17
H index
24
i10 index
1052
Citations
Joann Jasiak : Citation Profile
York University | RESEARCH PRODUCTION: 40 Articles 52 Papers 1 Books 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1994 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Joann Jasiak. | Is cited by:
| Cites to:
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Main data
Where Joann Jasiak has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 8 |
| Journal of Time Series Analysis | 6 |
| Annals of Economics and Statistics | 4 |
| Journal of Forecasting | 2 |
| Journal of Financial Econometrics | 2 |
| Journal of Empirical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Center for Research in Economics and Statistics | 19 |
| Papers / arXiv.org | 10 |
| Working Papers / York University, Department of Economics | 5 |
| Post-Print / HAL | 4 |
Recent works citing Joann Jasiak (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
| 2024 | Open Markets and Hybrid Jacobi Processes. (2021). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2110.14046. Full description at Econpapers || Download paper |
| 2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper |
| 2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper |
| 2023 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper |
| 2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper |
| 2023 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper |
| 2023 | Standard Error Biases When Using Generated Regressors in Accounting Research. (2023). Melessa, Sam ; Hribar, Paul ; Chen, Wei. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:2:p:531-569. Full description at Econpapers || Download paper |
| 2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
| 2023 | Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937. Full description at Econpapers || Download paper |
| 2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper |
| 2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
| 2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper |
| 2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
| 2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper |
| 2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper |
| 2023 | Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095. Full description at Econpapers || Download paper |
| 2023 | Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586. Full description at Econpapers || Download paper |
| 2023 | Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598. Full description at Econpapers || Download paper |
| 2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper |
| 2023 | Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187. Full description at Econpapers || Download paper |
| 2023 | Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937. Full description at Econpapers || Download paper |
| 2023 | The impact of bank loan announcements on stock liquidity. (2023). Pham, Thu Phuong ; Vu, Van Hoang ; Singh, Harminder. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:848-864. Full description at Econpapers || Download paper |
| 2023 | Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521. Full description at Econpapers || Download paper |
| 2023 | Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x. Full description at Econpapers || Download paper |
| 2023 | The Rank-Size Rule and Challenges in Diversifying Commercial Real Estate Portfolios. (2023). Pace, Kelley R ; Narayanan, Rajesh P ; Dombrowski, Timothy P. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09765-6. Full description at Econpapers || Download paper |
| 2023 | The impact of bank loan announcements on stock liquidity. (2023). Vu, Van Hoang ; Singh, Harminder ; Pham, Thu Phuong. In: MPRA Paper. RePEc:pra:mprapa:116398. Full description at Econpapers || Download paper |
| 2023 | Uncertain Remedies to Fight Uncertain Consequences: The Case of Solar Geoengineering. (2023). Meier, Felix D ; Traeger, Christian P. In: RFF Working Paper Series. RePEc:rff:dpaper:dp-23-37. Full description at Econpapers || Download paper |
| 2023 | Fat Tailed DSGE Models: A Survey and New Results. (2023). Sorge, Marco ; Dave, Chetan. In: Working Papers. RePEc:ris:albaec:2023_003. Full description at Econpapers || Download paper |
| 2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555. Full description at Econpapers || Download paper |
| 2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
| 2023 | Information loss in volatility measurement with flat price trading. (2023). Yu, Jun ; Phillips, Peter. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
| 2023 | Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065. Full description at Econpapers || Download paper |
Works by Joann Jasiak:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2000 | Causality between Returns and Traded Volumes In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 1998 | Causality Between Returns and Trated Volumes.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2005 | Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 12 |
| 2020 | Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 2022 | Long Run Predictions In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Generalized Covariance Estimator In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Generalized Covariance Estimator.(2023) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Long Run Risk in Stationary Structural Vector Autoregressive Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether.(2023) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Digital Divide: Empirical Study of CIUS 2020 In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Penalized Likelihood Inference with Survey Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | GCov-Based Portmanteau Test In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 3 |
| 2001 | State?space Models with Finite Dimensional Dependence In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2002 | Nonlinear Autocorrelograms: an Application to Inter?Trade Durations In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 1998 | Nonlinear Autocorrelograms : An Application to Intra-Trade Durations.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2003 | First?Order Autoregressive Processes with Heterogeneous Persistence In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2006 | Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 44 |
| 2006 | Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2016 | Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 22 |
| 2023 | Dynamic deconvolution and identification of independent autoregressive sources In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2023 | Temporally Local Maximum Likelihood with Application to SIS Model In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1998 | GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 46 |
| 2000 | Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2000 | Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 1998 | Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 1995 | Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 29 |
| 1994 | Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 1994 | Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 1995 | Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 1995 | Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 1996 | Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1997 | GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 1999 | Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 10 |
| 1999 | Nonlinear Innovations and Impulse Response.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2001 | Compound Autoregressive Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2001 | Local Likelihood Density Estimation and Value at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Local Likelihood Density Estimation and Value-at-Risk.(2010) In: Journal of Probability and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2004 | The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 2006 | A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Filtering and Prediction in Noncausal Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Robust Analysis of the Martingale Hypothesis In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Robust analysis of the martingale hypothesis.(2019) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2016 | Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2020 | Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2020 | Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2020 | Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2023 | Time varying Markov process with partially observed aggregate data: An application to coronavirus.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1997 | Stochastic Volatility Duration Models In: Working Papers. [Full Text][Citation analysis] | paper | 76 |
| 2004 | Stochastic volatility duration models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | article | |
| 1998 | Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1998 | Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2001 | DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 1999 | Nonlinear Persistence and Copersistence In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Nonlinear Persistence and Copersistence.(2011) In: Palgrave Macmillan Books. [Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 1999 | Nonlinear Persistence and Copersistence.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2001 | Memory and infrequent breaks In: Economics Letters. [Full Text][Citation analysis] | article | 62 |
| 2006 | Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
| 2008 | Dynamic quantile models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 51 |
| 2006 | DYNAMIC QUANTILE MODELS.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2009 | The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 153 |
| 2005 | The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 153 | paper | |
| 2017 | Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2018 | Misspecification of noncausal order in autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2008 | The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 35 |
| 2006 | The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2009 | L-performance with an application to hedge funds In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
| 2009 | L-performance with an application to hedge funds.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 57 |
| 2004 | Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 27 |
| 2012 | Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
| 2022 | An econometric panel data model of the COVID-19 pandemic In: Post-Print. [Citation analysis] | paper | 0 |
| 2022 | An Econometric Panel Data Model of the COVID-19 Pandemic.(2022) In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2001 | Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors. In: International Economic Review. [Citation analysis] | article | 90 |
| 2006 | Autoregressive gamma processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 93 |
| 2016 | The Tradability Premium on the S&P 500 Index In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2022 | Testing for Endogeneity of Covid-19 Patient Assignments* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2010 | Inference for Noisy Long Run Component Process In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 10 |
| 2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2015 | The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Economics Books. [Citation analysis] | book | 1 |
| 2022 | Transition model for coronavirus management In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] | article | 0 |
| 2021 | Forecast performance and bubble analysis in noncausal MAR(1, 1) processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2021 | Convolution?based filtering and forecasting: An application to WTI crude oil prices In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 1999 | Persistence in Intertrade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 33 |
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