Jean-Michel Zakoian : Citation Profile


Are you Jean-Michel Zakoian?

Centre de Recherche en Économie et Statistique (CREST)

18

H index

29

i10 index

1480

Citations

RESEARCH PRODUCTION:

50

Articles

66

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 54
   Journals where Jean-Michel Zakoian has often published
   Relations with other researchers
   Recent citing documents: 79.    Total self citations: 46 (3.01 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pza79
   Updated: 2021-01-16    RAS profile: 2020-09-06    
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Relations with other researchers


Works with:

Francq, Christian (12)

gourieroux, christian (5)

Monfort, Alain (4)

Fries, Sebastien (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Michel Zakoian.

Is cited by:

Francq, Christian (60)

Zhu, Ke (44)

Hafner, Christian (23)

Laurent, Sébastien (23)

Bauwens, Luc (18)

Fiorentini, Gabriele (18)

bouoiyour, jamal (18)

Selmi, Refk (17)

Ruiz, Esther (16)

McAleer, Michael (15)

Sucarrat, Genaro (15)

Cites to:

Francq, Christian (57)

Engle, Robert (45)

Bollerslev, Tim (41)

Ling, Shiqing (32)

Drost, Feike C. (16)

McAleer, Michael (16)

Laurent, Sébastien (14)

Andrews, Donald (14)

Phillips, Peter (12)

Teräsvirta, Timo (12)

Bauwens, Luc (12)

Main data


Where Jean-Michel Zakoian has published?


Journals with more than one article published# docs
Journal of Econometrics11
Econometric Theory9
Journal of Time Series Analysis5
Journal of the American Statistical Association3
Journal of the Royal Statistical Society Series B3
Journal of Financial Econometrics2
Journal of Business & Economic Statistics2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany26
Working Papers / Center for Research in Economics and Statistics25
Computing in Economics and Finance 2006 / Society for Computational Economics2
Post-Print / HAL2

Recent works citing Jean-Michel Zakoian (2021 and 2020)


YearTitle of citing document
2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077.

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2020Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930.

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2020Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263.

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2020Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

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2020Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling. (2020). Asare-Adu, Anthony ; Atuah, Theophilus Sakyiamah ; Agyapong, Daniel. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:920-935.

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2020The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937.

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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2020On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models. (2020). Li, Dong ; Gong, Huan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:883-891.

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2020Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637.

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2020A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frdric. In: Working Papers. RePEc:crs:wpaper:2020-28.

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2020Robust Tests for White Noise and Cross-Correlation. (2020). Phillips, Peter ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194r.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020Disruptive innovation, innovation adoption and incumbent market value: The case of Airbnb. (2020). Sharma, Abhinav ; Nicolau, Juan L ; Zach, Florian J. In: Annals of Tourism Research. RePEc:eee:anture:v:80:y:2020:i:c:s0160738319301756.

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2020Are cyclical patterns of international housing markets interdependent?. (2020). Chang, Kuang-Liang. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:14-24.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2020A note on Portmanteau tests for conditional heteroscedastistic models. (2020). Jiang, Feiyu ; Ben, Youhong. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257.

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2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

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2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s014098832030102x.

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2020On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115.

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2020The significance of the Baltic Sea Region for natural gas supplies to the V4 countries. (2020). Ruszel, Mariusz. In: Energy Policy. RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520305061.

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2020Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis. (2020). Spodniak, Petr ; Bertsch, Valentin. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220301572.

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2020The hedging effect of green bonds on carbon market risk. (2020). Han, Liyan ; Jin, Jiayu ; Zeng, Hongchao ; Wu, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301538.

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2020Brent crude oil prices volatility during major crises. (2020). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304380.

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2020Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting. (2020). Mora, Juan ; Leon, Angel ; Acereda, Beatriz. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300741.

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2020Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. (2020). Ben Cheikh, Nidhaleddine ; Chevallier, Julien ; ben Zaied, Younes. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930162x.

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2020The more the Merrier? The reaction of euro area stock markets to new members. (2020). Hartwell, Christopher ; Celov, Dmitrij ; Grigaliuniene, Zana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300792.

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2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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2020Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

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2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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2020Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China. (2020). Lv, Xin ; Xin Lv, ; Yu, Chang ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:85-100.

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2020A simple unit root test consistent against any stationary alternative. (2020). Bec, Frédérique ; Guay, Alain. In: THEMA Working Papers. RePEc:ema:worpap:2020-10.

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2020Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model. (2020). Xu, Yukun ; Zhang, Jilin . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4249-:d:361542.

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2020Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price. (2020). Long, Xingle ; Shahzad, Fakhar ; Du, Jianguo ; Su, Ruixin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6662-:d:400388.

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2020Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499.

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2020An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Working Papers. RePEc:hal:wpaper:hal-02733439.

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2020A simple unit root test consistent against any stationary alternative. (2020). Bec, Frédérique ; Guay, Alain. In: Working Papers. RePEc:hal:wpaper:halshs-03010256.

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2020Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models. (2020). Cavicchioli, Maddalena. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9877-7.

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2020A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization. (2020). Mba, Jules Clement ; Mwambi, Sutene. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00346-4.

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2020Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars. (2020). Mughal, Mazhar ; Ahmed, Junaid ; Khan, Mushtaq Hussain. In: PIDE-Working Papers. RePEc:pid:wpaper:2020:22.

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2020Stationarity and ergodicity of Markov switching positive conditional mean models. (2020). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:102503.

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2020Robust Tests for White Noise and Cross-Correlation. (2020). , Peter ; PEter, ; Giraitis, Liudas ; Dalla, Violetta. In: Working Papers. RePEc:qmw:qmwecw:906.

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2020.

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2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Working Papers. RePEc:sep:wpaper:3_234.

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2020Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches. (2020). Bruzda, Joanna. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:28:y:2020:i:1:d:10.1007_s10100-018-0591-2.

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2020Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid. (2020). Härdle, Wolfgang ; Lessmann, Stefan ; Hardle, Wolfgang Karl ; Lux, Marius. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-019-00934-7.

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2020Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6.

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2020Estimation of weak ARMA models with regime changes. (2020). Rabehasaina, Landy ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09202-3.

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2020A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process. (2020). Cavicchioli, Maddalena. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00472-y.

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2020Bahadur intercept with applications to one-sided testing. (2020). Lu, Zeng-Hua . In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0955-z.

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2020Mean targeting estimator for the integer-valued GARCH(1, 1) model. (2020). Li, QI ; Zhu, Fukang. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0958-9.

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2020Markov switching asymmetric GARCH model: stability and forecasting. (2020). Alemohammad, N ; Alizadeh, S H ; Rezakhah, S. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:3:d:10.1007_s00362-018-0992-2.

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2020Multivariate portmanteau tests for weak multiplicative seasonal VARMA models. (2020). Mainassara, Yacouba Boubacar ; Amir, Abdoulkarim Ilmi. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1055-4.

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2020Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. (2020). Jimenez-Gamero, Dolores M ; Meintanis, Simos G ; Lee, Sangyeol. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:3:d:10.1007_s11749-019-00676-0.

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2020Gold Prices Volatility among Major Events and During the Current COVID-19 Outbreak. (2020). Badkook, Roaa Osama ; Lamouchi, Rim Ammar. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_4.

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2020Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models. (2019). Nientker, Marc ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190012.

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2020Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16.

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2020Value-at-risk — the comparison of state-of-the-art models on various assets. (2020). Ślepaczuk, Robert ; Kielak, Karol. In: Working Papers. RePEc:war:wpaper:2020-28.

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2020New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach. (2003). Suleimann Lemand, Ryan. In: Econometrics. RePEc:wpa:wuwpem:0307003.

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2020Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2003). Suleimann Lemand, Ryan. In: Econometrics. RePEc:wpa:wuwpem:0307004.

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2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020.

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Works by Jean-Michel Zakoian:


YearTitleTypeCited
1994Modéles autoregressifs à seuils multiple In: Annals of Economics and Statistics.
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article0
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios In: Papers.
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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2020) In: Journal of Econometrics.
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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2019) In: MPRA Paper.
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2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
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article55
2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association.
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article21
2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
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2008Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 21
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2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
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article2
2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
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2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
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2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
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2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
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2017Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B.
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2016Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper.
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2001Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
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1998Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers.
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1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 13
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2002Efficient use of higher‐lag autocorrelations for estimating autoregressive processes In: Journal of Time Series Analysis.
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2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 1
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2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
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