Joann Jasiak : Citation Profile

Are you Joann Jasiak?

York University

15

H index

20

i10 index

899

Citations

RESEARCH PRODUCTION:

31

Articles

43

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 33
   Journals where Joann Jasiak has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 23 (2.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja135
   Updated: 2022-05-21    RAS profile: 2021-10-25    
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Relations with other researchers

Works with:

gourieroux, christian (6)

Monfort, Alain (3)

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 (50)

Monfort, Alain (31)

Dufour, Jean-Marie (31)

Bauwens, Luc (31)

Gagliardini, Patrick (20)

Hecq, Alain (18)

Grammig, Joachim (17)

Hautsch, Nikolaus (16)

Veredas, David (15)

Khalaf, Lynda (15)

Giot, Pierre (13)

Cites to:

gourieroux, christian (50)

Ghysels, Eric (27)

Engle, Robert (18)

Bollerslev, Tim (17)

Lanne, Markku (17)

Tauchen, George (16)

Monfort, Alain (14)

Gallant, A. (12)

Saikkonen, Pentti (12)

Harvey, Andrew (11)

Rossi, Peter (10)

Main data

Where Joann Jasiak has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of Time Series Analysis5
Annals of Economics and Statistics3
Journal of Empirical Finance2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics19
Working Papers / York University, Department of Economics5
Post-Print / HAL3
Papers / arXiv.org2

Recent works citing Joann Jasiak (2021 and 2020)

YearTitle of citing document
2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2020Wishart-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.

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2020Time 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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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2021Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2021Efficiency 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.

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2021The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2020Uncertainty on the Reproduction Ratio in the SIR Model. (2020). Gourieroux, Christian ; Elliott, Sean. In: Papers. RePEc:arx:papers:2012.11542.

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2020Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267.

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2021COVID-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.

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2021Arbitrage-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.

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2022Matching 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.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2021Open Markets and Hybrid Jacobi Processes. (2021). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2110.14046.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094.

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2021Volatility 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.

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2020Les 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.

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2021Learning 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.

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2021Filtering 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.

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2022Assessing 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.

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2020Estimating the probability of default for no‐default and low‐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.

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2021Wishart?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.

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2021Quasi?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.

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2022On 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.

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2022The 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.

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2020Mixed 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.

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2021Covid?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.

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2021The 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.

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2021Selecting 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.

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2020Rules 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.

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2020Identification-robust Inequality Analysis. (2020). Flachaire, Emmanuel ; Zalghout, Abdallah ; Khalaf, Lynda ; Dufour, Jean-Marie. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-23.

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2020Uncertainty on the Reproduction Ratio in the SIR Model.. (2020). Gourieroux, Christian ; Elliott, Sean. In: Working Papers. RePEc:crs:wpaper:2020-31.

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2020CDS 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.

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2020Short-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.

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2021Fundamental 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.

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2020On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343.

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2020The 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.

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2020Exogeneity 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.

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2021Impulse 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.

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2022Realized 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.

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2022A 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.

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2020Statistical 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.

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2021Forecasting 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.

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2022Dynamic 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.

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2022Is 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.

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2020Factor 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.

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2021On 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.

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2020Ratings 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.

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2021A 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.

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2021A 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.

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2021Benchmark 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.

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2021Macro 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.

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2021Cross-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.

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2020Incorporating 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.

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2021Testing 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.

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2021Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods. (2021). Rodríguez, 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.

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2022Disentangling 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.

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2021Wind 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.

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2020An 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.

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2020Temporal 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.

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2021.

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2020On 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.

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2022The 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.

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2022The Laplace transform of the integrated Volterra Wishart process. (2021). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02367200.

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2021Dynamic Large Financial Networks via Conditional Expected Shortfalls. (2021). Caporin, Massimiliano ; Maillet, Bertrand ; Bonaccolto, Giovanni. In: Post-Print. RePEc:hal:journl:hal-03287947.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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2021Efficiency 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.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521.

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2020Singular 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.

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2020A 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.

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2020Optimal 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.

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2021Improving the Estimation and Predictions of Small Time Series Models. (2021). Liu-Evans, Gareth. In: Working Papers. RePEc:liv:livedp:202106.

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2020Identification-Robust Inequality Analysis. (2020). Flachaire, Emmanuel ; Zalghout, Abdallah ; Khalaf, Lynda ; Dufour, Jean-Marie. In: Cahiers de recherche. RePEc:mtl:montec:03-2020.

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2021No 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.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2020Loan market markups and noncausal autoregressions. (2020). Kramkov, Viacheslav ; Maksimov, Andrey. In: Applied Econometrics. RePEc:ris:apltrx:0406.

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2021Persistence 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.

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2020Effects 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.

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2020A 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.

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2021Backtesting 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.

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2020Linear 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.

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2020Comparison 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.

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2021Modelling 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.

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2021COVID-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.

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2022Transition 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.

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2020Leave‐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.

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2020A 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.

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2020Optimal 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.

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Works by Joann Jasiak:

YearTitleTypeCited
2000Causality between Returns and Traded Volumes In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article3
1998Causality Between Returns and Trated Volumes.(1998) In: Working Papers.
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This paper has another version. Agregated cites: 3		paper
2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article11
2020Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article3
2021Generalized Covariance Estimator In: Papers.
[Full Text][Citation analysis]		paper0
2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor In: Papers.
[Full Text][Citation analysis]		paper0
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article3
2001State?space Models with Finite Dimensional Dependence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2002Nonlinear Autocorrelograms: an Application to Inter?Trade Durations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
1998Nonlinear Autocorrelograms : An Application to Intra-Trade Durations.(1998) In: Working Papers.
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This paper has another version. Agregated cites: 5		paper
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]		article41
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 41		paper
2016Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article35
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
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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This paper has another version. Agregated cites: 6		paper
1998Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(1998) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 6		paper
1995Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper18
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: 18		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: 18		paper
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper20
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: 20		paper
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 20		paper
1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper11
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]		paper6
1999Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper10
1999Nonlinear Innovations and Impulse Response.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2001Compound Autoregressive Models In: Working Papers.
[Full Text][Citation analysis]		paper8
2001Local Likelihood Density Estimation and Value at Risk In: Working Papers.
[Full Text][Citation analysis]		paper6
2010Local 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
2004The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers.
[Full Text][Citation analysis]		paper0
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]		paper5
2016Robust Analysis of the Martingale Hypothesis In: Working Papers.
[Full Text][Citation analysis]		paper1
2019Robust analysis of the martingale hypothesis.(2019) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
[Full Text][Citation analysis]		paper3
2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2020Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
2020Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus In: Working Papers.
[Full Text][Citation analysis]		paper1
1997Stochastic Volatility Duration Models In: Working Papers.
[Full Text][Citation analysis]		paper74
2004Stochastic volatility duration models.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
1998Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers.
[Full Text][Citation analysis]		paper3
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]		paper8
2001DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
1999Nonlinear Persistence and Copersistence In: Working Papers.
[Full Text][Citation analysis]		paper0
2011Nonlinear Persistence and Copersistence.(2011) In: Palgrave Macmillan Books.
[Citation analysis]
This paper has another version. Agregated cites: 0		chapter
1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
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This paper has another version. Agregated cites: 0		paper
2001Memory and infrequent breaks In: Economics Letters.
[Full Text][Citation analysis]		article60
2006Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2008Dynamic quantile models In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2006DYNAMIC QUANTILE MODELS.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2009The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article138
2005The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 138		paper
2017Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2018Misspecification of noncausal order in autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2008The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article33
2006The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		paper
2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2009L-performance with an application to hedge funds.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 14		paper
1999Intra-day market activity In: Journal of Financial Markets.
[Full Text][Citation analysis]		article52
2004Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article24
2012Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2001Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors. In: International Economic Review.
[Citation analysis]		article79
2006Autoregressive gamma processes In: Journal of Forecasting.
[Full Text][Citation analysis]		article78
2016The Tradability Premium on the S&P 500 Index In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2010Inference for Noisy Long Run Component Process In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2007Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters.
[Full Text][Citation analysis]		chapter6
2015Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2015The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Economics Books.
[Citation analysis]		book1
2021Forecast performance and bubble analysis in noncausal MAR(1, 1) processes In: Journal of Forecasting.
[Full Text][Citation analysis]		article0
2021Convolution?based filtering and forecasting: An application to WTI crude oil prices In: Journal of Forecasting.
[Full Text][Citation analysis]		article0
1999Persistence in Intertrade Durations In: Working Papers.
[Full Text][Citation analysis]		paper29

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