, Monica
2 Bollerslev, Tim
2 Broze, Laurence
2 Chen, Min
2 Chen, Rong
2 Chen, Zhao
2 Cui, Yunwei
2 de Jong, Robert M.
2 Dette, Holger
2 Di, Jianing
2 Elek, Péter
2 Fiorentini, Gabriele
2 Gangopadhyay, Ashis K.
2 Gautier, Antony
2 Ghoudi, Kilani
2 Ghysels, Eric
2 Gorgi, Paolo
2 Gospodinov, Nikolay
2 Grønneberg, Steffen
...and 564 more Authors
all top 5

Cited in 84 Serials

85 Journal of Econometrics
47 Journal of Time Series Analysis
37 Econometric Theory
28 Statistics & Probability Letters
26 Computational Statistics and Data Analysis
19 Economics Letters
18 Journal of Statistical Computation and Simulation
15 Journal of Multivariate Analysis
15 Journal of Statistical Planning and Inference
14 Electronic Journal of Statistics
12 Communications in Statistics. Theory and Methods
10 Test
9 Scandinavian Journal of Statistics
8 The Annals of Statistics
8 Journal of Economic Dynamics & Control
8 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 Econometric Reviews
6 Statistics
6 Bernoulli
6 Statistical Inference for Stochastic Processes
6 Journal of the Korean Statistical Society
5 Annals of the Institute of Statistical Mathematics
5 Communications in Statistics. Simulation and Computation
5 Statistical Papers
5 Quantitative Finance
5 Journal of Time Series Econometrics
4 The Canadian Journal of Statistics
4 Computational Statistics
4 Stochastic Processes and their Applications
4 The Econometrics Journal
4 Asia-Pacific Financial Markets
4 Statistical Methods and Applications
3 Journal of the American Statistical Association
3 Mathematics and Computers in Simulation
3 Stochastic Analysis and Applications
3 Acta Mathematicae Applicatae Sinica. English Series
3 Mathematical Methods of Statistics
3 Journal of the Royal Statistical Society. Series B. Statistical Methodology
3 Methodology and Computing in Applied Probability
3 Computational Management Science
3 Science China. Mathematics
2 Advances in Applied Probability
2 Journal of Applied Probability
2 Annals of Operations Research
2 The Annals of Applied Probability
2 Journal of Applied Statistics
2 Statistical Modelling
2 Review of Derivatives Research
2 Stochastics
2 Journal of Econometric Methods
1 Computers & Mathematics with Applications
1 Metrika
1 Chaos, Solitons and Fractals
1 Econometrica
1 Information Sciences
1 Journal of Computational and Applied Mathematics
1 Kybernetika
1 Monatshefte für Mathematik
1 European Journal of Operational Research
1 Computational Economics
1 Open Economies Review
1 Random Operators and Stochastic Equations
1 Journal of Nonparametric Statistics
1 Mathematical Problems in Engineering
1 Finance and Stochastics
1 Nonlinear Dynamics
1 Discrete Dynamics in Nature and Society
1 Extremes
1 CEJOR. Central European Journal of Operations Research
1 Scandinavian Actuarial Journal
1 Journal of Systems Science and Complexity
1 Statistical Methodology
1 AStA. Advances in Statistical Analysis
1 Afrika Statistika
1 Journal of Probability and Statistics
1 Sankhyā. Series B
1 Statistics and Computing
1 Annals of Finance
1 Statistics & Risk Modeling
1 Bayesian Analysis
1 Dependence Modeling
1 Modern Stochastics. Theory and Applications
1 Open Mathematics
1 Cogent Mathematics

Citations by Year