Joann Jasiak : Citation Profile


Are you Joann Jasiak?

York University

14

H index

14

i10 index

547

Citations

RESEARCH PRODUCTION:

19

Articles

35

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   21 years (1994 - 2015). See details.
   Cites by year: 26
   Journals where Joann Jasiak has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 12 (2.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja135
   Updated: 2017-05-20    RAS profile: 2016-09-26    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

gourieroux, christian (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Joann Jasiak.

Is cited by:

Bauwens, Luc (29)

Dufour, Jean-Marie (27)

Monfort, Alain (24)

gourieroux, christian (21)

Hautsch, Nikolaus (19)

Grammig, Joachim (17)

Veredas, David (16)

Khalaf, Lynda (15)

Giot, Pierre (13)

Voev, Valeri (10)

Pegoraro, Fulvio (10)

Cites to:

gourieroux, christian (33)

Ghysels, Eric (24)

Engle, Robert (14)

Tauchen, George (14)

Bollerslev, Tim (14)

Gallant, A. (11)

Renault, Eric (11)

Rossi, Peter (10)

Diebold, Francis (10)

Schwert, G. (9)

Harvey, Andrew (9)

Main data


Where Joann Jasiak has published?


Journals with more than one article published# docs
Journal of Econometrics4
Journal of Time Series Analysis2
Annals of Economics and Statistics2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Centre de Recherche en Economie et Statistique16
Working Papers / York University, Department of Economics5
Post-Print / HAL2

Recent works citing Joann Jasiak (2017 and 2016)


YearTitle of citing document
2017Nonparametric Stochastic Discount Factor Decomposition. (2017). Christensen, Timothy . In: Papers. RePEc:arx:papers:1412.4428.

Full description at Econpapers || Download paper

2017Model-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

2016Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07419.

Full description at Econpapers || Download paper

2016Rating models: emerging market distinctions. (2016). Karminsky, Alexandr. In: Papers. RePEc:arx:papers:1607.02422.

Full description at Econpapers || Download paper

2017Pairs 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

2016Regresión 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

2016Information 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

2016Multiplicative 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

2016Managing 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

2016Matrix 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

2016Identification 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

2016Breaks 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

2016Solvency 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

2016Bayesian 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

2016Efficient 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

2017Statistical 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

2017Chasing 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

2017A 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

2016Modelling 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

2016Dynamic 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

2016Stochastic 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

2017Crude 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

2016Frontiers 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

2017Realized 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

2017The 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

2016Credit 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

2017Polynomial 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

2017Stochastic 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

2016A 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

2016Volatility 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

2016Stationarity 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

2017Stochastic 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

2017Finite-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

2016Bond 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

2016Macro 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

2016PERFORMANCE 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

2017Detecting 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

2016Polynomial 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

2016Realized 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

2016INSTITUTIONAL 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:


YearTitleTypeCited
2000Causality between Returns and Traded Volumes In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
1998Causality Between Returns and Trated Volumes.(1998) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
2003First-Order Autoregressive Processes with Heterogeneous Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article20
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 20
paper
1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article31
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
2000Finite 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
1995Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper14
1994Stochastic 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
1994Stochastic 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
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper14
1995Market 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
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1997GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
1999Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper6
1999Nonlinear Innovations and Impulse Response.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2001Compound Autoregressive Models In: Working Papers.
[Full Text][Citation analysis]
paper2
2001Local Likelihood Density Estimation and Value at Risk In: Working Papers.
[Full Text][Citation analysis]
paper4
2004The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers.
[Full Text][Citation analysis]
paper1
2006A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers.
[Full Text][Citation analysis]
paper0
2013Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers.
[Full Text][Citation analysis]
paper0
2014Filtering and Prediction in Noncausal Processes In: Working Papers.
[Full Text][Citation analysis]
paper1
2014Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]
paper1
2015Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers.
[Full Text][Citation analysis]
paper2
1997Stochastic Volatility Duration Models In: Working Papers.
[Full Text][Citation analysis]
paper54
2004Stochastic volatility duration models.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 54
article
1998Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers.
[Full Text][Citation analysis]
paper0
1998Nonlinear Autocorrelograms : An Application to Intra-Trade Durations In: Working Papers.
[Full Text][Citation analysis]
paper2
1998Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers.
[Full Text][Citation analysis]
paper1
1999Dynamic Factor Models In: Working Papers.
[Full Text][Citation analysis]
paper4
2001DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
1999Nonlinear Persistence and Copersistence In: Working Papers.
[Full Text][Citation analysis]
paper0
1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2001Memory and infrequent breaks In: Economics Letters.
[Full Text][Citation analysis]
article46
2006Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics.
[Full Text][Citation analysis]
article16
2008Dynamic quantile models In: Journal of Econometrics.
[Full Text][Citation analysis]
article27
2006DYNAMIC QUANTILE MODELS.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2009The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article85
2005The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85
paper
2008The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article17
2006The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article6
2009L-performance with an application to hedge funds.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1999Intra-day market activity In: Journal of Financial Markets.
[Full Text][Citation analysis]
article38
2004Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article8
2012Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article1
2001Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors. In: International Economic Review.
[Citation analysis]
article60
2006Autoregressive gamma processes In: Journal of Forecasting.
[Full Text][Citation analysis]
article42
2007Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters.
[Full Text][Citation analysis]
chapter5
2015Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
2015The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Economics Books.
[Citation analysis]
book0
1999Persistence in Intertrade Durations In: Working Papers.
[Full Text][Citation analysis]
paper16

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 2 2017. Contact: CitEc Team