Statut : Professor, Head of the Finance-Insurance Department of CREST
Département : ENSAE-CREST, Pôle Finance-Assurance
Spécialités : Financial Econometrics; Time Serie; Current research topics: Dynamic risk measures and Estimation risk, GARCH-type models, Unit roots, bubbles and explosive processes, Functional and Long-Memory Time Series, Nonstationary processes, QML estimation.


Professor at ENSAE since 2007, head of the Finance-Insurance lab at CREST. Professor of applied mathematics at Lille University (on secondment at ENSAE since 2008). Associate Editor of the journals Econometric Theory, Scandinavian Journal of Statistics, Journal of Time Series Analysis. Co-author of the book "GARCH models. Structure, Statistical Inference and Financial Applications," 2nd edition (2019) and of more than 70 publications, in particular in Econometrica, Annals of Statistics, Journal of the Royal Statistical Society (Series B), Journal of the American Statistical Association. Supervisor or co-supervisor of 10 defended PhD theses in Applied Mathematics, and of 3 theses in progress.


Enseignant Identifiant Intitulé Instructor Heures de TD Jours Heures de cours Crédits ECTS Modalité examen
Jean-Michel Zakoïan SE310 Dynamic Statistical Models with Hidden Variables Zakoïan Jean-Michel 0 18 2 écrit
Jean-Michel Zakoïan FA303 Financial Econometrics Zakoïan Jean-Michel 6 18 4 écrit+tut.
Jean-Michel Zakoïan MiE49 Introduction to time series econometrics Zakoïan Jean-Michel 0 12 2 écrit