15
H index
20
i10 index
899
Citations
York University | 15 H index 20 i10 index 899 Citations RESEARCH PRODUCTION: 31 Articles 43 Papers 1 Books 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 7 |
Journal of Time Series Analysis | 5 |
Annals of Economics and Statistics | 3 |
Journal of Empirical Finance | 2 |
Journal of Forecasting | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Center for Research in Economics and Statistics | 19 |
Working Papers / York University, Department of Economics | 5 |
Post-Print / HAL | 3 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper |
2020 | Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016. Full description at Econpapers || Download paper |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper |
2020 | The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719. Full description at Econpapers || Download paper |
2021 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper |
2021 | Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346. Full description at Econpapers || Download paper |
2020 | Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849. Full description at Econpapers || Download paper |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper |
2021 | Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727. Full description at Econpapers || Download paper |
2021 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper |
2020 | Uncertainty on the Reproduction Ratio in the SIR Model. (2020). Gourieroux, Christian ; Elliott, Sean. In: Papers. RePEc:arx:papers:2012.11542. Full description at Econpapers || Download paper |
2020 | Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267. Full description at Econpapers || Download paper |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422. Full description at Econpapers || Download paper |
2021 | Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework. (2021). Hari, Norbert ; Markus, Laszlo ; Kumar, Ashish. In: Papers. RePEc:arx:papers:2107.06349. Full description at Econpapers || Download paper |
2022 | Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model. (2021). Yang, Cynthia Fan ; Pesaran, Hashem M. In: Papers. RePEc:arx:papers:2109.00321. Full description at Econpapers || Download paper |
2022 | 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 |
2021 | Open Markets and Hybrid Jacobi Processes. (2021). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2110.14046. Full description at Econpapers || Download paper |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper |
2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper |
2022 | Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094. Full description at Econpapers || Download paper |
2021 | Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21. Full description at Econpapers || Download paper |
2020 | Les retards de paiement des clients impactent-ils la probabilité de défaillance des entreprises ?. (2020). Gonzalez, Olivier ; Dietsch, Michel. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2020:227:08. Full description at Econpapers || Download paper |
2021 | Learning From Disagreement in the U.S. Treasury Bond Market. (2021). Singleton, Kenneth J ; Laursen, Kristoffer T ; Giacoletti, Marco. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:395-441. Full description at Econpapers || Download paper |
2021 | Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302. Full description at Econpapers || Download paper |
2022 | Assessing hail risk for property insurers with a dependent marked point process. (2022). Dickinson, Daniel ; Fung, Glenn M ; Shi, Peng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:302-328. Full description at Econpapers || Download paper |
2020 | Estimating the probability of default for noâ€default and lowâ€default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107. Full description at Econpapers || Download paper |
2021 | Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481. Full description at Econpapers || Download paper |
2021 | Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294. Full description at Econpapers || Download paper |
2022 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348. Full description at Econpapers || Download paper |
2020 | Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2020). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:6:p:1413-1428. Full description at Econpapers || Download paper |
2021 | Covid?19 Control and the Economy: Test, Test, Test. (2021). Taamouti, Abderrahim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1011-1028. Full description at Econpapers || Download paper |
2021 | The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67. Full description at Econpapers || Download paper |
2021 | Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3. Full description at Econpapers || Download paper |
2020 | Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637. Full description at Econpapers || Download paper |
2020 | Identification-robust Inequality Analysis. (2020). Flachaire, Emmanuel ; Zalghout, Abdallah ; Khalaf, Lynda ; Dufour, Jean-Marie. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-23. Full description at Econpapers || Download paper |
2020 | Uncertainty on the Reproduction Ratio in the SIR Model.. (2020). Gourieroux, Christian ; Elliott, Sean. In: Working Papers. RePEc:crs:wpaper:2020-31. Full description at Econpapers || Download paper |
2020 | CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457. Full description at Econpapers || Download paper |
2020 | Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615. Full description at Econpapers || Download paper |
2021 | Fundamental volatility and informative trading volume in a rational expectations equilibrium. (2021). Mao, Yipeng ; Luo, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002522. Full description at Econpapers || Download paper |
2020 | On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343. Full description at Econpapers || Download paper |
2020 | The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258. Full description at Econpapers || Download paper |
2020 | Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory. (2020). Dufour, Jean-Marie ; Tchatoka, Firmin Doko. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:390-418. Full description at Econpapers || Download paper |
2021 | Impulse response analysis for structural dynamic models with nonlinear regressors. (2021). Kilian, Lutz ; Pesavento, Elena ; Herrera, Ana Maria ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:107-130. Full description at Econpapers || Download paper |
2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304. Full description at Econpapers || Download paper |
2022 | A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84. Full description at Econpapers || Download paper |
2020 | Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62. Full description at Econpapers || Download paper |
2021 | Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45. Full description at Econpapers || Download paper |
2022 | Dynamic large financial networks via conditional expected shortfalls. (2022). Caporin, Massimiliano ; Maillet, Bertrand B ; Bonaccolto, Giovanni. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336. Full description at Econpapers || Download paper |
2022 | Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367. Full description at Econpapers || Download paper |
2020 | Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20. Full description at Econpapers || Download paper |
2021 | On the ordering of credibility factors. (2021). Lu, Yang ; Jeong, Himchan ; Ahn, Jae Youn. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:626-638. Full description at Econpapers || Download paper |
2020 | Ratings matter: Announcements in times of crisis and the dynamics of stock markets. (2020). Rosati, Nicoletta ; Bellia, Mario ; Oliveira, Vasco ; Matos, Pedro Verga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300460. Full description at Econpapers || Download paper |
2021 | A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586. Full description at Econpapers || Download paper |
2021 | A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126. Full description at Econpapers || Download paper |
2021 | Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100. Full description at Econpapers || Download paper |
2021 | Macro risks and the term structure of interest rates. (2021). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:479-504. Full description at Econpapers || Download paper |
2021 | Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315. Full description at Econpapers || Download paper |
2020 | Incorporating stochastic correlations into mining project evaluation using the Jacobi process. (2020). Kumral, Mustafa ; Ardian, Aldin. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719306191. Full description at Econpapers || Download paper |
2021 | Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160. Full description at Econpapers || Download paper |
2021 | Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods. (2021). RodrÃguez, Gabriel ; Garrafa-Aragon, Hernan B ; Rodriguez, Gabriel ; Abanto-Valle, Carlos A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:272-286. Full description at Econpapers || Download paper |
2022 | Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC. (2022). Muoz, Carlos Salvador ; Cuadros-Solas, Pedro Jesus. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001562. Full description at Econpapers || Download paper |
2021 | Wind Put Barrier Options Pricing Based on the Nordix Index. (2021). Contreras, Javier ; Perez-Uribe, Miguel A ; Rodriguez, Yeny E. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1177-:d:504014. Full description at Econpapers || Download paper |
2020 | An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market. (2020). Wu, Zhao ; Jacob, Azaare. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:143-:d:380011. Full description at Econpapers || Download paper |
2020 | Temporal Aggregation and Long Memory for Asset Price Volatility. (2020). Perron, Pierre ; Shi, Wendong . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:182-:d:399544. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2020 | On the Valuation and Analysis of Risky Debt: A Practical Approach Using Raging Migrations. (2020). Wockl, Ines ; Kampl, Lisa-Maria ; Fischer, Edwin O. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-01. Full description at Econpapers || Download paper |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2020). Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02367200. Full description at Econpapers || Download paper |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2021). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02367200. Full description at Econpapers || Download paper |
2021 | Dynamic Large Financial Networks via Conditional Expected Shortfalls. (2021). Caporin, Massimiliano ; Maillet, Bertrand ; Bonaccolto, Giovanni. In: Post-Print. RePEc:hal:journl:hal-03287947. Full description at Econpapers || Download paper |
2020 | The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200. Full description at Econpapers || Download paper |
2021 | Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Working Papers. RePEc:hal:wpaper:hal-02903655. Full description at Econpapers || Download paper |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521. Full description at Econpapers || Download paper |
2020 | Singular conditional autoregressive Wishart model for realized covariance matrices. (2020). Tyrcha, Joanna ; Javed, Farrukh ; Bodnar, Taras ; Alfelt, Gustav. In: Working Papers. RePEc:hhs:oruesi:2021_001. Full description at Econpapers || Download paper |
2020 | A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202017. Full description at Econpapers || Download paper |
2020 | Optimal Filter Approximations for Latent Long Memory Stochastic Volatility. (2020). Ching, Grace Lee. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09933-8. Full description at Econpapers || Download paper |
2021 | Improving the Estimation and Predictions of Small Time Series Models. (2021). Liu-Evans, Gareth. In: Working Papers. RePEc:liv:livedp:202106. Full description at Econpapers || Download paper |
2020 | Identification-Robust Inequality Analysis. (2020). Flachaire, Emmanuel ; Zalghout, Abdallah ; Khalaf, Lynda ; Dufour, Jean-Marie. In: Cahiers de recherche. RePEc:mtl:montec:03-2020. Full description at Econpapers || Download paper |
2021 | No place like home: The effect of exporting to the country of origin on the financial performance of immigrant-owned SMEs. (2021). Malhotra, Shavin ; Sui, Sui ; Morgan, Horatio M. In: Journal of International Business Studies. RePEc:pal:jintbs:v:52:y:2021:i:3:d:10.1057_s41267-020-00360-8. Full description at Econpapers || Download paper |
2020 | Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250. Full description at Econpapers || Download paper |
2020 | Loan market markups and noncausal autoregressions. (2020). Kramkov, Viacheslav ; Maksimov, Andrey. In: Applied Econometrics. RePEc:ris:apltrx:0406. Full description at Econpapers || Download paper |
2021 | Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data. (2021). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:1:p:53-72. Full description at Econpapers || Download paper |
2020 | Effects of asset frequency components on value-at-risk in emerging and developed markets. (2020). Nelcide, Pierre Joseph ; Biage, Milton. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:40:y:2020:i:1:a:77437. Full description at Econpapers || Download paper |
2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234. Full description at Econpapers || Download paper |
2021 | Backtesting and estimation error: value-at-risk overviolation rate. (2021). Cataldo, James ; Tsafack, Georges . In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01905-4. Full description at Econpapers || Download paper |
2020 | Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z. Full description at Econpapers || Download paper |
2020 | Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty. (2020). SADEFO, Jules ; Moumouni, Zoulkiflou. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00206-y. Full description at Econpapers || Download paper |
2021 | Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation. (2021). Kumar, Ashish ; Markus, Laszlo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-020-09838-2. Full description at Econpapers || Download paper |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Iacopini, Matteo ; Costola, Michele ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2021:05. Full description at Econpapers || Download paper |
2022 | Transition model for coronavirus management. (2022). Bandehali, Maygol ; Rilstone, Paul ; Jasiak, Joann ; Gourieroux, Christian ; Djogbenou, Antoine. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:55:y:2022:i:s1:p:665-704. Full description at Econpapers || Download paper |
2020 | Leaveâ€Out Estimation of Variance Components. (2020). Kline, Patrick ; Solvsten, Mikkel ; Saggio, Raffaele. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:5:p:1859-1898. Full description at Econpapers || Download paper |
2020 | A simple parameter?driven binary time series model. (2020). Lu, Yang. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:2:p:187-199. Full description at Econpapers || Download paper |
2020 | Optimal futures hedging for energy commodities: An application of the GAS model. (2020). Xu, Yingying ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1090-1108. Full description at Econpapers || Download paper |
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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 | 5 |
1998 | Nonlinear Autocorrelograms : An Application to Intra-Trade Durations.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | 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 | 41 |
2006 | Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2016 | Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 15 |
1998 | GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 35 |
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 another 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 another 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 | 18 |
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: 18 | 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: 18 | 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 another 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 another 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 | 11 |
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 | 6 |
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 another 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 another version. Agregated cites: 6 | article | |
2004 | The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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 | 1 |
2019 | Robust analysis of the martingale hypothesis.(2019) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2016 | Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2020 | Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2020 | Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1997 | Stochastic Volatility Duration Models In: Working Papers. [Full Text][Citation analysis] | paper | 74 |
2004 | Stochastic volatility duration models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | 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 | 8 |
2001 | DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
1999 | Nonlinear Persistence and Copersistence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Nonlinear Persistence and Copersistence.(2011) In: Palgrave Macmillan Books. [Citation analysis] This paper has another version. Agregated cites: 0 | chapter | |
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 | 60 |
2006 | Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
2008 | Dynamic quantile models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 44 |
2006 | DYNAMIC QUANTILE MODELS.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2009 | The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 138 |
2005 | The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 138 | paper | |
2017 | Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2018 | Misspecification of noncausal order in autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2008 | The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 33 |
2006 | The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2009 | L-performance with an application to hedge funds In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
2009 | L-performance with an application to hedge funds.(2009) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 52 |
2004 | Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 24 |
2012 | Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2001 | Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors. In: International Economic Review. [Citation analysis] | article | 79 |
2006 | Autoregressive gamma processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 78 |
2016 | The Tradability Premium on the S&P 500 Index In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
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 | 6 |
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 |
2021 | Forecast performance and bubble analysis in noncausal MAR(1, 1) processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2021 | Convolution?based filtering and forecasting: An application to WTI crude oil prices In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
1999 | Persistence in Intertrade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
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