Jean-Michel Zakoian : Citation Profile


Are you Jean-Michel Zakoian?

Centre de Recherche en Économie et Statistique (CREST)

20

H index

32

i10 index

1974

Citations

RESEARCH PRODUCTION:

51

Articles

71

Papers

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 68
   Journals where Jean-Michel Zakoian has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 51 (2.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pza79
   Updated: 2024-04-18    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Francq, Christian (12)

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 (64)

Zhu, Ke (35)

Laurent, Sébastien (27)

Hafner, Christian (24)

Bauwens, Luc (23)

Caporin, Massimiliano (22)

bouoiyour, jamal (20)

Selmi, Refk (20)

Fiorentini, Gabriele (19)

Hecq, Alain (18)

Rahbek, Anders (18)

Cites to:

Francq, Christian (78)

Engle, Robert (54)

Bollerslev, Tim (49)

Ling, Shiqing (34)

Drost, Feike C. (19)

Bauwens, Luc (19)

Laurent, Sébastien (18)

Sentana, Enrique (16)

Andrews, Donald (14)

Teräsvirta, Timo (14)

Horvath, Lajos (14)

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 American Statistical Association3
Journal of the Royal Statistical Society Series B3
Journal of Business & Economic Statistics2
Stochastic Processes and their Applications2
Journal of Financial Econometrics2

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 Statistics28
Post-Print / HAL2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Jean-Michel Zakoian (2024 and 2023)


YearTitle of citing document
2023The effect of overconfidence behaviour on stock market volatility in Belgium. (2023). Fossou, Ebi Georges ; Emmanuel, Koffi Mouroufie ; Oyibo, Paul Vivien ; Anzian, Kouame Marcel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:131-146.

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2023A 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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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658.

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2023An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting. (2023). Morajda, Janusz ; Kwiatkowski, Lukasz ; Micha, Jakub. In: Papers. RePEc:arx:papers:2310.01063.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2023The impact of ESG news on the volatility of the Portuguese stock market—Does it change during recessions?. (2023). Catalolopes, Margarida ; Zanatto, Cassio ; Carrilhonunes, Ines ; Pina, Joaquim P. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:8:p:5821-5832.

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2023.

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2023.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023On the growth rate of superadditive processes and the stability of functional GARCH models. (2023). Kandji, Baye Matar. In: Working Papers. RePEc:crs:wpaper:2023-07.

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2023Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

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2023GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483.

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2023Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971.

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2023Maximum likelihood estimation for ?-stable double autoregressive models. (2023). Zhang, Rongmao ; Yang, Yaxing ; Tao, Yuxin ; Li, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001653.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2023NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis. (2023). Shi, Baofeng ; Abedin, Mohammad Zoynul ; Alam, Masud ; Abdullah, Mohammad ; Ferdous, Mohammad Ashraful. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001588.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355.

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2023Forecasting electricity prices with expert, linear, and nonlinear models. (2023). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:570-586.

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2023The economic value rationale of fuel hedging: An empirical perspective from the global airline industry. (2023). Geller, G ; Perret, J K ; Samunderu, E. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:106:y:2023:i:c:s0969699722001430.

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2023A distance-based test of independence between two multivariate time series. (2023). Chu, BA. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001427.

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2023Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables. (2023). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000106.

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023Price bubbles in the European natural gas market between 2011 and 2020. (2023). Kocaaslan, Ozge Kandemir ; Akcora, Begum. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006298.

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2023Impact of geopolitical risk on the volatility of natural resource commodity futures prices in China. (2023). Hu, Jiaying ; Zhao, Chunguang ; Zheng, Deyuan. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723002799.

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2023Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2023Risk spillovers in global financial markets: Evidence from the COVID-19 crisis. (2023). Zhao, Yang ; Shao, Zhiquan ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:821-840.

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2023RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS. (2023). Kamdem, Jules Sadefo. In: Working Papers. RePEc:hal:wpaper:hal-04134833.

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2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

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2023CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5.

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2023A New Neural Network Approach for Predicting the Volatility of Stock Market. (2023). Kim, Geonwoo ; Koo, Eunho. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10261-7.

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2023Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression. (2023). Karlsson, Hyunjoo Kim ; Li, Yushu. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10266-2.

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2023When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?. (2023). Duc, Toan Luu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-021-10230-6.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH. (2023). Reyes-Zarate, Francisco ; Sosa-Castro, Miriam ; Bucio-Pacheco, Christian. In: EconoQuantum, Revista de Economia y Finanzas. RePEc:qua:journl:v:20:y:2023:i:2:p:69-93.

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2023Testing the equality of the laws of two strictly stationary processes. (2023). Yao, Anne-Francoise ; Reboul, Laurence ; Pommeret, Denys. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09272-w.

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2023Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

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2023Oil price volatility and stock returns: Evidence from three oil?price wars. (2023). Mughal, Mazhar ; Ahmed, Junaid ; Khan, Imtiaz Hussain. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3162-3182.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2023Deep learning on mixed frequency data. (2023). Wang, Zezhou ; Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2099-2120.

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2023Efficient estimation of regression models with user-specified parametric model for heteroskedasticty. (2023). Renault, Eric ; Chaudhuri, Saraswata. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1473.

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2023Contagion between selected European indexes during the Covid-19 pandemic. (2023). Syrek, Robert ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4.

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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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article71
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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article30
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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article2
2009Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers.
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This paper has nother 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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article20
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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article17
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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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 nother 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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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.
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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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