← All authors Jean-Michel Zakoïan Centre de Recherche en Économie et Statistique (per OpenAlex) · ORCID · OpenAlex
76 papers in scope · 76 published · 1 on the econ.EM arXiv · 5,532 citations · h-index 27 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Marc Hallin Matteo Barigozzi Philipp Gersing Christian Francq Matteo Luciani Ovidijus Stauskas Christoph Alexander Rüst Manfred Deistler Y. Li Lyudmila Grigoryeva Claudio Lissona Esther Ruiz Fa Wang Luca Margaritella Daniele Massacci Jianqing Fan Giovanni Ballarin Jushan Bai Alessandro Morico Giovanni Urga Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 76)
Testing for the footprints of stabilization economic policy in forecast errors
published 2025 · PLoS ONE
Finite moments testing in a general class of nonlinear time series models
published 2025 · Bernoulli · 1 citations
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
published 2025 · Journal of Time Series Analysis
Inference on dynamic systemic risk measures
published 2024 · Journal of Econometrics · 5 citations
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT
published 2023 · Econometric Theory · 3 citations
Optimal estimating function for weak location‐scale dynamic models
published 2023 · Journal of Time Series Analysis · 5 citations
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models
published 2022 · Journal of Financial Econometrics · 2 citations
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
published 2022 · Econometric Theory · 4 citations
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
published 2021 · Bernoulli · 4 citations · first circulated 2020
Testing the existence of moments for GARCH processes
published 2020 · Journal of Econometrics · 13 citations · first circulated 2019
published 2019 · Journal of Econometrics · 14 citations
Nonlinear financial econometrics JoE special issue introduction
published 2019 · Journal of Econometrics · 2 citations
Functional GARCH models: The quasi-likelihood approach and its applications
published 2019 · Journal of Econometrics · 46 citations
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES
published 2019 · Econometric Theory · 38 citations · first circulated 2017
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
published 2019 · Econometrica · 6 citations · first circulated 2018
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
published 2018 · Journal of Econometrics · 21 citations
Goodness-of-fit tests for Log-GARCH and EGARCH models
published 2016 · Test · 18 citations
with Christian Francq, Olivier Wintenberger
Local explosion modelling by non‐causal process Series B Statistical methodology
published 2016 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 82 citations
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
published 2016 · Austrian Journal of Statistics · 5 citations · first circulated 2008
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
published 2016 · Annals of Economics and Statistics · 7 citations · first circulated 2015
Intrinsic Liquidity in Conditional Volatility Models
published 2016 · Annals of Economics and Statistics
Estimating Multivariate Volatility Models Equation by Equation
published 2015 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 55 citations
On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
published 2015 · Journal of Time Series Analysis · 17 citations · first circulated 2014
Asymptotic inference in multiple-threshold double autoregressive models
published 2015 · Journal of Econometrics · 26 citations
Variance Targeting Estimation of Multivariate GARCH Models
published 2014 · Journal of Financial Econometrics · 30 citations
Risk-parameter estimation in volatility models
published 2014 · Journal of Econometrics · 2 citations
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Comment
published 2014 · Journal of Business and Economic Statistics · 3 citations
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
published 2013 · Journal of Business and Economic Statistics · 22 citations · first circulated 2011
GARCH models without positivity constraints: Exponential or log GARCH?
published 2013 · Journal of Econometrics · 68 citations · first circulated 2012
ESTIMATION-ADJUSTED VAR
published 2013 · Econometric Theory · 33 citations · first circulated 2012
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
published 2012 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 39 citations · first circulated 2010
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
published 2012 · Econometrica · 79 citations
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
published 2011 · Journal of Econometrics · 44 citations
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
published 2011 · Econometric Theory · 77 citations
Merits and Drawbacks of Variance Targeting in GARCH Models
published 2011 · Journal of Financial Econometrics · 91 citations · first circulated 2009
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
published 2011 · Energy Economics · 23 citations · first circulated 2010
with Nazim Regnard
Combining Nonparametric and Optimal Linear Time Series Predictions
published 2010 · Journal of the American Statistical Association · 4 citations · first circulated 2009
Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
published 2010 · Journal of Time Series Analysis · 6 citations
with Nazim Regnard
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
published 2010 · Journal of Statistical Planning and Inference · 49 citations
with Tawfik Hamadeh
Inconsistency of the MLE and inference based on weighted LS for LARCH models
published 2010 · Journal of Econometrics · 30 citations
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
published 2009 · Econometric Theory · 17 citations · first circulated 2008
Bartlett's formula for a general class of nonlinear processes
published 2009 · Journal of Time Series Analysis · 8 citations
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
published 2009 · Journal of the American Statistical Association · 6 citations
GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation
published 2008 · Economics Papers from University Paris Dauphine
with Nazim Regnard
no link
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
published 2007 · Stochastic Processes and their Applications · 78 citations
Stationarity and geometric ergodicity of a class of nonlinear ARCH models
published 2006 · The Annals of Applied Probability · 9 citations
with Youssef Saïdi
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
published 2006 · Econometric Theory · 135 citations
HAC estimation and strong linearity testing in weak ARMA models
published 2006 · Journal of Multivariate Analysis · 26 citations
Linear‐representation Based Estimation of Stochastic Volatility Models
published 2006 · Scandinavian Journal of Statistics · 20 citations
Stochastic unit-root bilinear processes
published 2006 · Computing in Economics and Finance
no link
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
published 2005 · Econometric Theory · 22 citations
Diagnostic Checking in ARMA Models With Uncorrelated Errors
published 2005 · Journal of the American Statistical Association · 166 citations
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
published 2004 · Bernoulli · 584 citations
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
published 2002 · Econometric Theory · 14 citations
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
published 2002 · Journal of Time Series Analysis
Autocovariance structure of powers of switching-regime ARMA Processes
published 2002 · ESAIM Probability and Statistics · 19 citations
Stationarity of multivariate Markov–switching ARMA models
published 2001 · Journal of Econometrics · 232 citations · first circulated 2000
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
published 2001 · Economics Letters · 10 citations · first circulated 2000
Contemporaneous asymmetry in GARCH processes
published 2001 · Journal of Econometrics · 61 citations · first circulated 1996
with Mohamed El Babsiri, El Babsiri M
Conditional Heteroskedasticity Driven by Hidden Markov Chains
published 2001 · Journal of Time Series Analysis · 10 citations
ESTIMATING WEAK GARCH REPRESENTATIONS
published 2000 · Econometric Theory · 51 citations · first circulated 1997
Stationnarité des modèles ARMA à changement de régime markovien
published 2000 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Modèles ARCH avec changement de régime markovien
published 2000 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Covariance matrix estimation for estimators of mixing weak ARMA models
published 2000 · Journal of Statistical Planning and Inference · 31 citations
Multivariate arma models with generalized autoregressive linear innovation
published 2000 · Stochastic Analysis and Applications · 4 citations
Estimating linear representations of nonlinear processes
published 1998 · Journal of Statistical Planning and Inference · 99 citations
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
published 1998 · Econometric Theory · 46 citations · first circulated 1995
Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles
published 1998 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Estimation de représentations GARCH faibles
published 1998 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics
Estimation de modèles de la structure par terme des taux d'intérêt.
published 1996 · Revue économique · 1 citations
Testing for continuous-time models of the short-term interest rate
published 1995 · Journal of Empirical Finance · 100 citations
Threshold heteroskedastic models
published 1994 · Journal of Economic Dynamics and Control · 2306 citations
Modéles autoregressifs à seuils multiple
published 1994 · Annals of Economics and Statistics
no link
Threshold arch models and asymmetries in volatility
published 1993 · Journal of Applied Econometrics · 503 citations
with R. Rabemananjara
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