J. Zakoian

发表

Threshold heteroskedastic models

J. Zakoian, 1994 .

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

J. Zakoian, C. Francq, 2004 .

Testing for continuous-time models of the short-term interest rate

J. Zakoian, O. Scaillet, L. Broze, 1995 .

Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations

C. Gouriéroux, A. Monfort, J. Zakoian, 2017 .

Threshold Arch Models and Asymmetries in Volatility

J. Zakoian, R. Rabemananjara, 1993 .

QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES

J. Zakoian, O. Scaillet, L. Broze, 1998, Econometric Theory.

Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

J. Zakoian, Tawfik Hamadeh, 2011 .

Merits and Drawbacks of Variance Targeting in GARCH Models

L. Horváth, J. Zakoian, C. Francq, 2011 .

ESTIMATING WEAK GARCH REPRESENTATIONS

J. Zakoian, C. Francq, 2000, Econometric Theory.

Stationarity of Multivariate Markov-Switching ARMA Models

J. Zakoian, C. Francq, 2001 .

GARCH Models: Structure, Statistical Inference and Financial Applications

J. Zakoian, C. Francq, 2010 .

Conditional Heteroskedasticity Driven by Hidden Markov Chains

Christian Francq, Michel Roussignol, Jean-Michel Zakoian, 2001 .

Estimating multivariate GARCH and stochastic correlation models equation by equation

J. Zakoian, C. Francq, 2014 .

MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES

J. Zakoian, Sébastien Fries, 2017, Econometric Theory.

Contemporaneous asymmetry in GARCH processes

J. Zakoian, M. E. Babsiri, 2001 .

Combining parametric and nonparametric approaches for more efficient time series prediction

J. Zakoian, C. Francq, S. Dabo‐Niang, 2009 .

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

J. Zakoian, C. Francq, 2007 .

A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices

J. Zakoian, N. Régnard, 2011 .

A Tour in the Asymptotic Theory of GARCH Estimation

J. Zakoian, C. Francq, 2009 .

Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels

J. Zakoian, C. Francq, 2015 .

Asymptotic inference in multiple-threshold double autoregressive models

Dong Li, J. Zakoian, S. Ling, 2015 .

Stationarity and geometric ergodicity of a class of nonlinear ARCH models

J. Zakoian, Y. Saidi, 2006, math/0702419.

Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models

J. Zakoian, Dong Li, S. Ling, 2013 .

GARCH Models

J. Zakoian, C. Francq, 2019 .

Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations

J. Zakoian, C. Francq, 2000 .

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

J. Zakoian, C. Francq, 2018, Journal of Econometrics.

Joint inference on market and estimation risks in dynamic portfolios

J. Zakoian, C. Francq, 2015 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

J. Zakoian, C. Francq, G. Lepage, 2011 .

Linear-Representations Based Estimation of Switching-Regime GARCH Models

J. Zakoian, C. Francq, 1999 .

Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial

N. Franck, J. Zakoian, C. Lançon, 2021, European Psychiatry.

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2008, Comput. Stat. Data Anal..

Risk-parameter estimation in volatility models

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2012 .

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations

C. Gouriéroux, A. Monfort, J. Zakoian, 2019, Econometrica.

Recent Results for Linear Time Series Models with Non Independent Innovations

J. Zakoian, C. Francq, 2005 .

QUASI-LIKELIHOOD INFERENCE IN GARCH PROCESSES WHEN SOME COEFFICIENTS ARE EQUAL TO ZERO

J. Zakoian, C. Francq, 2006 .

Estimating linear representations of nonlinear processes

J. Zakoian, C. Francq, 1998 .

Goodness-of-fit tests for extended Log-GARCH models

J. Zakoian, C. Francq, O. Wintenberger, 2016, 1601.05560.

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2011, Econometric Theory.

Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

J. Zakoian, C. Francq, 2012 .

SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL

J. Zakoian, C. Francq, Lajos Horváth, 2009, Econometric Theory.

Testing the existence of moments for GARCH processes

J. Zakoian, C. Francq, 2020 .

Explosive Bubble Modelling by Noncausal Process

Christian Gourieroux, Jean-Michel Zakoian, C. Gouriéroux, 2013 .

Covariance matrix estimation for estimators of mixing weak ARMA models

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2000 .

HAC estimation and strong linearity testing in weak ARMA models

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2007 .

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process

J. Zakoian, C. Francq, 2010 .

Functional GARCH models: The quasi-likelihood approach and its applications

Clément Cerovecki, Siegfried Hörmann, Christian Francq, 2019, Journal of Econometrics.

Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero

J. Zakoian, C. Francq, 2016 .

Multivariate GARCH Processes

J. Zakoian, C. Francq, 2010, GARCH Models.

Virtual Historical Simulation for estimating the conditional VaR of large portfolios

Christian Francq, Jean-Michel Zakoian, J. Zakoian, 2019, Journal of Econometrics.

Variance targeting estimation of multivariate GARCH models

Christian Francq, Lajos Horváth, Jean-Michel Zakoian, 2014 .

A class of DCC asymmetric GARCH models driven by exogenous variables

J. Zakoian, 2010 .

Série des Documents de Travail n ° 2012-16 Estimation Adjusted VaR C . GOURIEROUX

J. Zakoian, 2012 .

Autocovariance structure of powers of switching-regime ARMA Processes

J. Zakoian, C. Francq, 2002 .

Combining parametric and nonparametric approaches for more efficient time series prediction

J. Zakoian, C. Francq, S. Dabo‐Niang, 2009 .

n° 2009-18 Combining Nonparametric and Optimal Linear Time Series Predictions

J. Zakoian, C. Francq, S. DABO-NIANG, 2009 .

INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT

J. Zakoian, C. Francq, Baye Matar Kandji, 2023, Econometric Theory.