Jean-Michel Zakoian

Finance · 2000–2017

A researcher in the Science corpus: 21 papers; trusts 65 researchers and is trusted by 52 researchers here, as inferred from the citation graph.

Subfields

• Finance — 200 citations into it; #748 of 10,518 by trust here, #893 by citations
• Economics and Econometrics — 138 citations into it; #1,261 of 23,481 by trust here, #1,760 by citations
• Statistics and Probability — 105 citations into it; #3,874 of 12,932 by trust here, #3,801 by citations
• Management Science and Operations Research — 19 citations into it; #5,167 of 11,946 by trust here, #6,563 by citations
• Economics & Operations Research — 16 citations into it
• Artificial Intelligence — 14 citations into it
• Mathematical Physics — 14 citations into it
• Geometry and Topology — 6 citations into it

Whom Jean-Michel Zakoian trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Tim Bollerslev
3. S. Ling
4. István Berkes
5. Christian Francq
6. Michael Mcaleer
7. Daniel B. Nelson
8. Peter J. Brockwell
9. Y. Tse
10. Richard A. Davis

Who trusts Jean-Michel Zakoian overall

1. Christian Francq
2. Olivier Wintenberger
3. A. Ahmad
4. Christian M. Hafner
5. S. Ling
6. Jean‐Marc Bardet
7. K. Zhu
8. Abdelhakim Aknouche
9. Fangfang Wang
10. Jiwon Kang

Papers from Jean-Michel Zakoian's perspective

Ordered by how strongly the researchers Jean-Michel Zakoian trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Asymptotic theory for multivariate GARCH processes
4. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
5. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
6. Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
7. Dynamic Conditional Correlation
8. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
9. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
10. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (Econometric Theory)

Their papers

• Contemporaneous asymmetry in GARCH processes (2001) — 67 citations
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004) — 591 citations
• GARCH Models (2010) — 823 citations
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (2007) — 78 citations
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (2011) — 47 citations
• Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005) — 181 citations
• Merits and Drawbacks of Variance Targeting in GARCH Models (2011) — 98 citations
• Stationarity of Multivariate Markov-Switching ARMA Models (2001) — 245 citations
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (2011) — 63 citations
• GARCH models without positivity constraints: Exponential or log GARCH? (2012) — 76 citations
• Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (2009) — 54 citations
• Conditional Heteroskedasticity Driven by Hidden Markov Chains (2001) — 107 citations
• ESTIMATING WEAK GARCH REPRESENTATIONS (2000) — 51 citations
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011) — 71 citations
• Local explosion modelling by non‐causal process (2017) — 91 citations
• MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2017) — 46 citations
• Estimating multivariate volatility models equation by equation (2016) — 52 citations
• Optimal predictions of powers of conditionally heteroscedastic processes (2013) — 48 citations
• Risk-parameter estimation in volatility models (2012) — 60 citations
• Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models (2012) — 75 citations