Mark J. Jensen : Citation Profile

Are you Mark J. Jensen?

Federal Reserve Bank of Atlanta

13

H index

14

i10 index

549

Citations

RESEARCH PRODUCTION:

24

Articles

35

Papers

2

Chapters

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 18
   Journals where Mark J. Jensen has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 30 (5.18 %)

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   Permalink: http://citec.repec.org/pje71
   Updated: 2024-04-18    RAS profile: 2024-03-07    
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Relations with other researchers

Works with:

Fisher, Mark (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Mark J. Jensen.

Is cited by:

Barnett, William (81)

Serletis, Apostolos (28)

Shintani, Mototsugu (19)

LINTON, OLIVER (14)

Maheu, John (11)

Ftiti, Zied (10)

JAWADI, Fredj (10)

Galeano, Pedro (9)

Casarin, Roberto (9)

Chauvet, Marcelle (9)

Panagiotidis, Theodore (8)

Cites to:

Barnett, William (19)

Maheu, John (16)

Shephard, Neil (16)

Diebold, Francis (14)

Sowell, Fallaw (10)

Geweke, John (9)

Serletis, Apostolos (9)

Gallant, A. (9)

Bollerslev, Tim (8)

Bauwens, Luc (8)

Rossi, Peter (8)

Main data

Where Mark J. Jensen has published?

Journals with more than one article published# docs
Journal of Econometrics6
Studies in Nonlinear Dynamics & Econometrics3

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany8
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta8
Working Paper series / Rimini Centre for Economic Analysis5
MPRA Paper / University Library of Munich, Germany3
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
Macroeconomics / University Library of Munich, Germany2

Recent works citing Mark J. Jensen (2024 and 2023)

YearTitle of citing document
2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2211.16714.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023A detection analysis for temporal memory patterns at different time-scales. (2023). Lambert, David ; Vanni, Fabio. In: Papers. RePEc:arx:papers:2309.12034.

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2023.

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2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

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2023Chaos in long-maturity real rates. (2023). Serletis, Apostolos ; Islam, M M ; He, Mingyu. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000642.

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2023The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach. (2023). Sharif, Arshian ; Shah, Nida ; Raza, Syed Ali ; Gao, Pengpeng ; Sun, Yunpeng. In: Energy. RePEc:eee:energy:v:270:y:2023:i:c:s0360544223002062.

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2023Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587.

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2023.

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2023.

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2023An Assessment on Quality of Life and Happiness Indices of Project Affected People in Indian Coalfields. (2023). Goswami, Shubham ; Mishra, Arvind Kumar ; Chandra, Bibhas ; Sinha, Archana. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:12:p:9634-:d:1172121.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis. (2023). Serletis, Apostolos ; Karakasidis, Theodoros E ; Fragkou, Athanasios D ; Andreadis, Ioannis. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00419-5.

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2023Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w.

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2023Fisher’s hypothesis in time–frequency space: a premier using South Africa as a case study. (2023). Phiri, Andrew. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:5:d:10.1007_s11135-022-01561-z.

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2023Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6.

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2023Forecasting with a panel Tobit model. (2023). Schorfheide, Frank ; Moon, Hyungsik Roger ; Liu, Laura. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:117-159.

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Works by Mark J. Jensen:

YearTitleTypeCited
2004Semiparametric Bayesian Inference of Long?Memory Stochastic Volatility Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article18
2016Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2015Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility.(2015) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 0		paper
1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article15
1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters.(1999) In: Computing in Economics and Finance 1999.
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This paper has nother version. Agregated cites: 15		paper
1999An Approximate Wavelet MLE of Short and Long Memory Parameters.(1999) In: Econometrics.
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This paper has nother version. Agregated cites: 15		paper
2003Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article6
1999RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory.
[Full Text][Citation analysis]		article23
1998Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings.(1998) In: Econometrics.
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This paper has nother version. Agregated cites: 23		paper
1997CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article40
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article40
1997An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 55		paper
2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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This paper has nother version. Agregated cites: 55		paper
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 55		paper
2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 22		paper
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 22		paper
2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 13		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 0		paper
2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: Working Paper series.
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This paper has nother version. Agregated cites: 0		paper
2022Bayesian nonparametric learning of how skill is distributed across the mutual fund industry In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2019Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry.(2019) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 3		paper
1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
[Full Text][Citation analysis]		article130
2012A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 130		paper
1996A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics.
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This paper has nother version. Agregated cites: 130		paper
2016A comment on De Grauwes, “The legacy of the Eurozone crisis and how to overcome it” In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
1995Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article47
2005Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article14
2006Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article6
In: .
[Full Text][Citation analysis]		chapter0
2020Measuring and Managing COVID-19 Model Risk In: Policy Hub*.
[Full Text][Citation analysis]		paper0
2020Measuring and Managing COVID-19 Model Risk In: Policy Hub*.
[Full Text][Citation analysis]		paper0
2006The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper16
2009The Long-Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 16		article
2009The Long?Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 16		article
2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper11
2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
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This paper has nother version. Agregated cites: 11		article
2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 11		paper
2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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This paper has nother version. Agregated cites: 11		paper
1997MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article4
2012The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper0
1996The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets.(1996) In: Econometrics.
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This paper has nother version. Agregated cites: 0		paper
1997A Homotopy Approach to Solving Nonlinear Rational Expectation Problems. In: Computational Economics.
[Full Text][Citation analysis]		article1
1995A Homotopy Approach to Solving Nonlinear Rational Expectation Problems.(1995) In: Computational Economics.
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This paper has nother version. Agregated cites: 1		paper
1995A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter In: MPRA Paper.
[Full Text][Citation analysis]		paper72
1997Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter.(1997) In: Econometrics.
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This paper has nother version. Agregated cites: 72		paper
1997Quality of life in central cities and suburbs In: The Annals of Regional Science.
[Full Text][Citation analysis]		article1
2014Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter1
1997Revisiting the flexibility and regularity properties of the asymptotically ideal production model In: Econometric Reviews.
[Full Text][Citation analysis]		article3
1994Wavelet Analysis of Fractionally Integrated Processes In: Econometrics.
[Full Text][Citation analysis]		paper3
1995OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels In: Econometrics.
[Full Text][Citation analysis]		paper0
1993The Tracking Ability of the Divisia Monetary Aggregate Under Risk In: Macroeconomics.
[Full Text][Citation analysis]		paper0
1998Long-Run Neutrality in a Long-Memory Model In: Macroeconomics.
[Full Text][Citation analysis]		paper5

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