Jean-Michel Zakoian : Citation Profile


Are you Jean-Michel Zakoian?

Centre de Recherche en Économie et Statistique (CREST) (95% share)
Université Charles-de-Gaulle (Lille 3) (5% share)

16

H index

24

i10 index

1256

Citations

RESEARCH PRODUCTION:

42

Articles

62

Papers

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 50
   Journals where Jean-Michel Zakoian has often published
   Relations with other researchers
   Recent citing documents: 170.    Total self citations: 37 (2.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pza79
   Updated: 2019-04-13    RAS profile: 2018-08-20    
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Relations with other researchers


Works with:

Francq, Christian (16)

gourieroux, christian (9)

Monfort, Alain (3)

Horvath, Lajos (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 (56)

Zhu, Ke (29)

Laurent, Sébastien (20)

Bauwens, Luc (18)

Fiorentini, Gabriele (17)

Hafner, Christian (16)

Ruiz, Esther (16)

bouoiyour, jamal (15)

McAleer, Michael (14)

Selmi, Refk (14)

Saikkonen, Pentti (13)

Cites to:

Francq, Christian (42)

Engle, Robert (33)

Ling, Shiqing (31)

Bollerslev, Tim (28)

McAleer, Michael (17)

Phillips, Peter (13)

Drost, Feike C. (10)

gourieroux, christian (9)

Escanciano, Juan Carlos (9)

Hamilton, James (9)

Andrews, Donald (8)

Main data


Where Jean-Michel Zakoian has published?


Journals with more than one article published# docs
Journal of Econometrics9
Econometric Theory8
Journal of Time Series Analysis3
Journal of the American Statistical Association3
Journal of the Royal Statistical Society Series B3
Journal of Financial Econometrics2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics25
MPRA Paper / University Library of Munich, Germany24
Post-Print / HAL2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Jean-Michel Zakoian (2018 and 2017)


YearTitle of citing document
2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

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2018Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Ether: Bitcoins competitor or ally?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1707.07977.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2019A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2018A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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2018A 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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2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

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2018A supreme test for periodic explosive GARCH. (2018). Richter, Stefan ; Wu, Wei Biao ; Wang, Weining. In: Papers. RePEc:arx:papers:1812.03475.

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2017The Volatility Structure of Global Financial Markets: A Comparative Analysis. (2017). Maheswaran, S ; Viswanathan, Lakshmi . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:295-306.

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2017Parameter stability and semiparametric inference in time varying auto-regressive conditional heteroscedasticity models. (2017). Truquet, Lionel . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1391-1414.

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2017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017QMLE for Quadratic ARCH Model with Long Memory. (2017). Grublyt, Ieva ; Karnulis, Andrius ; Surgailis, Donatas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:535-551.

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2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

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2017A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1.

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2018Swiss Franc from the Croatian Perspective. (2018). Bonjak, Mile . In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:7:y:2018:i:3:p:41-56.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2017Consistent Pseudo-Maximum Likelihood Estimators. (2017). Monfort, Alain ; gourieroux, christian ; Renault, Eric. In: Working Papers. RePEc:crs:wpaper:2017-10.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2017Macroeconomic Variables, Leverage, Stock Returns and Stock Return Volatility. (2017). Marozva, Godfrey ; Magwedere, Margaret Rutendo. In: Acta Universitatis Danubius. OEconomica. RePEc:dug:actaec:y:2017:i:4:p:264-288.

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2017Modeling volatility of the French stock market. (2017). Mgadmi, Nidhal ; Bougatef, Khemaies . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00154.

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2017The Bias in the Long Run Relation between the Prices of BRENT and West Texas Intermediate Crude Oils. (2017). Salha, Angelic ; Azar, Samih Antoine. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-01-05.

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2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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2018Exchange rate volatility and Indias cross-border trade: A pooled mean group and nonlinear cointegration approach. (2018). Sharma, Chandan ; Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:230-246.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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2017Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model. (2017). Arvanitis, Stelios ; Louka, Alexandros. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:135-137.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017Higher-order properties of approximate estimators. (2017). Salanié, Bernard ; Kristensen, Dennis ; Salanie, Bernard. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:189-208.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2018The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2018A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes. (2018). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:258-278.

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2018Subvector inference when the true parameter vector may be near or at the boundary. (2018). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:285-306.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2017Systemic risk and cross-sectional hedge fund returns. (2017). Hwang, In Chang ; Kim, Tong Suk ; In, Francis ; Xu, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:109-130.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test. (2018). Zhang, Dayong ; Liu, Jia ; Shi, Xunpeng ; Wang, Tiantian . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:495-503.

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2017Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis. (2017). Shahzad, Syed Jawad Hussain ; Umar, Zaghum ; Ballester, Laura ; Ferrer, Roman ; Hussain, Syed Jawad. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:9-26.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

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2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

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2018Co-movement of international copper prices, Chinas economic activity, and stock returns: Structural breaks and volatility dynamics. (2018). Guo, Jin. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:62-77.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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2018Why do some banks contribute more to global systemic risk?. (2018). Bostandzic, Denefa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pa:p:17-40.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

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2019Modeling, simulation and inference for multivariate time series of counts using trawl processes. (2019). , Almut. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:110-129.

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2018Distributional characteristics of interday stock returns and their asymmetric conditional volatility: Firm-level evidence. (2018). Balaban, Ercan ; Girgin, Mehmet Sencer ; Ozgen, Tolga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:280-288.

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2017Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks. (2017). Sun, Lingxia ; Kim, Myeonghyeon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:309-325.

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2018Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?. (2018). Strobel, Marcus ; Auer, Benjamin R. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:168-184.

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2018Economic dynamics during periods of financial stress: Evidences from Brazil. (2018). Stona, Filipe ; Triches, Divanildo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:130-144.

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2017On a vector double autoregressive model. (2017). Zhu, Huafeng ; Li, Yuan ; Liang, Xin ; Zhang, Xingfa . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:86-95.

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2018A power comparison between autocorrelation based tests. (2018). RAÏSSI, HAMDI ; Raissi, Hamdi ; Khardani, Salah ; ben Hajria, Raja. In: Statistics & Probability Letters. RePEc:eee:stapro:v:143:y:2018:i:c:p:1-6.

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2019Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model. (2019). Arvanitis, Stelios. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:166-172.

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2019Ergodicity conditions for a double mixed Poisson autoregression. (2019). Demmouche, Nacer ; Aknouche, Abdelhakim. In: Statistics & Probability Letters. RePEc:eee:stapro:v:147:y:2019:i:c:p:6-11.

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2017Testing for high-dimensional white noise using maximum cross correlations. (2017). Chang, Jinyuan ; Zhou, Wen ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531.

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2018Asymptotic Theory for Rotated Multivariate GARCH Models. (2018). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, L ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111553.

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2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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2018Private Sector Credit and Inflation Volatility. (2018). Katusiime, Lorna. In: Economies. RePEc:gam:jecomi:v:6:y:2018:i:2:p:28-:d:142810.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2018Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Gunay, Samet ; Khaki, Audil Rashid . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:30-:d:151623.

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2018Forecasting of Realised Volatility with the Random Forests Algorithm. (2018). Luong, Chuong ; Dokuchaev, Nikolai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:61-:d:175017.

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2018The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Fink, Holger ; Port, Henry ; Fuest, Andreas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017Ether: Bitcoins competitor or ally?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Working Papers. RePEc:hal:wpaper:hal-01567277.

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2017A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2017Volatility and Causality in Strategic Commodities: Characteristics, Myth and Evidence. (2017). Hamori, Shigeyuki ; Fang, Zheng ; Chang, Youngho. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:8:p:162-178.

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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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article0
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
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article51
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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This paper has another version. Agregated cites: 11
paper
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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paper
2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
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article17
2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 17
paper
2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 17
paper
2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
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article8
2017Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B.
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article2
2016Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
paper
2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
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article10
2009Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 10
paper
2010Structure and estimation of a class of nonstationary yet nonexplosive GARCH models In: Journal of Time Series Analysis.
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article1
2015On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis.
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article1
2014On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2006Linear-representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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article8
1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: CORE Discussion Papers.
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paper53
1995Testing for continuous-time models of the short-term interest rate.(1995) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 53
paper
1995Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance.
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article
1995Quasi Indirect Inference for Diffusion Processes In: CORE Discussion Papers.
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paper29
1998Quasi-indirect inference for diffusion processes.(1998) In: CORE Discussion Papers RP.
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paper
1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
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article
1996Contemporaneous Asymmetry in Weak GARCH Processes In: CORE Discussion Papers.
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paper0
2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: CORE Discussion Papers.
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paper7
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: CORE Discussion Papers RP.
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paper
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters.
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article
2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes In: CORE Discussion Papers RP.
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paper1
2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
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paper67
2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
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article
2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
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paper3
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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paper1
2008Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers.
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paper1
2008Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers.
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paper1
2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
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paper3
2010SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL.(2010) In: Econometric Theory.
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article
2009Merits and Drawbacks of Variance Targeting in GARCH Models In: Working Papers.
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paper38
2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 38
article
2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 38
paper
2009Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers.
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paper0
2011Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers.
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paper7
2012Estimation Adjusted VaR In: Working Papers.
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paper3
2013ESTIMATION-ADJUSTED VAR.(2013) In: Econometric Theory.
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article
2013Explosive Bubble Modelling by Noncausal Process In: Working Papers.
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paper3
2013Inference in Non Stationary Asymmetric Garch Models In: Working Papers.
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paper11
2013Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper.
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paper
2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models In: Working Papers.
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paper0
2014Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers.
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paper0
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
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paper0
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
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paper
1997Contemporaneous Asymmetry in GARCH Processes In: Working Papers.
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paper31
2001Contemporaneous asymmetry in GARCH processes.(2001) In: Journal of Econometrics.
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article
1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
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paper2
1997Estimating Weak Garch Representations In: Working Papers.
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paper35
2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
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article
1998Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Working Papers.
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paper11
1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 11
paper
1999Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers.
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paper1
1999Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers.
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paper4
2002COMMENTS ON THE PAPER BY MINXIAN YANG: In: Econometric Theory.
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article4
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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article6
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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article22
2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
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article16
2012Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models In: Econometrica.
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article18
2008Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis.
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article19
1994Threshold heteroskedastic models In: Journal of Economic Dynamics and Control.
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article458
2008A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics.
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article7
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models In: Journal of Econometrics.
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article7
2010Inconsistency of the MLE and inference based on weighted LS for LARCH models.(2010) In: Post-Print.
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paper
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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article17
2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
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article25
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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article15
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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article2
2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models In: Journal of Econometrics.
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article0
2011A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices In: Energy Economics.
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article8
2010A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices.(2010) In: MPRA Paper.
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paper
2007HAC estimation and strong linearity testing in weak ARMA models In: Journal of Multivariate Analysis.
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article11
2005The L2-structures of standard and switching-regime GARCH models In: Stochastic Processes and their Applications.
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article15
2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero In: Stochastic Processes and their Applications.
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article13
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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paper0
1993Threshold Arch Models and Asymmetries in Volatility. In: Journal of Applied Econometrics.
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article146
2016Variance Targeting Estimation of Multivariate GARCH Models In: Journal of Financial Econometrics.
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article9
2014Variance targeting estimation of multivariate GARCH models.(2014) In: MPRA Paper.
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paper
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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paper0
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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paper0
2009Combining parametric and nonparametric approaches for more efficient time series prediction In: MPRA Paper.
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paper0
2010QML estimation of a class of multivariate GARCH models without moment conditions on the observed process In: MPRA Paper.
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paper4
2010Strict stationarity testing and estimation of explosive ARCH models In: MPRA Paper.
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paper2
2014Estimating multivariate GARCH and stochastic correlation models equation by equation In: MPRA Paper.
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paper1
2006Stationarity and geometric ergodicity of a class of nonlinear ARCH models In: MPRA Paper.
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paper2
2015Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels In: MPRA Paper.
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paper0
2015Joint inference on market and estimation risks in dynamic portfolios In: MPRA Paper.
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paper0
2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
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paper0
2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles In: MPRA Paper.
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paper3
2018Functional GARCH models: the quasi-likelihood approach and its applications In: MPRA Paper.
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paper0
1996Estimation de modèles de la structure par terme des taux dintérêt. In: Revue Économique.
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article0
2006Stochastic unit-root bilinear processes In: Computing in Economics and Finance 2006.
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paper0
2006Inference in GARCH when some coefficients are equal to zero In: Computing in Economics and Finance 2006.
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paper2
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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