Jean-Michel Zakoian : Citation Profile

Are you Jean-Michel Zakoian?

Centre de Recherche en Économie et Statistique (CREST)

20

H index

31

i10 index

1751

Citations

RESEARCH PRODUCTION:

51

Articles

68

Papers

RESEARCH ACTIVITY:

   28 years (1993 - 2021). See details.
   Cites by year: 62
   Journals where Jean-Michel Zakoian has often published
   Relations with other researchers
   Recent citing documents: 222.    Total self citations: 50 (2.78 %)

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   Permalink: http://citec.repec.org/pza79
   Updated: 2022-06-25    RAS profile: 2022-03-01    
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Relations with other researchers

Works with:

Francq, Christian (13)

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 (66)

Zhu, Ke (35)

Laurent, Sébastien (27)

Hafner, Christian (23)

Bauwens, Luc (21)

bouoiyour, jamal (20)

Selmi, Refk (19)

Fiorentini, Gabriele (18)

Rahbek, Anders (18)

Ruiz, Esther (16)

Caporin, Massimiliano (16)

Cites to:

Francq, Christian (73)

Bollerslev, Tim (49)

Engle, Robert (47)

Ling, Shiqing (34)

Drost, Feike C. (21)

McAleer, Michael (21)

Andrews, Donald (14)

Laurent, Sébastien (14)

Teräsvirta, Timo (13)

Bauwens, Luc (13)

Horvath, Lajos (12)

Main data

Where Jean-Michel Zakoian has published?

Journals with more than one article published# docs
Journal of Econometrics12
Econometric Theory9
Journal of Time Series Analysis5
Journal of the Royal Statistical Society Series B3
Journal of the American Statistical Association3
Stochastic Processes and their Applications2
Journal of Financial Econometrics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany28
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 (2022 and 2021)

YearTitle of citing document
2021Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284.

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2021Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089.

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2021Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021). Tetik, Metin. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:35-46.

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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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2021Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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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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2020Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets. (2020). Lillo, Fabrizio ; Guo, Tian ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2005.09356.

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2021An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077.

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2020Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588.

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2021Modelling 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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2021Asymptotic 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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2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

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2021Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532.

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2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

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2021MinP Score Tests with an Inequality Constrained Parameter Space. (2021). Yang, Yuhong ; Rahbek, Anders ; Lu, Zeng-Hua ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2107.06089.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267.

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2022Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321.

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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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2021The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore. (2021). Szulczyk, Kenneth R ; Ziaei, Sayyed Mahdi ; Chuan, Jordan Ngu. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:191-204.

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2021India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models. (2021). Reddy, Y V ; Naik, Maithili S. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:252-262.

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2022Exchange Rate Volatility and Exports: The Nigerian Scenario. (2022). Chukwuka, Ekechi ; Ebenyi, Gabriel O ; Uzoechina, Benedict I ; Saleh, Abubakar Sadiq ; Eze, Millicent Adanne ; Duru, Innocent U. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:v:12:y:2022:i:1:p:11-28:id:4404.

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2021Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect. (2021). Celk, Ali. In: Journal of BRSA Banking and Financial Markets. RePEc:bdd:journl:v:15:y:2021:i:1:p:61-81.

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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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2020On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641.

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2021Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290.

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2020Further Results on Pseudo?Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model. (2020). Iglesias, Emma. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:2:p:357-364.

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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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2021Mixtures of Nonlinear Poisson Autoregressions. (2021). Rynkiewicz, Joseph ; Fokianos, Konstantinos ; Doukhan, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:107-135.

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2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

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2021Jointly determining the state dimension and lag order for Markov?switching vector autoregressive models. (2021). Kwok, Simon Sai Man ; Li, Nan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:471-491.

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2021Integer?valued asymmetric garch modeling. (2021). Andrews, Beth ; Hu, Xiaofei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:737-751.

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2021Asymptotic theory for QMLE for the real?time GARCH(1,1) model. (2021). Wu, Wei Biao ; Smetanina, Ekaterina. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:752-776.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146.

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2020Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2020). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:6:p:1413-1428.

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2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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2021Preliminary test estimation in uniformly locally asymptotically normal models. (2021). Verdebout, Thomas ; Rasoafaraniaina, Josea ; Paindaveine, Davy. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:689-707.

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2021Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2021Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3.

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2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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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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2022Inference on Multiplicative Component GARCH without any Small-Order Moment. (2022). Zakoian, Jean-Michel ; Kandji, Baye Matar ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-09.

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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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2021Modelling and forecasting of growth rate of new COVID-19 cases in top nine affected countries: Considering conditional variance and asymmetric effect. (2021). Ekinci, Aykut. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005816.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

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2021Determinacy and classification of Markov-switching rational expectations models. (2021). Cho, Seonghoon. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000506.

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2022Does hospitality industry stock volatility react asymmetrically to health and economic crises?. (2022). Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s026499932100328x.

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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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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2021Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Dong H ; Jung, Hojin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310.

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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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2021SRISKv2 – A note. (2021). Jiron, Alexander ; Migueis, Marco. In: Economics Letters. RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000744.

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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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2021Missing observations in observation-driven time series models. (2021). Blasques, Francisco ; Koopman, S J ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:542-568.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329.

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2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

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2022LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise. (2022). Ling, Shiqing ; Qingling, Shi ; Zhang, Rongmao. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:228-240.

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2022Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263.

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2022Hybrid quantile estimation for asymmetric power GARCH models. (2022). Li, Wai Keung ; Zhu, KE ; Wang, Guochang. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:264-284.

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2022A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84.

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2021On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods. (2021). Liou, Chu Pheuil ; Duchesne, Pierre . In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:169-187.

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2021Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; van Vlodrop, Andries C ; Blasques, Francisco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57.

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2021Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2022An indirect proof for the asymptotic properties of VARMA model estimators. (2022). Melard, Guy. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:96-111.

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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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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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2021Assessing dynamic China’s energy security: Based on functional data analysis. (2021). Lin, Boqiang ; Wang, You ; Gong, XU. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220324312.

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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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More than 100 citations found, this list is not complete...

Works by Jean-Michel Zakoian:

YearTitleTypeCited
1994Modéles autoregressifs à seuils multiple In: Annals of Economics and Statistics.
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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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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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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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2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
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2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
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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.
[Full Text][Citation analysis]		article10
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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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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2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
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2009Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper.
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2010Structure and estimation of a class of nonstationary yet nonexplosive GARCH models In: Journal of Time Series Analysis.
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2015On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis.
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2014On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper.
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2006Linear?representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper55
1995Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE.
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1995Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance.
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1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
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1998Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE.
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1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
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1996Contemporaneous Asymmetry in Weak GARCH Processes In: LIDAM Discussion Papers CORE.
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2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: LIDAM Discussion Papers CORE.
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2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: LIDAM Reprints CORE.
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2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters.
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2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
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2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
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2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
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2008A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers.
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2008Barlett’s Formula for Non Linear Processes In: Working Papers.
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2008Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers.
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2008Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers.
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2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
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2010SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory.
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2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
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2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
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2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
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2009Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers.
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2011Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers.
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2013Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions.(2013) In: Journal of Business & Economic Statistics.
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2012Estimation Adjusted VaR In: Working Papers.
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2013ESTIMATION-ADJUSTED VAR.(2013) In: Econometric Theory.
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2013Explosive Bubble Modelling by Noncausal Process In: Working Papers.
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2013Inference in Non Stationary Asymmetric Garch Models In: Working Papers.
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2013Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper.
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2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models In: Working Papers.
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2014Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers.
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2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
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2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
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2019Consistent Pseudo?Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
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1997Contemporaneous Asymmetry in GARCH Processes In: Working Papers.
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2001Contemporaneous asymmetry in GARCH processes.(2001) In: Journal of Econometrics.
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1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
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1997Estimating Weak Garch Representations In: Working Papers.
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2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
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1999Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers.
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1999Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers.
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2002COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” In: Econometric Theory.
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2005A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE In: Econometric Theory.
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2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS In: Econometric Theory.
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2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
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2019MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES In: Econometric Theory.
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2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles.(2017) In: MPRA Paper.
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2012Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models In: Econometrica.
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2008Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis.
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1994Threshold heteroskedastic models In: Journal of Economic Dynamics and Control.
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2008A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics.
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2010Inconsistency of the MLE and inference based on weighted LS for LARCH models In: Journal of Econometrics.
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2010Inconsistency of the MLE and inference based on weighted LS for LARCH models.(2010) In: Post-Print.
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2011Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE In: Journal of Econometrics.
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2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
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2012Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper.
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2015Risk-parameter estimation in volatility models In: Journal of Econometrics.
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2012Risk-parameter estimation in volatility models.(2012) In: MPRA Paper.
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2015Asymptotic inference in multiple-threshold double autoregressive models In: Journal of Econometrics.
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2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models In: Journal of Econometrics.
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2019Functional GARCH models: The quasi-likelihood approach and its applications In: Journal of Econometrics.
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2018Functional GARCH models: the quasi-likelihood approach and its applications.(2018) In: MPRA Paper.
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2022Testing the existence of moments for GARCH processes In: Journal of Econometrics.
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2019Testing the existence of moments for GARCH processes.(2019) In: MPRA Paper.
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2011A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices In: Energy Economics.
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2010A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices.(2010) In: MPRA Paper.
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2007HAC estimation and strong linearity testing in weak ARMA models In: Journal of Multivariate Analysis.
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2005The L2-structures of standard and switching-regime GARCH models In: Stochastic Processes and their Applications.
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2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero In: Stochastic Processes and their Applications.
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2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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2020Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models In: Working Papers.
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1993Threshold Arch Models and Asymmetries in Volatility. In: Journal of Applied Econometrics.
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2016Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics.
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2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
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2021Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models In: MPRA Paper.
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2021Testing the existence of moments and estimating the tail index of augmented garch processes In: MPRA Paper.
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2009Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models. In: MPRA Paper.
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2008Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper.
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2009Combining parametric and nonparametric approaches for more efficient time series prediction In: MPRA Paper.
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2010QML estimation of a class of multivariate GARCH models without moment conditions on the observed process In: MPRA Paper.
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2010Strict stationarity testing and estimation of explosive ARCH models In: MPRA Paper.
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2014Estimating multivariate GARCH and stochastic correlation models equation by equation In: MPRA Paper.
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2006Stationarity and geometric ergodicity of a class of nonlinear ARCH models In: MPRA Paper.
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2015Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels In: MPRA Paper.
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2015Joint inference on market and estimation risks in dynamic portfolios In: MPRA Paper.
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2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
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1996Estimation de modèles de la structure par terme des taux dintérêt. In: Revue Économique.
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2006Stochastic unit-root bilinear processes In: Computing in Economics and Finance 2006.
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2006Inference in GARCH when some coefficients are equal to zero In: Computing in Economics and Finance 2006.
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2018Goodness-of-fit tests for Log-GARCH and EGARCH models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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