Threshold heteroskedastic models JM Zakoian Journal of Economic Dynamics and control 18 (5), 931-955, 1994 | 3984 | 1994 |
GARCH models: structure, statistical inference and financial applications C Francq, JM Zakoian John Wiley & Sons, 2019 | 1375 | 2019 |
Threshold ARCH models and asymmetries in volatility R Rabemananjara, JM Zakoian Journal of applied econometrics 8 (1), 31-49, 1993 | 739 | 1993 |
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes C Francq, JM Zakoian Bernoulli 10 (4), 605-637, 2004 | 724 | 2004 |
Stationarity of multivariate Markov–switching ARMA models C Francq, JM Zakoıan Journal of Econometrics 102 (2), 339-364, 2001 | 290 | 2001 |
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 | 181 | 2005 |
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 | 148 | 1995 |
Merits and drawbacks of variance targeting in GARCH models C Francq, L Horvath, JM Zakoïan Journal of Financial Econometrics 9 (4), 619-656, 2011 | 133 | 2011 |
Conditional heteroskedasticity driven by hidden Markov chains C Francq, M Roussignol, JM Zakoian Journal of Time Series Analysis 22 (2), 197-220, 2001 | 133 | 2001 |
Estimating linear representations of nonlinear processes C Francq, JM Zakoïan Journal of Statistical Planning and Inference 68 (1), 145-165, 1998 | 128 | 1998 |
Mixing properties of a general class of GARCH (1, 1) models without moment assumptions on the observed process C Francq, JM Zakoïan Econometric Theory 22 (5), 815-834, 2006 | 115 | 2006 |
Strict stationarity testing and estimation of explosive and stationary GARCH models C Francq, JM Zakoïan Econometrica 80, 821-861, 2011 | 104* | 2011 |
GARCH models without positivity constraints: Exponential or log GARCH? C Francq, O Wintenberger, JM Zakoian Journal of Econometrics 177 (1), 34-46, 2013 | 101 | 2013 |
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 | 96 | 2007 |
QML estimation of a class of multivariate asymmetric GARCH models C Francq, JM Zakoïan Econometric Theory 28 (1), 179, 2011 | 94* | 2011 |
The L2-structures of standard and switching-regime GARCH models C Francq Stochastic Processes and their Applications 115 (9), 1557-1582, 2005 | 93 | 2005 |
Local explosion modelling by non-causal process C Gouriéroux, JM Zakoïan Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2017 | 87 | 2017 |
Quasi-indirect inference for diffusion processes L Broze, O Scaillet, JM Zakoian Econometric Theory 14 (2), 161-186, 1998 | 82 | 1998 |
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 | 80 | 2011 |
Contemporaneous asymmetry in GARCH processes M El Babsiri, JM Zakoian Journal of Econometrics 101 (2), 257-294, 2001 | 80 | 2001 |