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Jean-Michel Zakoian

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First Name:Jean-Michel
Middle Name:
Last Name:Zakoian
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RePEc Short-ID:pza79
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  1. Gouriéroux, Christian & Zakoian, Jean-Michel, 2016. "Local Explosion Modelling by Noncausal Process," MPRA Paper 71105, University Library of Munich, Germany.
  2. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
  3. Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
  4. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Centre de Recherche en Economie et Statistique.
  5. Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
  6. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014. "Variance targeting estimation of multivariate GARCH models," MPRA Paper 57794, University Library of Munich, Germany.
  7. Gouriéroux, Christian & Zakoian, Jean-Michel, 2014. "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper 54907, University Library of Munich, Germany.
  8. Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Centre de Recherche en Economie et Statistique.
  9. Francq, Christian & Zakoian, Jean-Michel, 2013. "Inference in non stationary asymmetric garch models," MPRA Paper 44901, University Library of Munich, Germany.
  10. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Centre de Recherche en Economie et Statistique.
  11. Francq, Christian & Zakoian, Jean-Michel, 2012. "Risk-parameter estimation in volatility models," MPRA Paper 41713, University Library of Munich, Germany.
  12. Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel, 2012. "Garch models without positivity constraints: exponential or log garch?," MPRA Paper 41373, University Library of Munich, Germany.
  13. Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Centre de Recherche en Economie et Statistique.
  14. Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Centre de Recherche en Economie et Statistique.
  15. Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
  16. Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print hal-00732536, HAL.
  17. Francq, Christian & Zakoian, Jean-Michel, 2010. "Optimal predictions of powers of conditionally heteroskedastic processes," MPRA Paper 22155, University Library of Munich, Germany.
  18. Francq, Christian & Zakoian, Jean-Michel, 2010. "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process," MPRA Paper 20779, University Library of Munich, Germany.
  19. Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
  20. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany.
  21. Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Centre de Recherche en Economie et Statistique.
  22. Francq, Christian & Zakoian, Jean-Michel, 2009. "Bartlett's formula for a general class of non linear processes," MPRA Paper 13224, University Library of Munich, Germany.
  23. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
  24. Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Sup-Tests for Linearity in a General Nonlinear AR(1) Model," Working Papers 2009-16, Centre de Recherche en Economie et Statistique.
  25. Francq, Christian & Zakoian, Jean-Michel, 2009. "Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models," MPRA Paper 15147, University Library of Munich, Germany.
  26. Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Properties of the QMLE and the Weighted LSE for LARCH(q) Models," Working Papers 2009-19, Centre de Recherche en Economie et Statistique.
  27. Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
  28. Christian Francq & Jean-Michel Zakoïan, 2008. "Barlett’s Formula for Non Linear Processes," Working Papers 2008-05, Centre de Recherche en Economie et Statistique.
  29. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Centre de Recherche en Economie et Statistique.
  30. Christian Francq & Jean-Michel Zakoïan, 2008. "Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero," Working Papers 2008-07, Centre de Recherche en Economie et Statistique.
  31. Christian Francq & Jean-Michel Zakoïan, 2008. "Can One Really Estimate Nonstationary GARCH Models ?," Working Papers 2008-06, Centre de Recherche en Economie et Statistique.
  32. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  33. Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
  34. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
  35. Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan, 2006. "Stochastic unit-root bilinear processes," Computing in Economics and Finance 2006 63, Society for Computational Economics.
  36. Christian Francq & Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Centre de Recherche en Economie et Statistique.
  37. BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, 2000. "Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," CORE Discussion Papers 2000033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. Christian Francq & Jean-Michel Zakoïan, 2000. "Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations," Working Papers 2000-47, Centre de Recherche en Economie et Statistique.
  39. Christian Francq & Jean-Michel Zakoïan, 1999. "Linear-Representations Based Estimation of Switching-Regime GARCH Models," Working Papers 99-57, Centre de Recherche en Economie et Statistique.
  40. Laurence Broze & Christian Francq & Jean-Michel Zakoïan, 1999. "Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes," Working Papers 99-56, Centre de Recherche en Economie et Statistique.
  41. Christian Francq & Michel Roussignol & Jean-Michel Zakoïan, 1998. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Working Papers 98-45, Centre de Recherche en Economie et Statistique.
  42. Christian Francq & Jean-Michel Zakoïan, 1997. "Covariance Matrix Estimation for Estimators of Mixing Wold's Arma," Working Papers 97-19, Centre de Recherche en Economie et Statistique.
  43. Christian Francq & Jean-Michel Zakoïan, 1997. "Estimating Weak Garch Representations," Working Papers 97-40, Centre de Recherche en Economie et Statistique.
  44. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  45. EL BABSIRI, Mohamed & ZAKOIAN, Jean-Michel, 1996. "Contemporaneous Asymmetry in Weak GARCH Processes," CORE Discussion Papers 1996004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  46. BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1995. "Quasi Indirect Inference for Diffusion Processes," CORE Discussion Papers 1995005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  47. BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel, 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," CORE Discussion Papers 1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  48. BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, . "Efficient use of higher-lag autocorrelations for estimating autoregressive processes," CORE Discussion Papers RP 1580, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  1. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 353-382.
  2. Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015. "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 415-427.
  3. Christian Gouriéroux & Jean-Michel Zakoïan, 2015. "On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 876-887, November.
  4. Francq, Christian & Zakoïan, Jean-Michel, 2015. "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, vol. 184(1), pages 158-173.
  5. Gourieroux, Christian & Zakoïan, Jean-Michel, 2013. "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, vol. 29(04), pages 735-770, August.
  6. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, 03.
  7. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
  8. Francq, Christian & Zakoïan, Jean-Michel, 2012. "Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models," Econometric Theory, Cambridge University Press, vol. 28(01), pages 179-206, February.
  9. Christian Francq & Jean‐Michel Zakoïan, 2012. "Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models," Econometrica, Econometric Society, vol. 80(2), pages 821-861, 03.
  10. Regnard, Nazim & Zakoïan, Jean-Michel, 2011. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, vol. 33(6), pages 1240-1251.
  11. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.
  12. Christian Francq & Lajos Horváth, 2011. "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(4), pages 619-656.
  13. Francq, Christian & Zakoïan, Jean-Michel, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
  14. Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
  15. Francq, Christian & Horvath, Lajos & Zakoïan, Jean-Michel, 2010. "Sup-Tests For Linearity In A General Nonlinear Ar(1) Model," Econometric Theory, Cambridge University Press, vol. 26(04), pages 965-993, August.
  16. Nazim Regnard & Jean-Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, 09.
  17. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
  18. Christian Francq & Jean-Michel Zakoïan, 2009. "Bartlett's formula for a general class of nonlinear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 449-465, 07.
  19. Francq, Christian & ZakoI¨an, Jean-Michel, 2008. "Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3027-3046, February.
  20. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
  21. Francq, Christian & Zakoian, Jean-Michel, 2007. "Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1265-1284, September.
  22. Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
  23. Francq, Christian & Zako an, Jean-Michel, 2006. "Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process," Econometric Theory, Cambridge University Press, vol. 22(05), pages 815-834, October.
  24. Christian Francq & Jean-Michel Zakoïan, 2006. "Linear-representation Based Estimation of Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(4), pages 785-806.
  25. Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
  26. Francq, Christian & ZakoI¨an, Jean-Michel, 2005. "The L2-structures of standard and switching-regime GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1557-1582, September.
  27. Francq, Christian & Zako an, Jean-Michel, 2005. "A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1165-1171, December.
  28. Francq, Christian & Zako an, Jean-Michel, 2002. "Comments On The Paper By Minxian Yang:," Econometric Theory, Cambridge University Press, vol. 18(03), pages 815-818, June.
  29. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
  30. Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel, 2001. "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 71(3), pages 317-322, June.
  31. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
  32. Francq, Christian & Zako an, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 692-728, October.
  33. Broze, Laurence & Scaillet, Olivier & Zako an, Jean-Michel, 1998. "Quasi-Indirect Inference For Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 14(02), pages 161-186, April.
  34. Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
  35. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
  36. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
  37. Jean-Michel Zakoian, 1994. "Modéles autoregressifs à seuils multiple," Annals of Economics and Statistics, GENES, issue 36, pages 23-56.
  38. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (22) 2006-07-15 2009-02-14 2009-05-16 2009-05-16 2009-08-16 2009-08-30 2010-03-06 2010-04-24 2010-05-08 2010-05-22 2012-05-22 2012-09-30 2012-10-06 2012-10-13 2013-03-16 2013-06-04 2014-03-15 2014-04-05 2014-08-09 2015-10-25 2015-12-01 2016-05-21. Author is listed
  2. NEP-ETS: Econometric Time Series (20) 2006-07-15 2009-02-14 2009-05-16 2009-05-16 2009-08-16 2009-08-30 2010-03-06 2010-04-24 2010-05-08 2010-05-22 2012-05-22 2012-09-30 2012-10-06 2013-03-16 2013-06-04 2014-03-15 2014-04-05 2014-05-24 2014-08-09 2016-05-21. Author is listed
  3. NEP-ORE: Operations Research (9) 2009-02-14 2009-05-16 2009-05-16 2010-04-24 2010-05-22 2012-10-06 2014-03-15 2014-08-09 2015-12-01. Author is listed
  4. NEP-RMG: Risk Management (6) 2009-05-16 2012-05-22 2012-10-06 2012-10-13 2015-10-25 2015-12-01. Author is listed
  5. NEP-FOR: Forecasting (2) 2010-04-24 2012-10-06
  6. NEP-MIC: Microeconomics (2) 2009-08-30 2010-05-08
  7. NEP-BAN: Banking (1) 2012-10-06
  8. NEP-CWA: Central & Western Asia (1) 2013-06-04
  9. NEP-ENE: Energy Economics (1) 2010-05-22
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