14
H index
14
i10 index
550
Citations
Joann Jasiak : Citation Profile
York University | RESEARCH PRODUCTION: 19 Articles 35 Papers 1 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (1994 - 2015). 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 | 4 |
| Journal of Time Series Analysis | 2 |
| Annals of Economics and Statistics | 2 |
| Journal of Empirical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Centre de Recherche en Economie et Statistique | 16 |
| Working Papers / York University, Department of Economics | 5 |
| Post-Print / HAL | 2 |
Recent works citing Joann Jasiak (2017 and 2016)
| Year | Title of citing document |
|---|---|
| 2017 | Nonparametric Stochastic Discount Factor Decomposition. (2017). Christensen, Timothy . In: Papers. RePEc:arx:papers:1412.4428. Full description at Econpapers || Download paper |
| 2017 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. Full description at Econpapers || Download paper |
| 2016 | Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07419. Full description at Econpapers || Download paper |
| 2016 | Rating models: emerging market distinctions. (2016). Karminsky, Alexandr. In: Papers. RePEc:arx:papers:1607.02422. Full description at Econpapers || Download paper |
| 2017 | Pairs Trading under Drift Uncertainty and Risk Penalization. (2017). Altay, Suhan ; Eksi, Zehra ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1704.06697. Full description at Econpapers || Download paper |
| 2017 | Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647. Full description at Econpapers || Download paper |
| 2016 | Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos. (2016). Melo-Velandia, Luis ; Ustacara, Daniel Mario . In: Borradores de Economia. RePEc:bdr:borrec:939. Full description at Econpapers || Download paper |
| 2016 | Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436. Full description at Econpapers || Download paper |
| 2016 | Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041. Full description at Econpapers || Download paper |
| 2016 | Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152. Full description at Econpapers || Download paper |
| 2016 | Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350. Full description at Econpapers || Download paper |
| 2016 | Identification and inference in two-pass asset pricing models. (2016). Khalaf, Lynda ; Schaller, Huntley . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:165-177. Full description at Econpapers || Download paper |
| 2016 | Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374. Full description at Econpapers || Download paper |
| 2016 | Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:588-598. Full description at Econpapers || Download paper |
| 2016 | Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39. Full description at Econpapers || Download paper |
| 2016 | Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50. Full description at Econpapers || Download paper |
| 2017 | Statistical inference for independent component analysis: Application to structural VAR models. (2017). Renne, Jean-Paul ; Monfort, Alain ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:111-126. Full description at Econpapers || Download paper |
| 2017 | Chasing volatility. (2017). Caporin, Massimiliano ; de Magistris, Paolo Santucci ; Rossi, Eduardo . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145. Full description at Econpapers || Download paper |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61. Full description at Econpapers || Download paper |
| 2016 | Modelling credit grade migration in large portfolios using cumulative t-link transition models. (2016). Nagao, Risa ; Forster, Jonathan J ; Sudjianto, Agus ; Buzzacchi, Matteo . In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:977-984. Full description at Econpapers || Download paper |
| 2016 | Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67. Full description at Econpapers || Download paper |
| 2016 | Stochastic correlation and risk premia in term structure models. (2016). Chiarella, Carl ; To, Thuy-Duong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:59-78. Full description at Econpapers || Download paper |
| 2017 | Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis A. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91. Full description at Econpapers || Download paper |
| 2016 | Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501. Full description at Econpapers || Download paper |
| 2017 | Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152. Full description at Econpapers || Download paper |
| 2017 | The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process. (2017). Bouleau, Nicolas ; Chorro, Christophe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:379-395. Full description at Econpapers || Download paper |
| 2016 | Credit rating model development: An ordered analysis based on accounting data. (2016). Tsipouri, Lena ; Balios, Dimitris ; Thomadakis, Stavros . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:122-136. Full description at Econpapers || Download paper |
| 2017 | Polynomial diffusions on compact quadric sets. (2017). Larsson, Martin ; Pulido, Sergio . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:901-926. Full description at Econpapers || Download paper |
| 2017 | Stochastic Evolution of Distributions - Applications to CDS indices. (2017). Bernis, Guillaume ; Scotti, Simone ; Kornprobst, Antoine ; Brunel, Nicolas . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01467736. Full description at Econpapers || Download paper |
| 2016 | A comparative study on the estimation of factor migration models. (2016). Cousin, Areski ; Kheliouen, Mohamed Reda . In: Working Papers. RePEc:hal:wpaper:halshs-01351926. Full description at Econpapers || Download paper |
| 2017 | Origins of Spurious Long Memory. (2017). Leschinski, Christian ; Sibbertsen, Philipp . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-595. Full description at Econpapers || Download paper |
| 2016 | Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?. (2016). Arambur, Andrs Herrera ; Rodrguez, Gabriel . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:45-66. Full description at Econpapers || Download paper |
| 2016 | Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data. (2016). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Barros, Carlos Pestana . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9835-3. Full description at Econpapers || Download paper |
| 2017 | Stochastic Evolution of Distributions - Applications to CDS indices. (2017). Bernis, Guillaume ; Scotti, Simone ; Kornprobst, Antoine ; Brunel, Nicolas . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17007. Full description at Econpapers || Download paper |
| 2017 | Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators in Median Regressions with Heterogeneous Dependent Errors. (2017). Dufour, Jean-Marie ; Coudin, Elise . In: Cahiers de recherche. RePEc:mtl:montec:01-2017. Full description at Econpapers || Download paper |
| 2016 | Bond Risk Premia in Consumption-based Models. (2016). Wu, Jing Cynthia ; Creal, Drew D. In: NBER Working Papers. RePEc:nbr:nberwo:22183. Full description at Econpapers || Download paper |
| 2016 | Macro Risks and the Term Structure of Interest Rates. (2016). Bekaert, Geert ; Engstrom, Eric ; Ermolov, Andrey . In: NBER Working Papers. RePEc:nbr:nberwo:22839. Full description at Econpapers || Download paper |
| 2016 | Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417.. Full description at Econpapers || Download paper |
| 2016 | PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE. (2016). Shachmurove, Yochanan ; Osinska, Magdalena ; Dobrzynski, Andrzej . In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:11:y:2016:i:4:p:819-851. Full description at Econpapers || Download paper |
| 2017 | Detecting Co-Movements in Noncausal Time Series. (2017). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: MPRA Paper. RePEc:pra:mprapa:77254. Full description at Econpapers || Download paper |
| 2016 | Polynomial diffusions and applications in finance. (2016). Larsson, Martin ; Filipovi, Damir . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4. Full description at Econpapers || Download paper |
| 2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1615. Full description at Econpapers || Download paper |
| 2016 | INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS. (2016). Cont, Rama ; Wagalath, Lakshithe . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:02:p:1650010-01-1650010-37. 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 | 1 |
| 1998 | Causality Between Returns and Trated Volumes.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2005 | Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
| 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 | 21 |
| 2006 | Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 1998 | GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 31 |
| 2000 | Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 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 another version. Agregated cites: 4 | paper | |
| 1995 | Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 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 another version. Agregated cites: 14 | 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 another version. Agregated cites: 14 | paper | |
| 1995 | Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 1995 | Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 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 | 8 |
| 1999 | Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 6 |
| 1999 | Nonlinear Innovations and Impulse Response.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2001 | Compound Autoregressive Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2001 | Local Likelihood Density Estimation and Value at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2004 | The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 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 | 2 |
| 1997 | Stochastic Volatility Duration Models In: Working Papers. [Full Text][Citation analysis] | paper | 54 |
| 2004 | Stochastic volatility duration models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | article | |
| 1998 | Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Nonlinear Autocorrelograms : An Application to Intra-Trade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 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 | 4 |
| 2001 | DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 1999 | Nonlinear Persistence and Copersistence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Nonlinear Persistence and Copersistence.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2001 | Memory and infrequent breaks In: Economics Letters. [Full Text][Citation analysis] | article | 47 |
| 2006 | Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 2008 | Dynamic quantile models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2006 | DYNAMIC QUANTILE MODELS.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2009 | The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 86 |
| 2005 | The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
| 2008 | The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
| 2006 | The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2009 | L-performance with an application to hedge funds In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
| 2009 | L-performance with an application to hedge funds.(2009) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 38 |
| 2004 | Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
| 2012 | Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2001 | Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors. In: International Economic Review. [Citation analysis] | article | 60 |
| 2006 | Autoregressive gamma processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 42 |
| 2007 | Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 5 |
| 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 | 0 |
| 1999 | Persistence in Intertrade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
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