Jean-Michel Zakoian : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

22

H index

37

i10 index

2176

Citations

RESEARCH PRODUCTION:

53

Articles

72

Papers

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 70
   Journals where Jean-Michel Zakoian has often published
   Relations with other researchers
   Recent citing documents: 161.    Total self citations: 52 (2.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pza79
   Updated: 2025-12-27    RAS profile: 2024-12-07    
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Relations with other researchers

Works with:

Francq, Christian (11)

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 (72)

Zhu, Ke (35)

Laurent, Sébastien (29)

Bauwens, Luc (25)

Hafner, Christian (24)

Hecq, Alain (24)

Caporin, Massimiliano (22)

Selmi, Refk (20)

bouoiyour, jamal (20)

Fiorentini, Gabriele (19)

Rahbek, Anders (18)

Cites to:

Francq, Christian (82)

Engle, Robert (56)

Bollerslev, Tim (51)

Ling, Shiqing (35)

Drost, Feike C. (22)

Laurent, Sébastien (20)

Bauwens, Luc (19)

Sentana, Enrique (16)

Horvath, Lajos (15)

Andrews, Donald (14)

Teräsvirta, Timo (14)

Main data

Where Jean-Michel Zakoian has published?

Journals with more than one article published# docs
Journal of Econometrics12
Econometric Theory10
Journal of Time Series Analysis5
Journal of the Royal Statistical Society Series B3
Journal of the American Statistical Association3
Journal of Financial Econometrics3
Stochastic Processes and their Applications2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany29
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 (2025 and 2024)

YearTitle of citing document
2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin. In: Papers. RePEc:arx:papers:1908.02545.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2024). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2025GCov-Based Portmanteau Test. (2025). Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2312.05373.

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

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024Wild inference for wild SVARs with application to heteroscedasticity-based IV. (2024). Polbin, Andrey ; Karamysheva, Madina ; Gafarov, Bulat ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2407.03265.

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2024Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. (2024). Behme, Anita. In: Papers. RePEc:arx:papers:2407.05866.

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2024A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality. (2024). Cox, Gregory Fletcher. In: Papers. RePEc:arx:papers:2409.09962.

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Cubadda, Gianluca ; Grassi, Stefano ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2501.03945.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025On a new robust method of inference for general time series models. (2025). Wang, Zihan ; Li, Dong ; Qiao, Xinghao ; Tong, Howell. In: Papers. RePEc:arx:papers:2503.08655.

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2025Simultaneous Inference Bands for Autocorrelations. (2025). Zahn, Tanja ; Pohle, Marc-Oliver ; Hassler, Uwe. In: Papers. RePEc:arx:papers:2503.18560.

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2025Integrated GARCH-GRU in Financial Volatility Forecasting. (2025). Cui, Zhenyu ; Yang, Steve ; Wei, Jingyi. In: Papers. RePEc:arx:papers:2504.09380.

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2025Regularized Generalized Covariance (RGCov) Estimator. (2025). Hecq, Alain ; Neyazi, Aryan Manafi ; Jasiak, Joann ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2504.18678.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Plausible GMM: A Quasi-Bayesian Approach. (2025). Hansen, Christian B ; Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei. In: Papers. RePEc:arx:papers:2507.00555.

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2025Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

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2025Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492.

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2025Plausible GMM: a quasi-bayesian approach. (2025). Chernozhukov, Victor ; Wang, Weining ; Kong, Lingwei ; Hansen, Christian. In: CeMMAP working papers. RePEc:azt:cemmap:14/25.

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2024Portmanteau tests for periodic ARMA models with dependent errors. (2024). Manassara, Boubacar Y ; Amir, Ilmi A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:164-188.

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2024Margin‐closed vector autoregressive time series models. (2024). Zhang, Lin ; Joe, Harry ; Nolde, Natalia. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:269-297.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2024On vector linear double autoregression. (2024). Zhu, Qianqian ; Lin, Yuchang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:376-397.

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2024Non‐crossing quantile double‐autoregression for the analysis of streaming time series data. (2024). Yu, Keming ; Choy, Siu Kai ; Jiang, Rong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:513-532.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Impact of external shocks on international corn price fluctuations. (2024). Ge, Sibo ; Liu, Shuai. In: Agricultural Economics. RePEc:caa:jnlage:v:70:y:2024:i:1:id:318-2023-agricecon.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2025Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso. (2025). Estef, Catalina ; Alfaro, Rodrigo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1041.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2024Asymmetric beta-binomial GARCH models for time series with bounded support. (2024). Zhang, Rui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000286.

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2025Modelling dynamic interdependence in nonstationary variances with an application to carbon markets. (2025). Amado, Cristina ; Campos-Martins, Susana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000284.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Modelling common bubbles in cryptocurrency prices. (2024). Jasiak, Joann ; Hall, Mauri K. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s026499932400138x.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024The functional central limit theorem for Markov-switching GARCH model. (2024). Lee, Oesook ; Kwon, Dream. In: Economics Letters. RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524002118.

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2024Time aggregation of mixed causal–noncausal models. (2024). Telg, Sean. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005032.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Beutner, Eric ; Heinemann, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025A large confirmatory dynamic factor model for stock market returns in different time zones. (2025). Wu, Jianbin ; Tang, Haihan ; Linton, Oliver B. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000259.

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2024Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116.

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2025Inference in mixed causal and noncausal models with generalized Student’s t-distributions. (2025). Hecq, Alain ; Giancaterini, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:1-12.

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2024Evolving efficiency of the BRICS markets. (2024). Kulikova, Maria V ; Yu, Gennady ; Taylor, David R. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024The 2008 short-selling ban’s impact on tail risk. (2024). Bostandzic, Denefa ; Bartl, Jonas ; Irresberger, Felix ; Weiss, Gregor ; Yang, Ruomei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000677.

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2024Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures. (2024). Gabauer, David ; Cocca, Teodoro ; Pomberger, Stefan. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003888.

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2024Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective. (2024). Tiwari, Aviral ; Naeem, Muhammad ; Zhang, Jing ; Ji, Hao. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400389x.

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2024Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets. (2024). Qin, Zhongfeng ; Wu, Ruirui. In: Energy. RePEc:eee:energy:v:292:y:2024:i:c:s0360544224002755.

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2025Climate change and Chinas food security. (2025). Lin, Boqiang ; Wang, You. In: Energy. RePEc:eee:energy:v:318:y:2025:i:c:s0360544225004943.

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2025An asymmetric volatility analysis of the negative oil price during the first COVID-19 wave. (2025). Sssmuth, Bernd ; Birnstengel, Carolin. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000468.

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2025Green bonds & clean energy in sustainable finance: Evidence from DCC-GARCH connectedness. (2025). PORCHER, Thomas ; Michaelides, Panayotis ; Konstantakis, Konstantinos ; Prelorentzos, Arsenios-Georgios N ; Koulmas, Pavlos. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002558.

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2025Financial uncertainties drive extreme risks in China. (2025). Huang, Shupei ; Lucey, Brian M ; Wang, Xinya. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pb:s105752192500434x.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Palwishah, Rana ; Kashif, Muhammad ; Ur, Mobeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference. (2024). Uddin, Gazi ; Hao, Zhu Shi ; Sheng, Lin Wen ; Sen, Ding. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004805.

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2024Vulnerability of a developing stock market to openness: One-way return and volatility transmissions. (2024). Ibrahim, Masud Usman ; Hassan, Aminu ; Bala, Ahmed Jinjiri. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001169.

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2024Can asymmetry, long memory, and current return information improve crude oil volatility prediction? ——Evidence from ASHARV-MIDAS model. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Liu, Junjie. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004501.

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2025Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization. (2025). Gao, Xuerui ; Sun, Zhangshuang ; Wang, Guoqiang ; Tao, Jiyuan ; Bai, Yanqin ; Luo, Kangyang. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500073x.

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2024Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306.

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2024Asymmetric Higher-Moment spillovers between sustainable and traditional investments. (2024). Hamori, Shigeyuki ; He, Xie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001446.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024How do executive excess compensation affect enterprise technological innovation: Evidence from a panel threshold model of chinese biopharmaceutical companies. (2024). Xu, Yong ; Li, Nicolas ; Ji, Junzhe ; Borah, Dhruba. In: Journal of Business Research. RePEc:eee:jbrese:v:179:y:2024:i:c:s0148296324001875.

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2025Diagnostic checking of periodic vector autoregressive time series models with dependent errors. (2025). Manassara, Yacouba Boubacar ; Ursu, Eugen. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000861.

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2024A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets. (2024). Cavicchioli, Maddalena. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000610.

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2024A permutation entropy analysis of Bitcoin volatility. (2024). Verster, Tanja ; Obanya, Praise Otito ; Seitshiro, Modisane ; Olivier, Carel Petrus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:638:y:2024:i:c:s0378437124001171.

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2024Asymmetric spillover effects in energy markets. (2024). Wohar, Mark ; Tiwari, Aviral ; doğan, buhari ; Adekoya, Oluwasegun B ; Aikins, Emmanuel Joel ; Doan, Buhari. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:470-502.

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2024Extreme risk spillovers in RMB exchange rates: The role of categorical economic policy uncertainties. (2024). Wang, Xinya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003423.

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2024Measuring risk transmission between international oil and islamic stock markets: A comparative analysis with the gold markets. (2024). Sharif, Arshian ; Kumar, Satish ; Ghallabi, Fahmi ; Ghorbel, Ahmed. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s105905602400457x.

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2024Co-movements between heterogeneous crude oil and food markets: Does temperature change really matter?. (2024). Cao, Yan ; Li, Xinran ; Cheng, Sheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002398.

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2024Investment modeling between energy futures and responsible investment. (2024). Sawarn, Ujjawal ; Nandan, Tanuj ; Soni, Rajat Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001661.

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2024Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective. (2024). Huang, Zhigang ; Zhang, Weilan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003271.

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2025Estimation of subcritical Galton Watson processes with correlated immigration. (2025). Manassara, Yacouba Boubacar ; Rabehasaina, Landy. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:184:y:2025:i:c:s0304414925000559.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571.

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2025Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies. (2025). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:13-:d:1619092.

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2024Heterogeneous Responses of Energy and Non-Energy Assets to Crises in Commodity Markets. (2024). VORTELINOS, DIMITRIOS ; Viskadouros, Georgios ; Garefalakis, Alexandros ; Menegaki, Angeliki ; Passas, Ioannis. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:21:p:5438-:d:1511233.

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2025Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach. (2025). Zhao, Mingtao ; Xu, Xiaorui ; Zhang, Kongsheng. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1934-:d:1676023.

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2025Nonparametric Estimation of Dynamic Value-at-Risk: Multifunctional GARCH Model Case. (2025). Almanjahie, Ibrahim M ; Laksaci, Ali ; Elmezouar, Zouaoui Chikr ; Alshahrani, Fatimah. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1961-:d:1678875.

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2025LLM-Guided Ensemble Learning for Contextual Bandits with Copula and Gaussian Process Models. (2025). Kim, Jong-Min. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:15:p:2523-:d:1718423.

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2025On Regime Switching Models. (2025). Tan, Zhenni ; Wu, Yuehua. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1128-:d:1623629.

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2025Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market. (2025). Guse, Daniel Dumitru ; Saiu, Gabriel Robert ; Girlovan, Aura ; Tudor, Cristiana. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1134-:d:1624073.

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2024Quantifying the Impact of Risk on Market Volatility and Price: Evidence from the Wholesale Electricity Market in Portugal. (2024). Fuinhas, José Alberto ; Entezari, Negin. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:7:p:2691-:d:1363486.

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2025Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2025). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0446.

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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.
[Full Text][Citation analysis]		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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This paper has nother version. Agregated cites: 5		paper
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article77
2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article33
2008Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 33		paper
2008Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2010Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article2
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.
[Full Text][Citation analysis]		article22
2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article26
2017Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article15
2016Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 15		paper
2001Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article41
1998Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers.
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This paper has nother version. Agregated cites: 41		paper
1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2002Efficient use of higher‐lag autocorrelations for estimating autoregressive processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2002Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article21
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.
[Full Text][Citation analysis]		article2
2015On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2014On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4		paper
2006Linear‐representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article12
1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper54
1995Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 54		paper
1995Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 54		article
1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper30
1998Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 30		paper
1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
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This paper has nother version. Agregated cites: 30		article
1996Contemporaneous Asymmetry in Weak GARCH Processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2000Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper10
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2001Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2000Stationarity of Multivariate Markov-Switching ARMA Models In: Working Papers.
[Full Text][Citation analysis]		paper98
2001Stationarity of multivariate Markov-switching ARMA models.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 98		article
2000Estimating Stochastic Volatility Models : A New Approach Based on ARMA Representations In: Working Papers.
[Full Text][Citation analysis]		paper3
2008A Tour in the Asymptotic Theory of GARCH Estimation In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Barlett’s Formula for Non Linear Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
2008Can One Really Estimate Nonstationary GARCH Models ? In: Working Papers.
[Full Text][Citation analysis]		paper1
2008Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero In: Working Papers.
[Full Text][Citation analysis]		paper2
2009Sup-Tests for Linearity in a General Nonlinear AR(1) Model In: Working Papers.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		paper64
2011Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 64		article
2009Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper.
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This paper has nother version. Agregated cites: 64		paper
2009Properties of the QMLE and the Weighted LSE for LARCH(q) Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2011Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions In: Working Papers.
[Full Text][Citation analysis]		paper10
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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This paper has nother version. Agregated cites: 10		article
2012Estimation Adjusted VaR In: Working Papers.
[Full Text][Citation analysis]		paper6
2013ESTIMATION-ADJUSTED VAR.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2013Explosive Bubble Modelling by Noncausal Process In: Working Papers.
[Full Text][Citation analysis]		paper10
2013Inference in Non Stationary Asymmetric Garch Models In: Working Papers.
[Full Text][Citation analysis]		paper20
2013Inference in non stationary asymmetric garch models.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 20		paper
2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Multi-level Conditional VaR Estimation in Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
[Full Text][Citation analysis]		paper3
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2019Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2023LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS.(2023) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models.(2021) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0		paper
2022Inference on Multiplicative Component GARCH without any Small-Order Moment In: Working Papers.
[Full Text][Citation analysis]		paper0
2022Estimating dynamic systemic risk measures In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Contemporaneous Asymmetry in GARCH Processes In: Working Papers.
[Full Text][Citation analysis]		paper46
2001Contemporaneous asymmetry in GARCH processes.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		article
1997Covariance Matrix Estimation for Estimators of Mixing Wolds Arma In: Working Papers.
[Full Text][Citation analysis]		paper2
1997Estimating Weak Garch Representations In: Working Papers.
[Full Text][Citation analysis]		paper37
2000ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory.
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This paper has nother version. Agregated cites: 37		article
1999Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Linear-Representations Based Estimation of Switching-Regime GARCH Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2002COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” In: Econometric Theory.
[Full Text][Citation analysis]		article8
2005A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE In: Econometric Theory.
[Full Text][Citation analysis]		article11
2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS In: Econometric Theory.
[Full Text][Citation analysis]		article32
2012QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article37
2019MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES In: Econometric Theory.
[Full Text][Citation analysis]		article44
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.
[Full Text][Citation analysis]		article55
2008Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article36
1994Threshold heteroskedastic models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article789
2008A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
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.
[Full Text][Citation analysis]		article24
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.
[Full Text][Citation analysis]		article7
2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
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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2023Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* In: Journal of Financial Econometrics.
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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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2024Finite moments testing in a general class of nonlinear time series models 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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2014Comment In: Journal of Business & Economic Statistics.
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