2026 Jean-Michel Zakoian: Mathematics Researcher – H-Index, Publications & Awards

D-Index & Metrics

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	33	3179	2887	84	80	119	9514
Mathematics	34	2845	2542	170	161	124	9527

Discipline name

D-Index

World Ranking

Current World Ranking

National Ranking

Current National Ranking

Publications

Citations

Economics and Finance

3179

2887

119

9514

Mathematics

2845

2542

170

161

124

9527

Economics and Finance

D-Index

Citations

9514

World Ranking

3179

National Ranking

Mathematics

D-Index

Citations

9527

World Ranking

2845

National Ranking

170

Overview

Jean-Michel Zakoian is affiliated with the École Nationale de la Statistique et de l'Administration Économique in France. Their research primarily falls within the field of Economics, Econometrics and Finance, with a focus on subfields including Finance, Economics and Econometrics, General Economics, Statistics and Probability, and Demography.

Their work addresses several main topics, such as:

Financial Risk and Volatility Modeling
Monetary Policy and Economic Impact
Market Dynamics and Volatility
Complex Systems and Time Series Analysis
Statistical Methods and Inference
Stochastic Processes and Financial Applications
Insurance, Mortality, Demography, Risk Management

Jean-Michel Zakoian's recent papers include:

Testing the existence of moments for GARCH processes, 2020, Journal of Econometrics
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS, 2022, Econometric Theory
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT, 2023, Econometric Theory
Inference on dynamic systemic risk measures, 2024, Journal of Econometrics
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models, 2021, Bernoulli

The prominent publication venues where their work has appeared include:

Scandinavian Journal of Statistics
Journal of Econometrics
Econometric Theory
Bernoulli
Journal of Time Series Analysis

Frequent co-authors in their research activities are:

Christian Francq
Markus Bibinger
Małgorzata Würzburg
David Bogdan
Jelena Bolin

Best Publications

Threshold heteroskedastic models

Jean-Michel Zakoian

3863
Citations
GARCH Models: Structure, Statistical Inference and Financial Applications

Christian Francq;Jean-Michel Zakoian

1091
Citations
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Christian Francq;Jean-Michel Zakoïan

740
Citations
Threshold arch models and asymmetries in volatility

R. Rabemananjara;J. M. Zakoian

721
Citations
Stationarity of multivariate Markov–switching ARMA models

C. Francq;J.-M. Zakoı̈an

290
Citations
GARCH Models

Unknown

213
Citations
Diagnostic Checking in ARMA Models With Uncorrelated Errors

Christian Francq;Roch Roy;Jean-Michel Zakoïan

192
Citations
Testing for continuous-time models of the short-term interest rate

Laurence Broze;Laurence Broze;Olivier Scaillet;Jean-Michel Zakoïan

151
Citations
Conditional Heteroskedasticity Driven by Hidden Markov Chains

Christian Francq;Michel Roussignol;Jean-Michel Zakoian

138
Citations
Estimating linear representations of nonlinear processes

Christian Francq;Jean-Michel Zakoïan

135
Citations
Merits and Drawbacks of Variance Targeting in GARCH Models

Christian Francq;Lajos Horváth;Jean-Michel Zakoïan

120
Citations
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS

Christian Francq;Jean-Michel Zakoïan

115
Citations
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

Christian Francq;Jean-Michel Zakoian

98
Citations
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

Christian Francq;Jean‐Michel Zakoïan

94
Citations
Local explosion modelling by non‐causal process

Christian Gouriéroux;Jean-Michel Zakoïan

87
Citations
GARCH models without positivity constraints: Exponential or log GARCH?

Christian Francq;Olivier Wintenberger;Jean-Michel Zakoïan

86
Citations
Contemporaneous asymmetry in GARCH processes

Mohamed El Babsiri;Jean-Michel Zakoian

81
Citations
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES

Laurence Broze;Olivier Scaillet;Jean-Michel Zakoïan

81
Citations
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

Tawfik Hamadeh;Jean-Michel Zakoïan

79
Citations
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

Christian Francq;Jean-Michel Zakoïan

74
Citations
Local Explosion Modelling by Noncausal Process

Christian Gourieroux;Jean-Michel Zakoian

1
Citations

Frequent Co-Authors

Christian Gourieroux Toulouse School of Economics

Olivier Scaillet University of Geneva

Lajos Horváth University of Utah

Alain Monfort École Nationale de la Statistique et de l'Administration Économique

Shiqing Ling Hong Kong University of Science and Technology

Siem Jan Koopman Vrije Universiteit Amsterdam

Gary Koop University of Strathclyde

Monica Billio Ca Foscari University of Venice

Herman K. van Dijk Erasmus University Rotterdam

Cathy W. S. Chen Feng Chia University

External Links

Personal website of Jean-Michel Zakoian Google Scholar page

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