Joann Jasiak : Citation Profile


Are you Joann Jasiak?

York University

15

H index

18

i10 index

726

Citations

RESEARCH PRODUCTION:

26

Articles

36

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 30
   Journals where Joann Jasiak has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 16 (2.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja135
   Updated: 2019-05-18    RAS profile: 2019-04-05    
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Relations with other researchers


Works with:

gourieroux, christian (10)

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

Is cited by:

gourieroux, christian (49)

Dufour, Jean-Marie (32)

Bauwens, Luc (29)

Monfort, Alain (27)

Grammig, Joachim (17)

Gagliardini, Patrick (16)

Veredas, David (16)

Hautsch, Nikolaus (15)

Khalaf, Lynda (15)

Hecq, Alain (13)

Diebold, Francis (13)

Cites to:

gourieroux, christian (43)

Ghysels, Eric (27)

Bollerslev, Tim (15)

Engle, Robert (14)

Tauchen, George (14)

Gallant, A. (11)

Monfort, Alain (10)

Lanne, Markku (10)

Renault, Eric (10)

Harvey, Andrew (9)

Schwert, G. (9)

Main data


Where Joann Jasiak has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Time Series Analysis5
Annals of Economics and Statistics2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics18
Working Papers / York University, Department of Economics5
Post-Print / HAL2

Recent works citing Joann Jasiak (2019 and 2018)


YearTitle of citing document
2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Altay, Suhan ; Eksi, Zehra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1704.06697.

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2017Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647.

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2019Polynomial Jump-Diffusion Models. (2019). Filipovi, Damir ; Larsson, Martin. In: Papers. RePEc:arx:papers:1711.08043.

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2018Leave-out estimation of variance components. (2018). Saggio, Raffaele ; Kline, Patrick ; Solvsten, Mikkel. In: Papers. RePEc:arx:papers:1806.01494.

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2019Time 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.

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2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

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2017Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-52.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2018How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times. (2018). Vallée, Geneviève ; Vallee, Genevieve. In: Staff Working Papers. RePEc:bca:bocawp:18-46.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

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2018Negative Binomial Autoregressive Process. (2018). Lu, Yang ; gourieroux, christian. In: Working Papers. RePEc:crs:wpaper:2018-03.

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2018Identification- and Singularity-Robust Inference for Moment Condition. (2018). , Donald ; Guggenberger, Patrik . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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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.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity. (2018). Doko Tchatoka, Firmin ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:188-211.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Charfeddine, Lanouar ; Maouchi, Youcef. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

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2018Allowing for time and cross dependence assumptions between claim counts in ratemaking models. (2018). Bermudez, Lluis ; Karlis, Dimitris ; Guillen, Montserrat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:161-169.

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2019Effects of prior market experiences and firm-specific resources on developed economy SMEs export exit from emerging markets: Complementary or compensatory?. (2019). Sandberg, Susanne ; Baum, Matthias ; Sui, Sui. In: Journal of Business Research. RePEc:eee:jbrese:v:98:y:2019:i:c:p:489-502.

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2018Are SMEs with immigrant owners exceptional exporters?. (2018). Morgan, Horatio M ; Baum, Matthias ; Sui, Sui . In: Journal of Business Venturing. RePEc:eee:jbvent:v:33:y:2018:i:3:p:241-260.

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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.

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2019Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model. (2019). Wang, Guochao ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:97-113.

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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.

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2018Limit theorems for Markovian Hawkes processes with a large initial intensity. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3807-3839.

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2019Polynomial processes in stochastic portfolio theory. (2019). Cuchiero, Christa . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1829-1872.

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2019A new family of qualitative choice models: An application of reference models to travel mode choice. (2019). Joly, Iragaël ; Peyhardi, Jean ; Bouscasse, Helene. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:121:y:2019:i:c:p:74-91.

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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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2018Negative Binomial Autoregressive Process. (2018). gourieroux, christian ; Lu, Yang. In: CEPN Working Papers. RePEc:hal:cepnwp:hal-01730050.

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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.

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2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovic, Damir. In: Post-Print. RePEc:hal:journl:hal-01338330.

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2017Origins of Spurious Long Memory. (2017). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-595.

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2018The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:667.

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2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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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.

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2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:24506.

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2018Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2018). Leon-Gonzalez, Roberto. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:17-16.

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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity. (2018). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Doucet, Arnaud. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:18-12.

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2017Detecting Co-Movements in Noncausal Time Series. (2017). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: MPRA Paper. RePEc:pra:mprapa:77254.

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2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations. (2017). Zakoian, Jean-Michel ; Monfort, Alain ; gourieroux, christian. In: MPRA Paper. RePEc:pra:mprapa:79623.

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2017Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors. (2017). Telg, Sean ; Issler, João ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:80767.

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2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345.

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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2019Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa. In: MPRA Paper. RePEc:pra:mprapa:92734.

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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Working Paper series. RePEc:rim:rimwps:18-02.

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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity. (2018). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Doucet, Arnaud. In: Working Paper series. RePEc:rim:rimwps:18-38.

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2018Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:430.

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2018Measurement errors in stock markets. (2018). JAWADI, Fredj ; Louhichi, Wael ; Cheffou, Abdoulkarim Idi ; ben Ameur, Hachmi. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2138-z.

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2018A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

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2018The Jacobi stochastic volatility model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0364-8.

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2017A fractionally integrated Wishart stochastic volatility model. (2017). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59.

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2017The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

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2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets. (2018). Casarin, Roberto ; Tronzano, Marco ; Sartore, Domenico. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:101-114.

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2017Testing weak exogeneity in multiplicative error models. (2017). Xu, Yongdeng ; Luintel, Kul B. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1617-1630.

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2017The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2017). Xu, Yongdeng ; Taylor, Nick. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035.

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2018A Time-Varying Parameter Model for Local Explosions. (2018). Blasques, Francisco ; Nientker, Marc ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180088.

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2018Negative Binomial Autoregressive Process. (2018). gourieroux, christian. In: CEPN Working Papers. RePEc:upn:wpaper:2018-01.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: CEPN Working Papers. RePEc:upn:wpaper:2019-05.

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2017LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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2017Term Premium Dynamics and the Taylor Rule. (2017). Gallmeyer, Michael ; Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:07:y:2017:i:04:n:s2010139217500112.

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Works by Joann Jasiak:


YearTitleTypeCited
2000Causality between Returns and Traded Volumes In: Annals of Economics and Statistics.
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article1
1998Causality Between Returns and Trated Volumes.(1998) In: Working Papers.
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paper
2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
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article2
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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article2
2001State‐space Models with Finite Dimensional Dependence In: Journal of Time Series Analysis.
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article0
2002Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations In: Journal of Time Series Analysis.
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article3
2003First-Order Autoregressive Processes with Heterogeneous Persistence In: Journal of Time Series Analysis.
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article0
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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article31
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
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paper
2016Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis.
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article5
1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics.
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article34
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers.
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paper7
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
1995Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers.
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paper18
1994Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
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1994Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
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paper11
1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
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paper1
1997GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers.
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paper6
2001Compound Autoregressive Models In: Working Papers.
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paper8
2001Local Likelihood Density Estimation and Value at Risk In: Working Papers.
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2004The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers.
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2006A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers.
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2013Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers.
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2014Filtering and Prediction in Noncausal Processes In: Working Papers.
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paper1
2014Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers.
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paper1
2015Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers.
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paper4
2016Robust Analysis of the Martingale Hypothesis In: Working Papers.
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paper0
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
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paper1
1997Stochastic Volatility Duration Models In: Working Papers.
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paper66
2004Stochastic volatility duration models.(2004) In: Journal of Econometrics.
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article
1998Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers.
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paper3
1998Nonlinear Autocorrelograms : An Application to Intra-Trade Durations In: Working Papers.
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paper1
1998Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers.
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paper1
1999Dynamic Factor Models In: Working Papers.
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paper7
2001DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews.
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1999Nonlinear Innovations and Impulse Response In: Working Papers.
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1999Nonlinear Persistence and Copersistence In: Working Papers.
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1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
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2001Memory and infrequent breaks In: Economics Letters.
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article52
2006Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics.
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article23
2008Dynamic quantile models In: Journal of Econometrics.
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article31
2006DYNAMIC QUANTILE MODELS.(2006) In: Working Papers.
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