Jean-Michel Zakoian : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

22

H index

36

i10 index

2109

Citations

RESEARCH PRODUCTION:

53

Articles

72

Papers

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 68
   Journals where Jean-Michel Zakoian has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 52 (2.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pza79
   Updated: 2025-04-12    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 (69)

Zhu, Ke (35)

Laurent, Sébastien (27)

Bauwens, Luc (25)

Hafner, Christian (24)

Caporin, Massimiliano (22)

Selmi, Refk (20)

bouoiyour, jamal (20)

Fiorentini, Gabriele (19)

Hecq, Alain (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

Production by document typearticlepaper19931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402505007501,000Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 22Most cited documents12345678910111213141516171819202122232405001,000Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

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 Financial Econometrics3
Journal of the American Statistical Association3
Journal of the Royal Statistical Society Series B3
Journal of Business & Economic Statistics2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany29
Working Papers / Center for Research in Economics and Statistics28
Computing in Economics and Finance 2006 / Society for Computational Economics2
Post-Print / HAL2

Recent works citing Jean-Michel Zakoian (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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

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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, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641.

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

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Grassi, Stefano ; Giancaterini, Francesco ; Cubadda, Gianluca. 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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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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2024.

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2024.

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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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2024.

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2024.

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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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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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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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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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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 ; Heinemann, Alexander ; Beutner, Eric. 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 ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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

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2024The 2008 short-selling ban’s impact on tail risk. (2024). Bartl, Jonas ; Irresberger, Felix ; Weiss, Gregor ; Yang, Ruomei ; Bostandzic, Denefa. 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). Cocca, Teodoro ; Pomberger, Stefan ; Gabauer, David. 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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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. 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). Sen, Ding ; Uddin, Gazi Salah ; Sheng, Lin Wen ; Hao, Zhu Shi. 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). Bala, Ahmed Jinjiri ; Ibrahim, Masud Usman ; Hassan, Aminu. 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). Hao, Xiaozhen ; Liu, Junjie ; Chen, Zhenlong. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004501.

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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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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. 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). Borah, Dhruba ; Li, Nicolas ; Ji, Junzhe ; Xu, Yong. In: Journal of Business Research. RePEc:eee:jbrese:v:179:y:2024:i:c:s0148296324001875.

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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). Olivier, Carel Petrus ; Seitshiro, Modisane ; Obanya, Praise Otito ; Verster, Tanja. 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). Tiwari, Aviral ; Doan, Buhari ; Aikins, Emmanuel Joel ; Wohar, Mark ; Adekoya, Oluwasegun B. 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). Li, Xinran ; Cheng, Sheng ; Cao, Yan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002398.

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

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2025.

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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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2024Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets. (2024). , Cindy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10563-y.

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2025A Study of Controlling Shareholders’ Equity Pledge Rate Based on Dividend Policy and Barrier Option. (2025). Liu, Qian ; He, Junjie ; Wang, Liang. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10744-9.

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2025Anwendung von Deep Learning in der Prognose der Volatilität des DAX: Ein Vergleich der Prognosegüte von GARCH und LSTM. (2025). Knuth, Nico ; Nastansky, Andreas. In: Statistische Diskussionsbeiträge. RePEc:pot:statdp:59.

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2024Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456.

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2024Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel. (2024). Edouard, Andrianantenaina Michel. In: MPRA Paper. RePEc:pra:mprapa:122863.

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2024Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel. (2024). Edouard, Andrianantenaina Michel. In: MPRA Paper. RePEc:pra:mprapa:123128.

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2024Penalized Convex Estimation in Dynamic Location-Scale models. (2024). Chentoufi, Reda Alami. In: MPRA Paper. RePEc:pra:mprapa:123283.

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2024Are Intraday Returns Autocorrelated?. (2024). Li, Yufei ; Giraitis, Liudas ; Sucarrat, Genaro. In: Working Papers. RePEc:qmw:qmwecw:987.

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2025Can Ethereum predict Bitcoin’s volatility?. (2025). Peresetsky, Anatoly ; Teterin, Maksim. In: Applied Econometrics. RePEc:ris:apltrx:0516.

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2024Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2024). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: CEIS Research Paper. RePEc:rtv:ceisrp:574.

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2024.

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2025Decoding systemic risks across commodities and emerging market stock markets. (2025). Ghorbel, Ahmed ; Ghallabi, Fahmi ; Karim, Sitara. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00732-1.

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2025Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Ngatchou-Wandji, Joseph ; Meintanis, Simos G ; Hudecov, Rka. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y.

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

Works by Jean-Michel Zakoian:

Year  ↓Title  ↓Type  ↓Cited  ↓
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.
[Full Text][Citation analysis]		paper5
2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 5		article
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]		article75
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]		article32
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: 32		paper
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 nother version. Agregated cites: 32		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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This paper has nother version. Agregated cites: 2		paper
2013Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article21
2012Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 21		paper
2010Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 21		paper
2016Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article24
2017Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article14
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.
[Full Text][Citation analysis]		article40
1998Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers.
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1998Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 40		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]		article20
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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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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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.
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