Segui
Jean-Michel Zakoian
Jean-Michel Zakoian
CREST and University of Lille
Email verificata su ensae.fr - Home page
Titolo
Citata da
Citata da
Anno
Threshold heteroskedastic models
JM Zakoian
Journal of Economic Dynamics and control 18 (5), 931-955, 1994
41001994
GARCH models: structure, statistical inference and financial applications
C Francq, JM Zakoian
John Wiley & Sons, 2019
14622019
Threshold ARCH models and asymmetries in volatility
R Rabemananjara, JM Zakoian
Journal of applied econometrics 8 (1), 31-49, 1993
7551993
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
C Francq, JM Zakoian
Bernoulli 10 (4), 605-637, 2004
7452004
Stationarity of multivariate Markov–switching ARMA models
C Francq, JM Zakoıan
Journal of Econometrics 102 (2), 339-364, 2001
2942001
Diagnostic checking in ARMA models with uncorrelated errors
C Francq, R Roy, JM Zakoïan
Journal of the American Statistical Association 100 (470), 532-544, 2005
1892005
Testing for continuous-time models of the short-term interest rate
L Broze, O Scaillet, JM Zakoian
Journal of Empirical Finance 2 (3), 199-223, 1995
1511995
Conditional heteroskedasticity driven by hidden Markov chains
C Francq, M Roussignol, JM Zakoian
Journal of Time Series Analysis 22 (2), 197-220, 2001
1352001
Estimating linear representations of nonlinear processes
C Francq, JM Zakoïan
Journal of Statistical Planning and Inference 68 (1), 145-165, 1998
1351998
Merits and drawbacks of variance targeting in GARCH models
C Francq, L Horvath, JM Zakoïan
Journal of Financial Econometrics 9 (4), 619-656, 2011
1332011
Mixing properties of a general class of GARCH (1, 1) models without moment assumptions on the observed process
C Francq, JM Zakoian
Econometric Theory 22 (5), 815-834, 2006
1192006
Strict stationarity testing and estimation of explosive and stationary GARCH models
C Francq, JM Zakoïan
Econometrica 80, 821-861, 2011
107*2011
GARCH models without positivity constraints: Exponential or log GARCH?
C Francq, O Wintenberger, JM Zakoian
Journal of Econometrics 177 (1), 34-46, 2013
1052013
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
C Francq, JM Zakoian
Stochastic Processes and their Applications 117 (9), 1265-1284, 2007
1012007
Local explosion modelling by non-causal process
C Gouriéroux, JM Zakoïan
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2017
992017
QML estimation of a class of multivariate asymmetric GARCH models
C Francq, JM Zakoïan
Econometric Theory 28 (1), 179, 2011
96*2011
The L2-structures of standard and switching-regime GARCH models
C Francq
Stochastic Processes and their Applications 115 (9), 1557-1582, 2005
942005
Contemporaneous asymmetry in GARCH processes
M El Babsiri, JM Zakoian
Journal of Econometrics 101 (2), 257-294, 2001
832001
Quasi-indirect inference for diffusion processes
L Broze, O Scaillet, JM Zakoian
Econometric Theory 14 (2), 161-186, 1998
811998
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
T Hamadeh, JM Zakoïan
Journal of Statistical Planning and Inference 141 (1), 488-507, 2011
802011
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