Jean-Michel Zakoian

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 = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	0.00	2.02	1.01	0.00	3.03	69%
Last 10 Years	2.69	7.06	2.02	0.00	11.77	91%
All Time	2.69	24.56	11.44	0.34	39.02	97%

Publication Statistics

Raw Publications 28

Coauthorship-Adjusted Count 25.06

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