Jean-Michel ZAKOIAN


Jean-Michel ZAKOIAN
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2022

  • Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models

    Econometric theory, , 2022.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2022,
    author={Francq, C. and Zakoian, J.-M.},
    title={LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-series MODELS},
    journal={Econometric Theory},
    year={2022},
    doi={10.1017/S0266466622000093},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85127819635&doi=10.1017%2fS0266466622000093&partnerID=40&md5=4ed8e2d0a10edc09b6ca7ebba27e5c2d},
    publisher={Cambridge University Press},
    }
  • Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models

    Bernoulli, vol. 28, pp. 548-578, 2022.
    By C. Francq and J-M. Zakoian

    [Bibtex]

    @article{francq2022adaptiveness,
    author={Francq, C. and Zakoian, J-M.},
    title={Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models},
    journal={Bernoulli},
    volume={28},
    pages={548-578},
    year={2022},
    url={https://projecteuclid.org/journals/bernoulli/volume-28/issue-1/Adaptiveness-of-the-empirical-distribution-of-residuals-in-semi-parametric/10.3150/21-BEJ1357.short},
    }
  • Testing the existence of moments for garch processes

    Journal of econometrics, vol. 227, iss. 1, pp. 47-64, 2022.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq202247,
    author={Francq, C. and Zakoian, J.-M.},
    title={Testing the existence of moments for GARCH processes},
    journal={Journal of Econometrics},
    year={2022},
    volume={227},
    number={1},
    pages={47-64},
    doi={10.1016/j.jeconom.2020.05.009},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089738496&doi=10.1016%2fj.jeconom.2020.05.009&partnerID=40&md5=5923fdca7d6399821b600257fbaabdd6},
    publisher={Elsevier Ltd},
    }

2021

  • Cognitive remediation and professional insertion of people with schizophrenia: remedrehab, a randomized controlled trial

    European psychiatry : the journal of the association of european psychiatrists, vol. 64, iss. 1, p. e31, 2021.
    By S. Cervello, J. Dubreucq, M. Trichanh, A. Dubrulle, I. Amado, M. C. Bralet, M. Chirio-Espitalier, S. Delille, E. Fakra, C. Francq, N. Guillard-Bouhet, J. Graux, C. Lançon, J. M. Zakoian, E. Gauthier, C. Demily, and N. Franck

    [DOI] [Bibtex]

    @article{Cervello2021e31,
    author={Cervello, S. and Dubreucq, J. and Trichanh, M. and Dubrulle, A. and Amado, I. and Bralet, M.C. and Chirio-Espitalier, M. and Delille, S. and Fakra, E. and Francq, C. and Guillard-Bouhet, N. and Graux, J. and Lançon, C. and Zakoian, J.M. and Gauthier, E. and Demily, C. and Franck, N.},
    title={Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial},
    journal={European psychiatry : the journal of the Association of European Psychiatrists},
    year={2021},
    volume={64},
    number={1},
    pages={e31},
    doi={10.1192/j.eurpsy.2021.25},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106069122&doi=10.1192%2fj.eurpsy.2021.25&partnerID=40&md5=7b6fbda88ec6634903cf2f750c47474e},
    publisher={NLM (Medline)},
    }
  • Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models

    Bernoulli, vol. 28, iss. 1, pp. 548-578, 2021.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2021548,
    author={Francq, C. and Zakoian, J.-M.},
    title={Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models},
    journal={Bernoulli},
    year={2021},
    volume={28},
    number={1},
    pages={548-578},
    doi={10.3150/21-BEJ1357},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85120427422&doi=10.3150%2f21-BEJ1357&partnerID=40&md5=a543174475828e4b6c49cf4257be3c87},
    publisher={International Statistical Institute},
    }

2020

  • Virtual historical simulation for estimating the conditional var of large portfolios

    Journal of econometrics, vol. 217, iss. 2, pp. 356-380, 2020.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2020356,
    author={Francq, C. and Zakoian, J.-M.},
    title={Virtual Historical Simulation for estimating the conditional VaR of large portfolios},
    journal={Journal of Econometrics},
    year={2020},
    volume={217},
    number={2},
    pages={356-380},
    doi={10.1016/j.jeconom.2019.12.008},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076861554&doi=10.1016%2fj.jeconom.2019.12.008&partnerID=40&md5=b98abefb643f2a72ec3bf83559542bfc},
    publisher={Elsevier Ltd},
    }

2019

  • Mixed causal-noncausal ar processes and the modelling of explosive bubbles

    Econometric theory, vol. 35, iss. 6, pp. 1234-1270, 2019.
    By S. Fries and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Fries20191234,
    author={Fries, S. and Zakoian, J.-M.},
    title={MIXED CAUSAL-NONCAUSAL AR PROCESSES and the MODELLING of EXPLOSIVE BUBBLES},
    journal={Econometric Theory},
    year={2019},
    volume={35},
    number={6},
    pages={1234-1270},
    doi={10.1017/S0266466618000452},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079505607&doi=10.1017%2fS0266466618000452&partnerID=40&md5=44923d48e5b18208c481320bcbe978e0},
    publisher={Cambridge University Press},
    }
  • Functional garch models: the quasi-likelihood approach and its applications

    Journal of econometrics, vol. 209, iss. 2, pp. 353-375, 2019.
    By C. Cerovecki, C. Francq, S. Hörmann, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Cerovecki2019353,
    author={Cerovecki, C. and Francq, C. and Hörmann, S. and Zakoian, J.-M.},
    title={Functional GARCH models: The quasi-likelihood approach and its applications},
    journal={Journal of Econometrics},
    year={2019},
    volume={209},
    number={2},
    pages={353-375},
    doi={10.1016/j.jeconom.2019.01.006},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061362787&doi=10.1016%2fj.jeconom.2019.01.006&partnerID=40&md5=45fafc096d5eb14a95eba9052ec5824f},
    publisher={Elsevier Ltd},
    }
  • Consistent pseudo-maximum likelihood estimators and groups of transformations

    Econometrica, vol. 87, iss. 1, pp. 327-345, 2019.
    By C. Gouriéroux, A. Monfort, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Gouriéroux2019327,
    author={Gouriéroux, C. and Monfort, A. and Zakoian, J.-M.},
    title={Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations},
    journal={Econometrica},
    year={2019},
    volume={87},
    number={1},
    pages={327-345},
    doi={10.3982/ECTA14727},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060941030&doi=10.3982%2fECTA14727&partnerID=40&md5=84db0982ba3299f9e96a04cdb695d80d},
    publisher={Blackwell Publishing Ltd},
    }

2018

  • Estimation risk for the var of portfolios driven by semi-parametric multivariate models

    Journal of econometrics, vol. 205, iss. 2, pp. 381-401, 2018.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2018381,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models},
    journal={Journal of Econometrics},
    year={2018},
    volume={205},
    number={2},
    pages={381-401},
    doi={10.1016/j.jeconom.2018.03.018},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046132506&doi=10.1016%2fj.jeconom.2018.03.018&partnerID=40&md5=c8c256d2e8ec683db241cd47538e6d0b},
    publisher={Elsevier Ltd},
    }

2017

  • Local explosion modelling by non-causal process

    Journal of the royal statistical society. series b: statistical methodology, vol. 79, iss. 3, pp. 737-756, 2017.
    By C. Gouriéroux and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Gouriéroux2017737,
    author={Gouriéroux, C. and Zakoian, J.-M.},
    title={Local explosion modelling by non-causal process},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2017},
    volume={79},
    number={3},
    pages={737-756},
    doi={10.1111/rssb.12193},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85018858670&doi=10.1111%2frssb.12193&partnerID=40&md5=3cc5d31fe3eb89fe8e882b8ad52b01bd},
    publisher={Blackwell Publishing Ltd},
    }

2016

  • Estimating multivariate volatility models equation by equation

    Journal of the royal statistical society. series b: statistical methodology, vol. 78, iss. 3, pp. 613-635, 2016.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2016613,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating multivariate volatility models equation by equation},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2016},
    volume={78},
    number={3},
    pages={613-635},
    doi={10.1111/rssb.12126},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948170163&doi=10.1111%2frssb.12126&partnerID=40&md5=b2089e4aeb12332e319116a1c57d930a},
    publisher={Blackwell Publishing Ltd},
    }

2015

  • Asymptotic inference in multiple-threshold double autoregressive models

    Journal of econometrics, vol. 189, iss. 2, pp. 415-427, 2015.
    By D. Li, S. Ling, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Li2015415,
    author={Li, D. and Ling, S. and Zakoian, J.-M.},
    title={Asymptotic inference in multiple-threshold double autoregressive models},
    journal={Journal of Econometrics},
    year={2015},
    volume={189},
    number={2},
    pages={415-427},
    doi={10.1016/j.jeconom.2015.03.033},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945475841&doi=10.1016%2fj.jeconom.2015.03.033&partnerID=40&md5=2400668b81e4ef3b90a107220e404a2b},
    publisher={Elsevier Ltd},
    }
  • On uniqueness of moving average representations of heavy-tailed stationary processes

    Journal of time series analysis, vol. 36, iss. 6, pp. 876-887, 2015.
    By C. Gouriéroux and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Gouriéroux2015876,
    author={Gouriéroux, C. and Zakoian, J.-M.},
    title={On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes},
    journal={Journal of Time Series Analysis},
    year={2015},
    volume={36},
    number={6},
    pages={876-887},
    doi={10.1111/jtsa.12139},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944441178&doi=10.1111%2fjtsa.12139&partnerID=40&md5=d5c80f7c680632e11ae78788baa54d7c},
    }
  • Risk-parameter estimation in volatility models

    Journal of econometrics, vol. 184, iss. 1, pp. 158-173, 2015.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2015158,
    author={Francq, C. and Zakoian, J.-M.},
    title={Risk-parameter estimation in volatility models},
    journal={Journal of Econometrics},
    year={2015},
    volume={184},
    number={1},
    pages={158-173},
    doi={10.1016/j.jeconom.2014.06.019},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84913590668&doi=10.1016%2fj.jeconom.2014.06.019&partnerID=40&md5=ae9a1aef10b2c73b059c7b7abaf688f7},
    publisher={Elsevier Ltd},
    }

2014

  • Comment

    Journal of business and economic statistics, vol. 32, iss. 2, pp. 198-201, 2014.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2014198,
    author={Francq, C. and Zakoian, J.-M.},
    title={Comment},
    journal={Journal of Business and Economic Statistics},
    year={2014},
    volume={32},
    number={2},
    pages={198-201},
    doi={10.1080/07350015.2013.879829},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925940270&doi=10.1080%2f07350015.2013.879829&partnerID=40&md5=350b7b3de2fa85a007343e91ab9d1a0e},
    publisher={American Statistical Association},
    }
  • Cfenetwork: the annals of computational and financial econometrics: 2nd issue

    Computational statistics and data analysis, vol. 76, pp. 1-3, 2014.
    By E. J. Kontoghiorghes, H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. -M. Dufour, R. Engle, A. Harvey, S. J. Koopman, H. Pesaran, P. C. B. Phillips, R. J. Smith, M. West, Q. Yao, A. Amendola, M. Billio, C. W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, E. Jacquier, K. Judd, G. Koop, H. Lütkepohl, J. G. MacKinnon, S. Mittnik, Y. Omori, D. S. G. Pollock, T. Proietti, J. V. K. Rombouts, O. Scaillet, W. Semmler, M. K. P. So, M. Steel, R. Taylor, E. Tzavalis, J. -M. Zakoian, H. Peter Boswijk, A. Luati, and J. Maheu

    [DOI] [Bibtex]

    @article{Kontoghiorghes20141,
    author={Kontoghiorghes, E.J. and Van Dijk, H.K. and Belsley, D.A. and Bollerslev, T. and Diebold, F.X. and Dufour, J.-M. and Engle, R. and Harvey, A. and Koopman, S.J. and Pesaran, H. and Phillips, P.C.B. and Smith, R.J. and West, M. and Yao, Q. and Amendola, A. and Billio, M. and Chen, C.W.S. and Chiarella, C. and Colubi, A. and Deistler, M. and Francq, C. and Hallin, M. and Jacquier, E. and Judd, K. and Koop, G. and Lütkepohl, H. and MacKinnon, J.G. and Mittnik, S. and Omori, Y. and Pollock, D.S.G. and Proietti, T. and Rombouts, J.V.K. and Scaillet, O. and Semmler, W. and So, M.K.P. and Steel, M. and Taylor, R. and Tzavalis, E. and Zakoian, J.-M. and Peter Boswijk, H. and Luati, A. and Maheu, J.},
    title={CFEnetwork: The Annals of computational and financial econometrics: 2nd issue},
    journal={Computational Statistics and Data Analysis},
    year={2014},
    volume={76},
    pages={1-3},
    doi={10.1016/j.csda.2014.04.006},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901451542&doi=10.1016%2fj.csda.2014.04.006&partnerID=40&md5=74f8e8ce1c760e8a1f879dfd8dce5089},
    publisher={Elsevier B.V.},
    }

2013

  • Estimation-adjusted var

    Econometric theory, vol. 29, iss. 4, pp. 735-770, 2013.
    By C. Gourieroux and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Gourieroux2013735,
    author={Gourieroux, C. and Zakoian, J.-M.},
    title={Estimation-adjusted var},
    journal={Econometric Theory},
    year={2013},
    volume={29},
    number={4},
    pages={735-770},
    doi={10.1017/S0266466612000680},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880857098&doi=10.1017%2fS0266466612000680&partnerID=40&md5=c5331251732ba03a591180c9bf8b02e6},
    }
  • Optimal predictions of powers of conditionally heteroscedastic processes

    Journal of the royal statistical society. series b: statistical methodology, vol. 75, iss. 2, pp. 345-367, 2013.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2013345,
    author={Francq, C. and Zakoian, J.-M.},
    title={Optimal predictions of powers of conditionally heteroscedastic processes},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2013},
    volume={75},
    number={2},
    pages={345-367},
    doi={10.1111/j.1467-9868.2012.01045.x},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873303984&doi=10.1111%2fj.1467-9868.2012.01045.x&partnerID=40&md5=9bafacbc3f3b1884cb8d4f7f72df6f67},
    }
  • Estimating the marginal law of a time series with applications to heavy-tailed distributions

    Journal of business and economic statistics, vol. 31, iss. 4, pp. 412-425, 2013.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2013412,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating the marginal law of a time series with applications to heavy-tailed distributions},
    journal={Journal of Business and Economic Statistics},
    year={2013},
    volume={31},
    number={4},
    pages={412-425},
    doi={10.1080/07350015.2013.801776},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901624855&doi=10.1080%2f07350015.2013.801776&partnerID=40&md5=83222dfc5db5d733d094bccdcd6fff51},
    publisher={American Statistical Association},
    }
  • Inference in nonstationary asymmetric garch models

    Annals of statistics, vol. 41, iss. 4, pp. 1970-1998, 2013.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq20131970,
    author={Francq, C. and Zakoian, J.-M.},
    title={Inference in nonstationary asymmetric GARCH models},
    journal={Annals of Statistics},
    year={2013},
    volume={41},
    number={4},
    pages={1970-1998},
    doi={10.1214/13-AOS1132},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899888886&doi=10.1214%2f13-AOS1132&partnerID=40&md5=90a782f8e1136c16384c3436040ea950},
    publisher={Institute of Mathematical Statistics},
    }
  • Garch models without positivity constraints: exponential or log garch?

    Journal of econometrics, vol. 177, iss. 1, pp. 34-46, 2013.
    By C. Francq, O. Wintenberger, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq201334,
    author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.},
    title={GARCH models without positivity constraints: Exponential or log GARCH?},
    journal={Journal of Econometrics},
    year={2013},
    volume={177},
    number={1},
    pages={34-46},
    doi={10.1016/j.jeconom.2013.05.004},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883460405&doi=10.1016%2fj.jeconom.2013.05.004&partnerID=40&md5=8b0aa2c212edb9ba90c588ba223c16fd},
    publisher={Elsevier Ltd},
    }

2012

  • Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models

    Econometrica, vol. 80, iss. 2, pp. 821-861, 2012.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2012821,
    author={Francq, C. and Zakoian, J.-M.},
    title={Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models},
    journal={Econometrica},
    year={2012},
    volume={80},
    number={2},
    pages={821-861},
    doi={10.3982/ECTA9405},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858599878&doi=10.3982%2fECTA9405&partnerID=40&md5=bd3c453094b5230e1687f09f947e7ee0},
    }
  • Qml estimation of a class of multivariate asymmetric garch models

    Econometric theory, vol. 28, iss. 1, pp. 179-206, 2012.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2012179,
    author={Francq, C. and Zakoian, J.-M.},
    title={QML estimation of a class of multivariate asymmetric GARCH models},
    journal={Econometric Theory},
    year={2012},
    volume={28},
    number={1},
    pages={179-206},
    doi={10.1017/S0266466611000156},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84857335523&doi=10.1017%2fS0266466611000156&partnerID=40&md5=6cc87e92302bf6597e03e8d56653d47a},
    }

2011

  • Merits and drawbacks of variance targeting in garch models

    Journal of financial econometrics, vol. 9, iss. 4, pp. 619-656, 2011.
    By C. Francq, L. Horváth, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2011619,
    author={Francq, C. and Horváth, L. and Zakoian, J.-M.},
    title={Merits and drawbacks of variance targeting in GARCH models},
    journal={Journal of Financial Econometrics},
    year={2011},
    volume={9},
    number={4},
    pages={619-656},
    doi={10.1093/jjfinec/nbr004},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053192102&doi=10.1093%2fjjfinec%2fnbr004&partnerID=40&md5=3397fbfa50ac0f898dc6754378ff5637},
    }

2010

  • Combining nonparametric and optimal linear time series predictions

    Journal of the american statistical association, vol. 105, iss. 492, pp. 1554-1565, 2010.
    By S. Dabo-Niang, C. Francq, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Dabo-Niang20101554,
    author={Dabo-Niang, S. and Francq, C. and Zakoian, J.-M.},
    title={Combining nonparametric and optimal linear time series predictions},
    journal={Journal of the American Statistical Association},
    year={2010},
    volume={105},
    number={492},
    pages={1554-1565},
    doi={10.1198/jasa.2010.tm09549},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651311765&doi=10.1198%2fjasa.2010.tm09549&partnerID=40&md5=8a270f33c2d3bdfbfd4b6614eed50b3c},
    }
  • Sup-tests for linearity in a general nonlinear ar(1) model

    Econometric theory, vol. 26, iss. 4, pp. 965-993, 2010.
    By C. Francq, L. Horvath, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2010965,
    author={Francq, C. and Horvath, L. and Zakoian, J.-M.},
    title={Sup-tests for linearity in a general nonlinear AR(1) model},
    journal={Econometric Theory},
    year={2010},
    volume={26},
    number={4},
    pages={965-993},
    doi={10.1017/S0266466609990430},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77957283222&doi=10.1017%2fS0266466609990430&partnerID=40&md5=3e60a015551f06d06bc511f58705bc61},
    }
  • Garch models: structure, statistical inference and financial applications

    Garch models: structure, statistical inference and financial applications, , 2010.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @book{Francq2010,
    author={Francq, C. and Zakoian, J.-M.},
    title={GARCH Models: Structure, Statistical Inference and Financial Applications},
    journal={GARCH Models: Structure, Statistical Inference and Financial Applications},
    year={2010},
    page_count={489},
    doi={10.1002/9780470670057},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84891583720&doi=10.1002%2f9780470670057&partnerID=40&md5=1cda1ba18505c20762a76ca00db3d950},
    publisher={John Wiley and Sons},
    }

2009

  • Bartlett's formula for a general class of nonlinear processes

    Journal of time series analysis, vol. 30, iss. 4, pp. 449-465, 2009.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2009449,
    author={Francq, C. and Zakoian, J.-M.},
    title={Bartlett's formula for a general class of nonlinear processes},
    journal={Journal of Time Series Analysis},
    year={2009},
    volume={30},
    number={4},
    pages={449-465},
    doi={10.1111/j.1467-9892.2009.00623.x},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650677380&doi=10.1111%2fj.1467-9892.2009.00623.x&partnerID=40&md5=fa1f1300ddcb866a59c8249014b93cef},
    }
  • Testing the nullity of garch coefficients: correction of the standard tests and relative efficiency comparisons

    Journal of the american statistical association, vol. 104, iss. 485, pp. 313-324, 2009.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2009313,
    author={Francq, C. and Zakoian, J.-M.},
    title={Testing the nullity of GARCH coefficients: Correction of the standard tests and relative efficiency comparisons},
    journal={Journal of the American Statistical Association},
    year={2009},
    volume={104},
    number={485},
    pages={313-324},
    doi={10.1198/jasa.2009.0117},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350335991&doi=10.1198%2fjasa.2009.0117&partnerID=40&md5=f820ade5311fbdf0dd0a5f4ccb58061c},
    }

2008

  • Deriving the autocovariances of powers of markov-switching garch models, with applications to statistical inference

    Computational statistics and data analysis, vol. 52, iss. 6, pp. 3027-3046, 2008.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq20083027,
    author={Francq, C. and Zakoian, J.-M.},
    title={Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference},
    journal={Computational Statistics and Data Analysis},
    year={2008},
    volume={52},
    number={6},
    pages={3027-3046},
    doi={10.1016/j.csda.2007.08.003},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-39049146619&doi=10.1016%2fj.csda.2007.08.003&partnerID=40&md5=65c3c99cecc593cabe3c1aefdc2a492c},
    }
  • A class of stochastic unit-root bilinear processes: mixing properties and unit-root test

    Journal of econometrics, vol. 142, iss. 1, pp. 312-326, 2008.
    By C. Francq, S. Makarova, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2008312,
    author={Francq, C. and Makarova, S. and Zakoian, J.-M.},
    title={A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test},
    journal={Journal of Econometrics},
    year={2008},
    volume={142},
    number={1},
    pages={312-326},
    doi={10.1016/j.jeconom.2007.04.003},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36148967680&doi=10.1016%2fj.jeconom.2007.04.003&partnerID=40&md5=9968e93dcecd26ab9f73462a042f730e},
    }

2007

  • Quasi-maximum likelihood estimation in garch processes when some coefficients are equal to zero

    Stochastic processes and their applications, vol. 117, iss. 9, pp. 1265-1284, 2007.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq20071265,
    author={Francq, C. and Zakoian, J.-M.},
    title={Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero},
    journal={Stochastic Processes and their Applications},
    year={2007},
    volume={117},
    number={9},
    pages={1265-1284},
    doi={10.1016/j.spa.2007.01.001},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34447535241&doi=10.1016%2fj.spa.2007.01.001&partnerID=40&md5=4329adf26fc0c503c5cf0a56c46f5df1},
    }
  • Hac estimation and strong linearity testing in weak arma models

    Journal of multivariate analysis, vol. 98, iss. 1, pp. 114-144, 2007.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2007114,
    author={Francq, C. and Zakoian, J.-M.},
    title={HAC estimation and strong linearity testing in weak ARMA models},
    journal={Journal of Multivariate Analysis},
    year={2007},
    volume={98},
    number={1},
    pages={114-144},
    doi={10.1016/j.jmva.2006.02.003},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750213990&doi=10.1016%2fj.jmva.2006.02.003&partnerID=40&md5=5bf638f8c40af14dac3d443556df5ead},
    }

2006

  • Linear-representation based estimation of stochastic volatility models

    Scandinavian journal of statistics, vol. 33, iss. 4, pp. 785-806, 2006.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2006785,
    author={Francq, C. and Zakoian, J.-M.},
    title={Linear-representation based estimation of stochastic volatility models},
    journal={Scandinavian Journal of Statistics},
    year={2006},
    volume={33},
    number={4},
    pages={785-806},
    doi={10.1111/j.1467-9469.2006.00495.x},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750995253&doi=10.1111%2fj.1467-9469.2006.00495.x&partnerID=40&md5=f5dadd2e55a74b0ddcf4ca95ac8df4ff},
    }
  • Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process

    Econometric theory, vol. 22, iss. 5, pp. 815-834, 2006.
    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Franco2006815,
    author={Franco, C. and Zakoian, J.-M.},
    title={Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process},
    journal={Econometric Theory},
    year={2006},
    volume={22},
    number={5},
    pages={815-834},
    doi={10.1017/S0266466606060373},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749368377&doi=10.1017%2fS0266466606060373&partnerID=40&md5=678f2017dfc982c99cbfa4b9c3195b8f},
    }
  • Stationarity and geometric ergodicity of a class of nonlinear arch models

    Annals of applied probability, vol. 16, iss. 4, pp. 2256-2271, 2006.
    By Y. Saïdi and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Saïdi20062256,
    author={Saïdi, Y. and Zakoian, J.-M.},
    title={Stationarity and geometric ergodicity of a class of nonlinear ARCH models},
    journal={Annals of Applied Probability},
    year={2006},
    volume={16},
    number={4},
    pages={2256-2271},
    doi={10.1214/105051606000000565},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846893175&doi=10.1214%2f105051606000000565&partnerID=40&md5=e18a28f14b225b91d03cbdae5978a365},
    publisher={Institute of Mathematical Statistics},
    }

2005

  • A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size

    Econometric theory, vol. 21, iss. 6, pp. 1165-1171, 2005.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq20051165,
    author={Francq, C. and Zakoian, J.-M.},
    title={A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size},
    journal={Econometric Theory},
    year={2005},
    volume={21},
    number={6},
    pages={1165-1171},
    doi={10.1017/S0266466605050577},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-25644454310&doi=10.1017%2fS0266466605050577&partnerID=40&md5=8ea9213a2e9e7d81011ed8fc383ca06c},
    }
  • The l2-structures of standard and switching-regime garch models

    Stochastic processes and their applications, vol. 115, iss. 9, pp. 1557-1582, 2005.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq20051557,
    author={Francq, C. and Zakoian, J.-M.},
    title={The L2-structures of standard and switching-regime GARCH models},
    journal={Stochastic Processes and their Applications},
    year={2005},
    volume={115},
    number={9},
    pages={1557-1582},
    doi={10.1016/j.spa.2005.04.005},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-23044457404&doi=10.1016%2fj.spa.2005.04.005&partnerID=40&md5=ef01d33acde672deb5566242965db614},
    }
  • Diagnostic checking in arma models with uncorrelated errors

    Journal of the american statistical association, vol. 100, iss. 470, pp. 532-544, 2005.
    By C. Franco, R. Roy, and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Franco2005532,
    author={Franco, C. and Roy, R. and Zakoian, J.-M.},
    title={Diagnostic checking in ARMA models with uncorrelated errors},
    journal={Journal of the American Statistical Association},
    year={2005},
    volume={100},
    number={470},
    pages={532-544},
    doi={10.1198/016214504000001510},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444444745&doi=10.1198%2f016214504000001510&partnerID=40&md5=00ec8409ef0b426e548f995b12038c30},
    }

2004

  • Maximum likelihood estimation of pure garch and arma-garch processes

    Bernoulli, vol. 10, iss. 4, pp. 605-637, 2004.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2004605,
    author={Francq, C. and Zakoian, J.-M.},
    title={Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes},
    journal={Bernoulli},
    year={2004},
    volume={10},
    number={4},
    pages={605-637},
    doi={10.3150/bj/1093265632},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645008897&doi=10.3150%2fbj%2f1093265632&partnerID=40&md5=718dd1f4b8b35274ac496253140a5873},
    }

2002

  • Comments on the paper by minxian yang: "some properties of vector autoregressive processes with markov-switching coefficients"

    Econometric theory, vol. 18, iss. 3, pp. 815-818, 2002.
    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Franco2002815,
    author={Franco, C. and Zakoian, J.-M.},
    title={Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"},
    journal={Econometric Theory},
    year={2002},
    volume={18},
    number={3},
    pages={815-818},
    doi={10.1017/S0266466602183125},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036627459&doi=10.1017%2fS0266466602183125&partnerID=40&md5=13789f5b1d8a5a40996949ba31515913},
    }
  • Autocovariance structure of powers of switching-regime arma processes

    Esaim - probability and statistics, vol. 6, pp. 259-270, 2002.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2002259,
    author={Francq, C. and Zakoian, J.-M.},
    title={Autocovariance structure of powers of switching-regime ARMA processes},
    journal={ESAIM - Probability and Statistics},
    year={2002},
    volume={6},
    pages={259-270},
    doi={10.1051/ps:2002014},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037002888&doi=10.1051%2fps%3a2002014&partnerID=40&md5=c49ffeb1c49c74e4ca139ccab83aab98},
    publisher={EDP Sciences},
    }

2001

  • Stationarity of multivariate markov-switching arma models

    Journal of econometrics, vol. 102, iss. 2, pp. 339-364, 2001.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2001339,
    author={Francq, C. and Zakoian, J.-M.},
    title={Stationarity of multivariate Markov-switching ARMA models},
    journal={Journal of Econometrics},
    year={2001},
    volume={102},
    number={2},
    pages={339-364},
    doi={10.1016/S0304-4076(01)00057-4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044399313&doi=10.1016%2fS0304-4076%2801%2900057-4&partnerID=40&md5=93cafb0a4fa9f846fa475b47d42ab128},
    }
  • Contemporaneous asymmetry in garch processes

    Journal of econometrics, vol. 101, iss. 2, pp. 257-294, 2001.
    By M. El Babsiri and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{ElBabsiri2001257,
    author={El Babsiri, M. and Zakoian, J.-M.},
    title={Contemporaneous asymmetry in GARCH processes},
    journal={Journal of Econometrics},
    year={2001},
    volume={101},
    number={2},
    pages={257-294},
    doi={10.1016/S0304-4076(00)00084-1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012680138&doi=10.1016%2fS0304-4076%2800%2900084-1&partnerID=40&md5=364fcffff8f38bc670ae5c43686c554a},
    }

2000

  • Covariance matrix estimation for estimators of mixing weak arma models

    Journal of statistical planning and inference, vol. 83, iss. 2, pp. 369-394, 2000.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq2000369,
    author={Francq, C. and Zakoian, J.-M.},
    title={Covariance matrix estimation for estimators of mixing weak ARMA models},
    journal={Journal of Statistical Planning and Inference},
    year={2000},
    volume={83},
    number={2},
    pages={369-394},
    doi={10.1016/s0378-3758(99)00109-3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0011422677&doi=10.1016%2fs0378-3758%2899%2900109-3&partnerID=40&md5=222c9a63e3af8334a027b5ebeb3371c3},
    publisher={Elsevier},
    }
  • Estimating weak garch representations

    Econometric theory, vol. 16, iss. 5, pp. 692-728, 2000.
    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Franco2000692,
    author={Franco, C. and Zakoian, J.-M.},
    title={Estimating weak garch representations},
    journal={Econometric Theory},
    year={2000},
    volume={16},
    number={5},
    pages={692-728},
    doi={10.1017/s0266466600165041},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034359589&doi=10.1017%2fs0266466600165041&partnerID=40&md5=2baa77e02f0f0f7bc5eaa4ad68496c4d},
    publisher={Cambridge University Press},
    }

1998

  • Estimating linear representations of nonlinear processes

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 145-165, 1998.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq1998145,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating linear representations of nonlinear processes},
    journal={Journal of Statistical Planning and Inference},
    year={1998},
    volume={68},
    number={1},
    pages={145-165},
    doi={10.1016/S0378-3758(97)00139-0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063592&doi=10.1016%2fS0378-3758%2897%2900139-0&partnerID=40&md5=8cd68488baf1d28371901a9f1a93fdf7},
    publisher={Elsevier},
    }
  • Covariance matrix estimation for estimators of weak arma models [estimation de la précision asymptotique dans l'estimation de modèles arma faibles]

    Comptes rendus de l'academie des sciences - series i: mathematics, vol. 326, iss. 3, pp. 377-380, 1998.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq1998377,
    author={Francq, C. and Zakoian, J.-M.},
    title={Covariance matrix estimation for estimators of weak ARMA models [Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles]},
    journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
    year={1998},
    volume={326},
    number={3},
    pages={377-380},
    doi={10.1016/s0764-4442(97)82998-9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044451140&doi=10.1016%2fs0764-4442%2897%2982998-9&partnerID=40&md5=bdabaacabb8b0f970107ab93f6e8b241},
    publisher={Elsevier Masson SAS},
    }
  • Estimating weak garch representations [estimation de représentations garch faibles]

    Comptes rendus de l'academie des sciences - series i: mathematics, vol. 326, iss. 4, pp. 495-498, 1998.
    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @article{Francq1998495,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating weak GARCH representations [Estimation de représentations GARCH faibles]},
    journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
    year={1998},
    volume={326},
    number={4},
    pages={495-498},
    doi={10.1016/S0764-4442(97)89798-4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0040675179&doi=10.1016%2fS0764-4442%2897%2989798-4&partnerID=40&md5=70bd66d141ffa5d1fa76896f1a49081f},
    publisher={Elsevier Masson SAS},
    }