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Jean-Michel Zakoian

Global rank #2247 97%

Institution: Centre de Recherche en Économie et Statistique (CREST)

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://crest.fr/user/Jean-Michel-ZAKOIAN

First Publication: 1994

Most Recent: 2023

RePEc ID: pza79 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 1.01 1.01 0.00 3.02
Last 10 Years 0.67 3.52 2.01 0.00 11.73
All Time 0.67 12.23 11.39 0.00 38.88

Publication Statistics

Raw Publications 28
Coauthorship-Adjusted Count 25.08

Publications (28)

Year Article Journal Tier Authors
2023 LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS Econometric Theory B 2
2022 Testing the existence of moments for GARCH processes Journal of Econometrics A 2
2020 Virtual Historical Simulation for estimating the conditional VaR of large portfolios Journal of Econometrics A 2
2019 Functional GARCH models: The quasi-likelihood approach and its applications Journal of Econometrics A 4
2019 MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES Econometric Theory B 2
2019 Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations Econometrica S 3
2018 Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models Journal of Econometrics A 2
2015 Risk-parameter estimation in volatility models Journal of Econometrics A 2
2015 Asymptotic inference in multiple-threshold double autoregressive models Journal of Econometrics A 3
2014 Comment Journal of Business & Economic Statistics A 2
2013 GARCH models without positivity constraints: Exponential or log GARCH? Journal of Econometrics A 3
2013 Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions Journal of Business & Economic Statistics A 2
2013 ESTIMATION-ADJUSTED VAR Econometric Theory B 2
2012 QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS Econometric Theory B 2
2011 Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE Journal of Econometrics A 3
2011 A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices Energy Economics A 2
2010 SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL Econometric Theory B 3
2010 Inconsistency of the MLE and inference based on weighted LS for LARCH models Journal of Econometrics A 2
2008 A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test Journal of Econometrics A 3
2006 MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS Econometric Theory B 2
2005 A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE Econometric Theory B 2
2002 COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” Econometric Theory B 2
2001 Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes Economics Letters C 3
2001 Stationarity of multivariate Markov-switching ARMA models Journal of Econometrics A 2
2001 Contemporaneous asymmetry in GARCH processes Journal of Econometrics A 2
2000 ESTIMATING WEAK GARCH REPRESENTATIONS Econometric Theory B 2
1998 QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES Econometric Theory B 3
1994 Threshold heteroskedastic models Journal of Economic Dynamics and Control B 1